5 126 272 42 13.06 6122 202 180 380 42 19.16Feb7 6367 150 118 265 41 13.00 6100 200 200 400 41 20.48Febs 6472 «#185 125 277 40 13.55 6127 205 178 381 40 19.65.Febo 6507 140 132 271 39 13.35 6135 200 165 362 39 18.69Feb 12 6525 142 118 256 38 12.62 6002 192 190 382 38 20.64Feb13 6482 140 122 260 37 13.21 6027 200 170 367 37 20.04Feb 14 6345 150 105 251 36 13.17 6020 160 160 338 36 18.73Feb 15 6357 148 105 249 35 13.23 6032 190 158 345 35 19.35Feb16 6355 145 100 241 34 12.99 5882 192 162 351 34 20.49Feb 20 6357 142 100 238 32 13.23 5737 210 182 390 33 23.64Feb21 6377 132 110 240 31 13.52 5630 225 195 417 32 26.21Feb 22 6425 138 112 248 30 14.08 5480 232 198 427 31 27.99Feb 23 6445 142 98 236 29 13.58 5630 240 200 436 30 26.31Feb 26 6577 132 110 240 28 13.80 5757 235 192 423 29 27.30Feb27 6502 125 122 247 27 1461 5735 222 188 407 28 26.83Feb 28 6465 142 108 247 26 14.98 5625 205 180 383 27 25.30
 
LEGEND: f = 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.iv
VOLATILITY PROFILES
CATTLE 1996
fp max min 8 td
247
iv
 
geeeeea
589059876050605760826050A1876232623762206285
BSSE552222BRNBAa
a
8
N
S5SSSSESES.
May 28 6317May 29 6392May 30 6375May 31 6452Jun 3 6522Jun 4 6515Jun 5 6510Jun 6 8537Jun7 6537Jun 10 6605Jun 11 6667Jun 12 6610dun 13 6575Jun14 = 6632Jun 17 6597Jun 18 6517Jun19 6515Jun 20 6520Jun 21 6527Jun 24 6452Jun 25 6420Jun 26 6527Jun 27 6497dun 28 66582Jul 6572Jul 2 6630
205210190178162182190172
172160148145125125107100115,
137
383
3473313324325318307
285276272236217204187174
242
6310 June 1996 option expires
19,2218,5918,6417.2916.8817.5016.7416.6216.6314.2812.6913.1914,0915.5516.2917.1217.0317.5416.8216.2616.6215.8915.8116.5014.9415.25
 
fp mex min s tdJul 3 6722 110 108 218 20Jul 5 6682 120 98 216 19Jul 8 6707 117 100 216 18Jul 6765 100 92 191 17Julio 6690 112-78 «187 «16Jult1 6790-118 «108 «225 «15,Jul12 6772 118 «108 «225° «14JuliS = 6792. «122-95 215 13Jul16 6790 108 100 207 12Juli? 6695 105-95 «199-111Jul1@ 6682-98-95: 193 10Juli9 6627 100 82 «180 «9wul22-6592 8Jul23. 6575 7Jul 24 6622 6Jul 25 6537 5wul26 = 6540 4Jul29 6467 3Jul 30-6527 2Jul31 6662 1Ag 6690 August 96 option expires
October option and October future
Jul22 6852. «185 165 «34854Jul23 6880-182 162: «-342—53Jul24 6852198 14834152Jul25 8915 178 162 «33951Ju26  =—-6840. «190 150 336 50Jul29-6882.-«182-«158 33849Jul30 6810-175 165 33948Jul31 «6855188 «142 326 «47Augi 6937 168 «150 335 46Aug2 6985 170 155 324 45Aug5 6880 195 135 324 44Aug6 7055 160 145 322 43Aug7 7005 162 158 320 42Aug8 7060 187 128 309 41Aug9 7040 172 132 300 40Aug12 7000 170 150 316 39Aug13 6997 152 160 302 938Ag 14 «6967 162 130 289 937Aug 15 7002 145 142 287 36Augi6 7145 167 122 285 35Augi9 7137 160 122 278 34Ag20 7127 152 125 275 33Ag21 7112 142 130 271 32Aug22 7117 145 128 «272«31Aug23 7100 145 125 268 30Aug26 7117 132-115 24828Ag27 7172 132 105 235 28Aug28 7150 142 92 229 27Aug29 7187 «115 102 216 26Aug30 7222 110 100 209 25Sep3 7172 118 90 205 23Sep4 7172 118 90 205 22
13.8714.3714.8013.4513.3916.8317.1216.9316,9316.9317.3617.08
13.8313.6713.8213.7213.9114.0314.3813.8614.2213.8214.0413.9114.0813.6813.4914.5614.0013.6413.6513.4713,3813.4113.4713.7113.6012.8112.3612.3211.7811.5811,9412.21
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price,trading days till expiry, iv = implied volatility.
 
