6 Jul 11500 39.07MAY, 1996 dul 12500 44.90JUNE 1996 Sep 11000 46.18ULY 1996 Sep 12000 47.14AUGUST 1996 Dea 10000 33.93SEPTEMBER 1996 Dec 11500 34.99OCTOBER 1996 Dec 10500 32.45NOVEMBER 1996 Mar 10500 28.02DECEMBER 1996 Mar 10500 26.96JANUARY 1997 Mar 11500 29.55FEBRUARY 1997 May 14000 43,97MARCH 1997 Jul 16500 48.34APRIL 1997 Jul 17500 46.90MAY. 1997 Sep 65.09JUNE 1997 Sep 22500 81.38JULY 997 Sep 17500 63.45,AUGUST 1997 Dec 16500 42.95SEPTEMBER 1997 Dec 18500 45.14OCTOBER 1997 Mar 15000 38.34NOVEMBER 1997 Jan 13500 34.35OECEMBER 1997 Mar 16500 44.89 258 REFERENCE
COFFEE 1996
fp max mins td iv
Jan2 9125 480 390 862 23 39.39Jan3 9375 475 383 850 22 38.65
Jan§ 9625 470 420 886 20 41.16Jan11 10305 530 374 16 43.13
Jan12 10270 570 322 865 15 43.47Jan15 9895 14Jan 16 10390 13Jan 17 10430 12Jan 18 10540 11Jan 1g 10465 10Jan 22 10750 9Jan 23 10700 8Jan 24 10890 7Jan 25 11175 6Jan 26 11695 5Jan 29 12345 4Jan30 11955 3Jan 31 12860 2Feb1 12640 1Feb2 12375 March 96 option expiresMay option and May future
Jani5 9675 830 720 1541 58 41.62Jan 16 10170 890 710 1884 57 41.25Jan17 10210 850 690 1526 56 39.94
 
trading days till expiry, iv = implied volatility.
1032010245105301048010670109551147512125117351264012420121551184511720116401215012385119401204512090122901225012160123301223011550113751148511295118901108011165114201130011270112051130011595,114701177511845,12085119051177012000119701192012345121751214011545114501158511535,
7858208807959058808709139701030975101510551060925920970870810
810
820720680635760
685
670610659675585523540
565
730700
710655642638780810
920
820740740810750820780730685640655670
670
610465
475390
425409360380425463
410
18101510151914981536149914861681176618641890190518541769
172117001686159815101529146214511495139913861317124311941202113910771047101710421022
939
996982
11525 May 96 aption exp
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, td = number of
ANWAUDVOO
 VOLATILITY PROFILES 259COFFEE 1996fp max min s td iv fp max mins td ivJuly option and Juty future Jun4 11340 3Mar 18 12140 1020 770 1767 59 937.89 | Jun5 11385 2Mar 19 11960 1010 760 1747 58 38.35 Jun 6 11305, 1Mar 20 11825 1050 730 1749 57 39.18 | Jun7 11538 July 96 option expiresMar 21 12055 940 830 1761 56 39.03Mar 22 12025 965 790 1739 55 39.01 September option and September futureMar 25 11975 918 733 1634 §4 37.14Mar 26 12400 1030 780 1765 53 39.09 | May 20 12435 1275 1260 2534 53 5598Mar 27 12230 1115 710 1783 52 40.44 May 21 12255 1318 1148 2451 52 55.48Mar 28 12195 680 785 1657 51 938.05 | May22 11880 1170 1125 2291 51 54.02Mar 29 11600 840 790 1626 50 39.64 | May 23 11620 1165 980 2107 50 51.28Aprl 11805 830 750 1573 49 39.07 | May 24 11600 1130 925 2037 49 50.17Apr2 11640 780 770 1549 48 938.42 | May 28 11520 1063 963 2018 47 51.09Apr3 11590 770 750 1518 47 38.22 | May 29 11565 1100 950 2037 46 51.94Apr4 11580 764 750 1513 46 3853 | May30 11420 990 970 1968 45 51.13Apr8 11410 780 770 1549 44 40.94 | May31 11445 975 940 1912 44 50.37Apr9 11515 735 710 1443 43 