5 36.61Apri6é 4300 230 200 427 48 28.69 4060 320 275 591 54 39.72Apri17 4297 230 225 455 47 30.86 4030 295 272 565 53 38.52Apr18 4417 252 220 469 46 31.33 4050 295 260 552 52 37.80Apri9 4382 242 230 471 45 32.05 3967 290 240 526 51 37.10Apr22 4502 257 250 S06 44 33.92 3855 265 225 487 50 35.70Apr23. 4605 265 255 519 43 34.39 3780 255 230 483 49 36.50Apr24 4700 260 260 520 42 34.14 3900 2580 245 495 48 36.61Apr25 4820 300 260 557 41 36.07 3840 255 210 461 47 35.02Apr26 4820 260 260 538 40 35.32 3820 232 217 448 46 34.56Apr29 4700 «270 250 518 39 35.32 3867 240 212 450 45 34.68Apr30 4520 255 200 450 38 32.30 3895 227 225 452 44 34.98May1 4682 265 232 494 37 34.85 3935 230 200 427 43 33.13May2 4562 240 225 464 36 33.74 3687 214 210 424 42 33.64May3 4530 235 200 432 35 32.24 3857 240 195 431 41 34.90May6 4547 232 185 413 34 31.14 3877 260 207 462 40 36.75May7 4627 225 195 417 33 31.41 4157 267 220 483 39 37.20May8 .4747 220 207 426 32 31.72 4055 250 210 456 38 36.52May9 4835 220 190 407 31 30.27 4095 240 232 471 37 37.85May 10 4822 205 180 383 30 28.99 4025 230 210 438 35 36.62May 13 4922 205 177 380 29 26.64 4020 215 200 414 34 35.30May 14 4872 190 162 350 28 27.12 4067 227 190 414 33 35.42May 15 4875 185 165 348 27 27.50 4092 207 195 401 32 34.65May 16 4995 160 175 355 26 27.64 4212 240 200 436 31 37.22May 17 5045 197 155 348 25 27.61 4285 230 215 444 30 37.82May 20 5030 180 150 327 24 26.57 4165 225 190 412 29 36.73May 21 5012 170 155 324 23 26.94 4045 200 190 389 28 36.36May 22 4865 160 145 322 22 28.21 3865 210 165 371 27 36.94May 23 4932 #175 #145 317 21 28.08 9725 185° 160 343 26 36.10May 24 4887 165 147 310 20 28.41 3675 170 142 310 25 33.69May 28 4785 155 135 268 18 28.40 3557 170 127 293 24 33.63
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, $ = price corrected at-the-money-straddle, td = number of
trading days till expiry, iv = implied volatility.242 REFERENCE
CORN 1996fp max min s M Ww fp mex mins td iv
Sepi13 3215 130 116 245 45 22.70Sep16 3145 140 97 233 44 22.32Sep17 3145 140 92 227 43 22.03Sep 18 3155 145 100 241 42 23.53
Jul23. 3615 155) «135 288 «23 «33.26Jul24 39580 «157 134 «4289 22 34.42Jdul25 3510-139 «132 270 21 33.62
Jul28 3500 125 125 280 20 3194 | Sep19 3135 127 97 221 41 22.04Jul29 3592 131-117 247 19 31.53 | Sep20 3142 131 87 214 40 21.50Jul30 3577 130 112 240 18 31.69 | Sep23 3192 122 87 206 39 21.03Jul31 3542 120: «80 «196 17 26.84 | Sep24 3105 101 97 198 38 2065Augi 3605 102 95 196 16 27.24 | Sep25 3122 105 86 189 37 19.94Aug2 3582 100 85 184 15 28.48 | Sep26 3060 112 72 180 36 19.60Aug5 3482 14 Sep27 3032 107 «77 «+181 35 20.20Aug6 3460 13 Sep 30 2967 106 71 174 34 20.06Auy7 3447 12 Oct1 2060 105 67 168 33 19.77Aug8 3530 11 Oct2 2927 100s 71«168 «3220.32Aujy9 3830 10 Oct3 2920 «91s 72-—«161—«31 19.64Aug 12 3750 9 Oct4 2895 85 60: 185-30 «20.76Aug 13 3730 6 Oct7 (2927 92 65 154 29 19.59Aug 14 3777 7 “Oct8 2065 «97 B1s«154 28 19.67Aug 15 3755 6 Oct9 2937 97. 