price corrected at-the-money-straddle, to = number of248 REFERENCE
CATTLE 1996
fp max mins td iv fp max mins td iv
7172 118 90 205 22 12.21 6722 120 98 216 24 13.127135 125 90 212 21 12.95 6702 102 100 202 23 12.567217 110 92 200 20 12.42 6707. 102 92 193 22 12.287200 6657 118 875 189 21 12.367232 110 78 185 18 12.05
Sep 4Sep 5Sep 6Sep 9Sep 10 6672 109 60 186 20 12.48Sep 11 7272 102 75 174 17 11.64 6752 120 72 187 19 12.70Sep 12 7317 90 72 160 16 10.96 6767 115 82 194 18 13.50Ssp13 7327 90 62 149 1§ 10.52 6780 105 85 168 17 13.47Sep 16 7295 72 68 140 14 10.23 6857 108 75 180 16 13.11Sep17 7300 70 70 140 13 10.64 6890 100 90 189 15 14.18Sep18 7282 62 82 145 12 11.53 6807 «90 «82171: 14:«13.45Sep 19 7250 102 52 148 11 12.32 6775 95 «670 163 13 13.32Sep 20 7195 80 75 155 10 13.59 6727 90 «62 149 12 12.81Sep 23 7160 9 6652 102 55 152 11 13.75Sep 24 7272 8 6697 80 78 158 10 14.91Sep 25 7317 7 6582 9Sep 26 7310 6 6810 8Sep 27 7335 5 6680 7Sep 30 7332 4 6702 5Octi 7362 3 6715 4Oct2 7350 2 6692 3Oct3 7212 1 6590 2Oct4 7192 October 96 option expires 16542 December 96 option expires
December option and December future
February option and February futureSep 23 6685 162 148 309 54 1257Sep 24 6762 172 135 304 53 1234 6282 200 162 359 53 15.73Sep25 6750 180 130 305 52 12.54 6292 188 180 367 52 16.19Sep 26 6750 165 135 297 51 12.34 6362 200 162 359 51 15.79Sep 27 6770 165 135 297 50 12.42 6367 195 162 354 49 15.89Sep30 6815 155 140 294 49 12.31 6422 168 165 351 48 15.78Oct1 6807 147 140 286 48 12.15 6367 175 162 336 47 15.34Oct2 6780 152 132 282 47 12.15 6290 175 165 339 46 15.90Oct3 6630 168 138 303 46 13.49 6357 192 150 338 45 15.68Oct4 6602 152 150 302 45 13.63 6267 168 155 340 44 16.36Oct7 6640 165 125 286 44 13.00 6200 175 165 339 43 16.45OU8 6620 152 132 282 43 13.01 6275 182 158 338 42 16.62Oct9 6562 182 125 204 42 134 6292 172 165 336 41 16.70Oct10 6572 160 132 290 41 13.76 6370 168 158 343 © 40 17.05Oct11 6562 162 125 284 40 13.87 6387 180 168 347 39 17.40Oct14 6462 162 125 204 39 14.08 6397 168 165 333 38 16.68Octi5 6470 158 128 283 38 14.21 6325 178 152 328 37 17.04Oct16 6527 155 122 274 37 13.80 6342 178 148 323 36 17.00Oct17 6540 158 128 283 36 14.44 6340 180 140 316 35 16.87Oct18 6635 138 128 265 35 13.72 6357 180 138 314 34 16.95Oct21 6490 138 128 285 34 14.01 6460 160 140 298 33 16.03Oct22 6510 135 125 259 33 13.88 6495 147 142 289 32 15.71Oct 23 6595 138 132 270 32 14.45 6502 132 130 262 30 14.70Oct 24 8580 145 122 265 31 1447 6480 140 130 269 29 15.43Oct25 6580 135 115 248 30 13.78 6587 130 118 247 28 14.17Oct28 6687 142 110 249 29 13.87 6497 125 122 247 27 14.62Oct29 68667 142 110 249 28 14.12 6480 26Oct30 6885 125 110 234 27 13.48 8502 25Oct31 6887 130 98 225 26 13.24 6535 24Novt 6712 125 98 221 25 13.14 6432 23
 
LEGEND: fp = 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 volati ty.VOLATILITY PROFILES 249
CATTLE 1996fp max mins td iv fp max min s td ivJang 6427 22Jan 9 6492 21Jan 10 6562 20Jan 13 6557 19Jan14 6597 18Jan 15 8585 17Jan16 6572 16Jan 17 6560 15Jan 20 6815 14Jan 21 6585 13Jan 22 6537 12Jan 23 6489 "1Jan 24 6485 10Jan 27 6497 9Jan 28 6457 8Jan 29 6397 7Jan 30 6440 6Jan 31 6475 5Fab3 6382 4Feb4 6372 3Feb5 6375 2Fabé 6397 1Fab7 6355 February 97 option expires
 