38.22 | Jun3 11090 940 775 1700 43 46,76Apr10 11860 815 675 1478 42 3845 | Jun4 11175 970 725 1672 42 46.18April 11710 870 580 1421 41 37.90 | Jun5 11220 980 800 1764 41 49.11Apri2 11520 690 685 1375 40 37.73 | Jun6 11140 960 720 1858 40 47.05Apri5 11490 675 650 1323 39 3687 | Jun7 11370 855 820 1672 39 47.10Aprié 11555 655 600 1250 38 35.11 | Jun10 11610 925 800 1714 38 47.90Aprt7 11725 830 565 1369 37 38.39 | Jun 11 11565 830 780 1584 37 45.04Apri8 11885 773 658 1421 36 3985 | Jun12 11720 940 675 1590 36 45.21Apri9 11830 780 615 1982 35 38.02 | Jun 13 11465 780 760 1838 35 45.40Ap 22 13095 870 785 1648 34 43.16 | Jun14 11510 725 700 1423 34 42.40Ap 23 12690 880 670 1513 33 41.50 | Jun17 11885 880 630 1486 33 44.28Apr24 12700 890 690 1562 32 43.48 | Jun18 11790 825 620 1428 32 42.76Apr25 12545 795 750 1541 31 4413 | Jun19 11760 820 640 1444 31 44.02Apr 26 12695 850 680 1515 30 43.57 | Jun20 11730 820 570 1366 30 42.51Ap 29 12250 680 630 1486 29 45.05 | Jun21 11480 680 610 1266 29 40.95Apr30 12445 775 720 1490 28 45.27 | Jun24 11790 805 525 1302 28 41.73May 1 12700 850 650 1482 27 44.90 Jun25 11755 830 §70 1374 27 45.00May 2 12730 850 600 1426 26 43.93 | Jun28 11865 800 590 1370 26 45.30May3 12755 845 600 1421 25 44.58 Jun 27 11920 770 610 1366 25 45.82May6 12520 668 648 1314 24 4286 | Jun28 12145 745 640 1376 24 46.25May7 12640 725 600 1314 23 43.35 | Jul? 12075 720 650 1364 23 47.11May 8 12875 735 610 1334 22 4418 | Jul2 11785 750 640 1380 22 49.95May 9 12700 745 550 1277 21 43.87 | JulS 11650 695 530 1210 20 46.44May 10 12705 700 520 1203 20 42.35 | Julg 11845 725 570 1281 19 49.62May 13 12605 575 520 1090 19 39,69 | Julio 11425 600 525 1119 18 46.15May 14 12665 640 475 1100 18 40.92 | Juli10 11805 600 490 1080 17 45.15May 15 12645 627 480 1093 17 41.95 | Jul11 11620 600 490 1080 16 46.48May 16 12870 615 485 1088 16 42.28 | Jul12 11195 671 366 1002 15 46.24May 17 12865 615 480 1083 15 43.46 | Jul15 10640 14May 20 12600 14 Jul16 10295 13May 21 12420 13 Jul 17 10690 12May 22 12045 12 Jul 18 10995 "1May 23 11785 "1 Jul19 10870 10May 24 11765 10 Jul 22 10405 9May 28 11685 8 Jul 23 10430 8May 29. 11730 7 Jul 24 10410 7May 30 11585 8 Jul 25 10295 6May 31 11610 5 Jul2s 10405 5Jun3 11255 4 Jul 29 10540 4
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, $ = price corrected at-the-money-straddle, td = number oftrading days till expiry, iv=Implied volatility.260 REFERENCE
COFFEE 1996max mins td WV maw_ min i
Jul30 10525 3 Sep 23 10455 500 465 962 29 34.18Jul 31 10640 2 Sep 24 10600 520 420 931 28 33.20Augi1 10670 1 Sep 25 10645 600 360 934 27 33.79Aug 2 10750 September 96 option expires Sep 26 10570 §00 430 924 26 34.29Sep27 10525 465 440 903 25 34.32
December option and December future | Sep30 10295 590 345 908 24 36.02