60-153 27 20.07Aug 16 3675 5 Octi0 2900 86 62 147 26 19.95Aug 19 3640 4 Oct11 2837 87 «54-138 25 19.39Aug 20 3622 3 Oct14 2865 87 52 135 24 19.27Aug 21 3882 2 Oct1S 2865 84 54 135 23 19.64Aug 22 3675 1 Oct16 2832. «80 47:«:123:«-22 18.58.Aug 23 3655 September 96 option expires Oct17 2832: «77° «46 «120 21 «18.44Octi8 2602 59 55 114 20 18.14December option and December future | Oct21 = 2790 19Oct22 2795 18Auy5 3182 177 161 337 74 2460 | Oct23 2827 17Augé 3195 167 165 332 73 24.31 | Oct24 2780 16Aug7 3210 165 160 325 72 23.83 | Oct25 2752 15Aug8 3285 182 162 342 71 24.73 | Oct28 2752 14Aug9 3295 182 175 356 70 25.86 | Oct29 2745 13Augi2 3415 226 190 413 69 29.11 | Oct30 2702 12Aug13 3490 210 200 409 68 28.44 | Oct31 2680 "1Aug 14 3490 216 210 426 67 29.79 | Nov1 2630 10Aug15 3492 212 207 419 68 29.51 | Nov4 2617 9Augi6 3430 211 180 388 65 28.08 | Nov5 2565 8Aug 19 3412 197 190 386 64 2831 | Nov6 2600 7Aug 20 3377 200 160 378 63 28.23 | Nov7 2645 6Aug21 3377 200 177 375 62 28.21 | Nov8 2675 5Aug 22 3385 192 180 371 61 28.07 | Nov11 2682 4Aug 23 3305 186 182 368 60 27.96 | Novi2 2680 3Aug 26 3477 207 186 391 59 29.30 | Novi3 2717 2Aug 27 3487 207 197 403 56 30.36 | Nov14 2712 1Aug 28 3427 207 160 385 §7 29.74 | Nov15 2695 December 96 option expiresAug 29 3445 210 170 376 58 29.20Aug 30 3437 205 165 366 55 26.75 March option and March futureSep3 3415 185 170 354 53 28.46Sep4 3335 182 142 320 52 2664 | Oct21 2810 134 92 222 88 1683Sep5 3347 185 142 323 51 27.03 | Oct22 2815 135 92 223 87 16.97Sep6 3325 170 147 315 50 26.60 | Oct23 2847 122 105 228 86 17.08Sep9 3307 157 147 303 49 2619 | Oct24 2800 120 97 215 85 16.85Sep 10 3342 175 135 306 48 26.48 | Oct25 2772 117 106 222 64 17.48Sep11 3267 149 119 265 47 23.69 | Oct28 2772 117 110 228 83 17.93Sep 12 3300 137 134 271 46 24.19 | Oct29 2765 115 110 225 62 17.94
 
LEGEND: {p = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, td = number oftrading days till expiry, iv = implied volatility.
 VOLATILITY PROFILES 243
fp max min s td iv fp max min s td iv
     
Jan 21
Jan 22
Jan 23
Jan 24 2727 20
Jan 27 2750 19
Jan 28 2747 18
Jan 29 2750 17
Jan 30 2737 16
Jan 31 2702 15
Feb3 2695 14
Feb4 2705 13Nov14 2735 112 62 191 70 16.71 Feb5 2725 12Nov15 2712 105 90 194 69 17.20 Feb6 2687 ahNw18 2692 97 94 191 68 17.19 Feb7 2710 10Novi9 2677 104 80 182 67 16.59 Feb10 2720 9Nov 20 2715 100 80 178 66 16.16 Feb 11 2725 8Nov21 2725 102 80 160 65 16.39 Feb12 2737 7Nov 22 2725 105 77 «179 64 16.45 Feb 13 2745 6Nov 25 2747 117 71 183 63 16.80 Feb14 2740 5Nov26 2742 110 70 176 62 16.29 Feb18 2827 3Nov 27 2735 105 70 172 61 16.06 Feb19 2835 2Nov29 2710 92 62 173 59 16.64 | Feb20 2870 1
Feb 21 2917 March 97 option expires
Deco 2645 101 55 151 53 15.66
Dec 31 2582 72 55 125
yeRER
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, $ = price corrected at-the-money-straddle, td = number of
trading days till expiry, iv = implied volatility.244 REFERENCE
CATTLE
Basedon Nearest ImpliedCalendar month Year Option strike volatilityJANUARY 1993 Apr 7690 10.12FEBRUARY 1993 Apr 7730 11.73MARCH 1993 dun 7437 10.54APRIL 1993 en 7590 10.69MAY. 1993 ug 7392 9.61JUNE 1993 Aug 7355 10.18JULY 1993 Oct 7547 10.17AUGUST 1993 Oct 7462 11.95SEPTEMBER = 1993 Dec 7555 10.62OCTOBER 1993 Dec 7407 11.68NOVEMBER 1993 Feb 7480 11.76