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.
  250 REFERENCE
 
 
 
COCOABased on Nearest ImpliedCalendar month Year Ontion strike volatilityJANUARY 1993 May 950 2794FEBRUARY 1993 May 950 28.46MARCH 1993 Jul 950 34.28APRIL 4993 Jul 950 33.67MAY. 4993 Jul 950 33.04JUNE 1993 Sep 900 30.76JULY 4993 Sep 950 37.70AUGUST 1993 Dec 1000 32:35SEPTEMBER 1993 Dec 1100 3251OCTOBER 1993 Mar 1250 35.54NOVEMBER 1993 Mar 1150 32.28DECEMBER 1993 Mar 1300 31.21JANUARY 1994 May 1200 28.34FEBRUARY 1994 May 1100 29.35MARCH 1994 Jul 1200 29.94APRIL 1994 Jul 1150 27.39MAY. 1994 Jul 1150 30.18JUNE 1994 Sep 1400 38.95JULY 1994 Sep 1300 37.98AUGUST 1994 Dec 1500 37.69SEPTEMBER = 1994 Oec 1350 32.15OCTOBER 1994 Oec 1300 28.22NOVEMBER 1994 Jan 1350 26.78OECEMBER 1994 Mar 1250 29.62JANUARY 1995 Mar 1350 31.05FEBRUARY 1995 May 1400 3156MARCH 1995 May 1450 31.03APRIL 1995 Jul 1350 2728MAY. 1995 ul 1400 24.97JUNE 1995 ap 1400 27.25Y 995, Sep 1300 25.94AUGUST 1995 Dec 1300 26.18SEPTEMBER 1995 Dec 1350 25.84‘OBER 1995 Mar 1300 22.37NOVEMBER 1995 Mar 1350 21.27DECEMBER 1995 Mar 1300 18.78JANUARY 1996 Mar 1250 20,07FEBRUARY 1996 May 1300 19.85MARCH 1996 May 1250 17,19APRIL 1996 Jul 1350MAY. 1996 Jul 1400 25.22JUNE 1996 Sep 1400 24.03JULY 1996 Sep 1450 24.07AUGUST 1996 Oec 1400 21.38SEPTEMBER 1996 Oec 1350 19.41OCTOBER 1996 Oec 1350 16.90NOVEMBER 1996 Mar 1400 15.52OECEMBER 1996 Mar 1400 17.53ay 1987 May 1400 16.76JARY 1MARCH 1997 du 1300 266APRIL 1997 Jul 1500 31.09MAY 1997 ul 1400 2284997 ep 1500 26.03JULY 1997 Sep 1700 33.35AUGUST 1997 Dec 1550 3025SEPTEMBER —- 1997 Oec 1700 33.121997 Mar 1700 23.42NOVEMBER 1997 Mar 1600 26.57
DECEMBER 1997 Mar 1550 21.841 fl i Nyy ih i uyilyhy
   252 REFERENCE
 
COCOA 1996fp max minis td iv fp max mn is td WwMarch option and Mar future 1268 «54 40 93 55 19.41Nov 20 1371 1299 49 «45094 54 «19.62Nov 21 1359 13906 «470 «45092: 5319.92Nov 22 1373 1293 51 42 92 52 19.78Nov 27 1320 1284 54 36 68 51 19.24Nov 28 1321 1293 50 41 90 50 19.73Nov 29 1330 1291 49 42 90 49 20.01Nw30 1308 1279 «53° «37/88 4B (19.96Dec1 1299 1274 «55 «33° «86 «4719.61Oec4 1307 1267, 51 «35 84 4619.65DecS 1312 1288 «6551 «636086 4519.85Dec6 1306 1293. 47 «38 «84 «44 «19.63Dec? 1307 1291 48 37 84 43 19.64Dec8 1320 1312 50 34 82 42 19.39Dec 11 1315 1291 44 «368-79 4119.18Dec 12 1310 1297 40 «38 «78 «40 «(18.98Dec 13 1299 1206 «40 «435 «675 «(389 «(18.43Dec 14 1307 1288 «6450 «31°75 3818.80Dec 15 1299 1299 39 «35074 «37 «18.64Dec 18 1274 1329 53 28 «#978 36 19.59Dec 19 1274 1325 49 28 75 36 19.06Dec 20 1271 1315 47) «(3075-34 (19,63Dec 21 1262 1313 44 «3174: 32«‘19,86Dec 22 1273 1298 «636-32 s«BBC31—«18.72Dec 27 1259 1290 38 «2885 90 18,42Dec 28 1253 