10475 400 375 773 23 30.77Jul 15 10120 905 765 1680 79 37.35Jul 16 9805 925 740 1646 76 36.07Jul17 10165 975 600 1759 77 39.45Jul 16 10450 1050 620 1849 76 40.59Jul19 10275 1060 820 1856 75 41.76Jut22 9855 966 6823 1776 74 41.95Jul23. 9870 900 800 1692 73 40.12Jui24 9630 670 750 1610 72 38.60Jul25 9725 680 660 1519 71 37.09Jul 26 9830 610 680 1479 70 35.96Jul29 9955 725 710 1434 69 34.66dul30 9970 730 725 1455 68 35.39Jul31 10065 775 650 1414 67 34.33
10745 5656 303 630 21 33.73
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Aug1 10100 775 630 1392 66 33.93 9Aug2 10160 775 610 1370 65 33.45 11760 8
Aug5 9890 775 580 1337 64 3379 11930 7
Aug6 10020 625 575 1376 63 34.59 11745 6
Aug7 10030 805 555 1335 82 33.62 11600 5
Aug8 10710 860 615 1451 61 34.70 11910 4
Aug9 10610 625 575 1976 60 33.46 11635 3
Aug 12 10715 825 580 1381 59 33.57 11915 2
Aug 13 11175 670 615 1460 56 34.32 11720 1
Aug 14 11100 860 610 1446 57 34.51 11725 December 96 option expiresAug 15 11115 630 565 1391 56 33.45 :
Aug 16 11155 615 530 1316 §5 31.62 March option and March futureAug 19 11330 835 575 1384 54 33.26
Aug 20 11505 685 665 1370 53 92.71 | Oct7 10625 900 650 1526 686 30.98Aug 21 11700 830 580 1386 52 32.65 | Oct6 10565 780 715 1490 65 30.59Aug 22 12080 740 685 1420 51 92.03 | Oct9 10585 610 725 1526 84 31.50Aug 23 12255 695 645 1516 50 34.99 | Oct10 10680 905 650 1531 63 31.46Aug 26 12520 760 740 1498 49 34.19 | Octi1 10765 905 655 1536 62 31.52Aug 27 11920 615 720 1527 46 36.98 | Oct14 10615 670 620 1466 61 30.69Aug 28 11655 640 625 1445 47 38.17 | Octi5 10520 730 720 1449 60 30.80Aug 29 11705 645 604 1426 46 35.92 | Octi6 10355 650 585 1409 79 30.82Aug 30 11825 830 580 1386 45 34.94 | Oct17 10250 805 560 1341 76 29.63Sep 3 11330 790 535 1900 43 34.99 | Octi6 10155 775 555 1909 77 29.38Sep4 11280 775 530 1281 42 35.04 Oct 21 10405 750 510 1236 76 27.26Sep5 11160 775 525 1275 41 35.69 | Oct22 10660 760 530 1265 75 27.84Sep6 11290 780 515 1277 40 .35.77 | Oct23 10510 640 630 1269 74 26.08Sep9 11120 760 520 1256 39 3616 | Oct24 10365 760 510 1245 73 26.12Sep 10 11130 725 525 1231 38 35.88 | Oct25 10410 650 570 1213 72 27.47Sep 11 10690 740 480 1194 37 38.71 | Oct26 10585 655 570 1216 71 27.31Sep 12 10520 630 540 1182 36 36.63 | Oct29 10500 610 826 1237 70 26.17Sep 13 10470 550 550 1100 35 35.52 | Oct30 10630 695 565 1246 69 26.26
Oct31 10610 740 500 1216 68 27.80Nov 1 10645 745 500 1221 67 26.02Nov4 10705 760 510 1245 66 26.63
$8Noég3s:
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, fd = number oftrading days till expiry, iv = implied volatitity.1123511175109101104511135112401143011265113851131010910109501078010610107751080510510104201034510325105601082010810109851112010905109901119011020112151131011475118201159511890116651162511405119351189011935119601184512220122601230512400129251296513530140051369013660139501446014030
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1232119212321176119111701224116211461124110810801043977
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967
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COFFEE 1996
td
iv
27.6327.0926.9227.5527.8627.3426.3726.0327.1427.0427.9127.6027.1325.5725.9626.9626.9226.7527.6627.7127.6727.5227.8826.9726.20