DECEMBER 1993 Feb 7270JANUARY. 1994 Apr 7522 11.27FEBRUARY 1994 Apr 7522 1.17MARCH 1994 dun 7460 9.6APRIL 1994 yun 7472 7.85MAY. 1994 ug 8920 10.27JUNE 1994 Aug 6425 19.43JULY 1994 Oct 6825 18.12AUGUST 1994 Oct 7322 1.2SEPTEMBER 1994 Dec 6967 14.66OCTOBER 4994 Dec 6890 B.97NOVEMBER 1994 Feb 6875 12.8DECEMBER 1994 Feb 6787 14.70JANUARY 1995 Apr 7352 12.49FEBRUARY 1995 Apr 7337 11.86MARCH 1995 Jun 6717 11.56APRIL 1995 Jun 6265 19.45MAY. 1995 Aug 6782 15.16JUNE 1995 Aug 6057 18.07JULY 1995 17.3AUGUST 1995 Oct 6557 14.68SEPTEMBER 1995 Dec 6587 12.56OCTOBER 4995 Dec 6572 2%NOVEMBER 1995 Feb 6762 1.0DECEMBER 1995 Feb 6882 123.83JANUARY 1996 Apr 6600 13.20FEBRUARY 1996 Apr 6390 15.17MARCH 1996 dun 6275 15.48APRIL 1996 sun 6310 16.26MAY. 1996 ug 5825 25.30JUNE 1996 Aug 6522 16.88JULY 1996 Oct 6572 14.94AUGUST 1996 Oct 6937 wzSEPTEMBER 1996 Dec 7172 11.94OCTOBER 1996 Deo 6807 2.15NOVEMBER 1996 Feb 6712 13.14DECEMBER 1996 Feb 6482 15.78JANUARY 1997 Apr 6532 14.70FEBRUARY 1997 Apr 6590 2.77MARCH 1997 dun 6550 12.84APRIL 1997 yn 6482 12.92Y. 1997 a 6520 ieJUNE 1997 Aug 6430 12.06JULY 1997 Oct 6787 11.09AUGUST 1997 Oct 7052 11:86SEPTEMBER 1997 Dec 6925 12.74OCTOBER 1997 Dec 6625 14.0NOVEMBER 1997 Feb 6885 12.39DECEMBER 1997 Feb 6765 12.74VOLATILITY PROFILES 245
7 Cattle Futures (1996)Weekly High/Low/Ciose
‘ | t i Feboly iy! (il tl Ay
Implied volatility
 
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec246 REFERENCE
CAWLE 1996
fp max min s td iv max mins td iv
February option and February future 6392 125 118 242 25 15.17
6275 132 108 238 24 15.48Jan2 6600 105 105 210 23 13.27 6272 122 95 215 23 14.26Jan3 6665 130 95 222 22 14.18 6325 120 95 213 22 14.34van4 6637 126 «©6990 214 21 14.09 6212 110 98 207 21 14.54Jan5 6642 120 78 194 20 13.04 6152 130 80 205 20 14.88Jan8 6627 115 88 201 19 13.88 6225 112 68 #198 19 14.58Jang 6605-96 «= 92, 190 18 13.53 6162 122 85 203 18 15.56Jani10 6542 112 70 178 17 13.17 6217 110 92 200 17 15.64Jani1 6662 102 65 163 16 1244 6367 100 95 195 16 15.26Jvani2 6577 88 65 151 15 11.84 6440 117 78 #191 15 15.32Jan15 6627 90 62 149 14 12,04 6527 110 80 187 14 15.33van16 6667 85 52 134 13 11.28 6525 100 75 173 13 14.86Jani7 6580 75 55 128 12 11,24 6497. 80 78 158 12 14.03Jani8 6520 72 62 133 11 1231
6462 98 60 154 11 14.37Jani9 6517 70 52 120 10 11.68 6460 100 60 156 10 15.25
Jan 22 6457 9 6465 100 55 150 9 15.46Jan 23 6410 8 6350 8
Jan 24 6345 7 6370 7
Jan 25 6340 6 6460 6
Jan 26 §305 5 6395, 5
Jan 29 6387 4 6342 4
Jan 30 6327 3 6422 3
Jan31 6402 2 6415 2
Feb1 6375 1 6380 1
Feb2 6377 February 96 option expires 6377 April 96 option expires
April option and April future dune option andJune future
Jan 22 6495 145 140 285 53 12.04 6370 182 152 331 54 14.16Jan23 6475 150 135 284 52 12.15 6372 182 #155 335 53 14.43Jan 24 6395 155 150 305 51 13.34 6437 190 152 339 52 14.59Jan 25 6352 190 142 328 50 14.58 6312 178 165 342 51 15.17Jan 28 6320 182 162 342 49 15.47 6247 202 150 347 50 15.72Jan29 6380 188 168 354 48 16.03 6310 185 175 359 49 16.26Jan30 6837 200 160 356 47 16.41 6335 195 160 352 48 16.04Jan31 6385 160 165 344 46 15.68 6310 175 165 339 47 15.68Febi 6390 188 «#4158 325 45 15.17 6347 195 142 332 46 15.42Feb 2 6392 162 155 316 44 14.93 6340 165 145 326 44 15.52Feb5 6460 170 130 296 43 13,99 6265 175 140 312 43 15.18Febo 6417 14