1993 Feb 1800 24.27DECEMBER 1993 Mar 1600 27.07JANUARY, 1994 r 1500 30.58FEBRUARY 1994 iy 1600 24.94MARCH 1994 May 1500 25.03APRIL 1994 Jul 1600 23.47MAY. 1994 Aug 1700 26.84JUNE 1994 Sep 1750 24.22JULY 1994 Oct 1850 25.76AUGUST. 1994 Nov 2000 32.11SEPTEMBER 1994 Dec 1750 26.55OCTOBER 1994 Jan 1850 29.22NOVEMBER 1994 Feb 1850 30.36DECEMBER 1994 Mar 1800 22.85JANUARY 1995 Apr 1750 22.00FEBRUARY 1995 May 1800 21.44MARCH 1995 Jun 1800 20.06APRIL 1995 Jul 1850 17.77MAY. 1995 Aug 2000 24.45JUNE 1995 Sep 1850 20.82JULY 1995 Oct 1700 20.93AUGUST 1995 Nov 1750 21.56SEPTEMBER 1995 Oec 1750 20.86OCTOBER 1995 Jan 1700 20.63NOVEMBER 1995 Feb 1750 20.56DECEMBER 1995 Mar 1800 17.13JANUARY 1996 Apr 1900 18.26FEBRUARY 1996 Apr 1750 27.93MARCH 1996 fer 1950 35.62APRIL 1996 r 2050 28.43MAY 1996 Aug 1900 26.91JUNE 1996 Aug 1950 24.73JULY 1996 Oct 2000 20.38Si5s 1996 Oct 2050 23.00SEPTEMBER 1996 Dec 2200 32.951996 Dec 2350 35.34NOVEMBER 1996 Dec 2300 29.22DECEMBER 1996 Feb 2450 33.26JANUARY 1997 a 32.74FEBRUARY 1997 2350 25.42MARCH 1997 Jun 2000 28.23APRIL 1997 Jul 2000 27.24MAY. 1997 Aug 2000 27.00JUNE 1997 Sep 2100 27.47JULY 1997 Oct 2000 29.92AUGUST 1997 Nov 2050 28.32SEPTEMBER 1997 Dec 2000 26.71OCTOBER 1997 Jen 2100 26.54NOVEMBER 1997 Feb 2100 31.24DECEMBER 1997 Mar 1900 25.812724252°ao 241-
| Ale
ave
May in Jul Aug Sep Oct Nov Dec216
Febs
 
REFERENCECRUDE OIL 1996
fp max min s td iv fp max min stdApril option and April future Febo 1738 60 48 107 25
Feb12 1750 50 50 100 241753 Feb 13 1835 «61 446 «4106 231747 Feb 14 1885 64 «49-11221743 Feb15 1837 64 61 114 211778 Feb 16 1839 63 52 114 201770 Feb 20 1927 74 47 118 181764 Feb21 1971 77 48 122 171759 Feb 22 1985 77 62 138 161778 Feb23 1906 70 64 133 151791 Feb26 1939 71 60 130 141793 Feb27 1970 73° «53 (124 «131796 Feb28 1928 71 50 119 121796 Feb29 1959 59 54 113° 111812 Mari 1944 «5580 552-«109' 101795 Mar4 1920 91801 Mar5 = 1953 81832 Mar8 = 2019 71825 Mar7 1981 61835 Mar8 1964 51843 Mar 11 1991 41840 Mar 12 2046 31833 Mar13 2058 21832 Mar 142116 11842 Mar 15 2199 April 96 option expires18531865 dune option and June future18561868 Mar4 1790 93 83 175 491884 73 «484 125 53 18.26 | MarS 1807 95 88 182 481990 68 58 125 52 1836 | Mar8 1842 95 87 181 471893 67 60 126 51 1870 | Mar7 1830 100 80 178 461928 73 «57 129 50 1886 | MrS 1826 98 75 171 4518996 65 61 126 48 19.13 | Mar11 1850 64 64 168 441878 73 «51 122 47 1893 | Mar12 1879 96 71 165 431805 65 60 125 46 20.35 | Mar13 1895 85 80 165 42174 78 53 129 45 21.60 | Mari4 1905 99 64 173 411779 74««83«128:«44 «21.18 | MariS§ 1913 95 82 176 401743 «72 «465 136 43 23.87 | Maria 1953 91 88 179 391779 «81 «56 «135 42 23.34 | Mari9 1958 96 90 186 381796 70 68 138 41 23,97 | Mar20 1961 101 91 191 371781 73 57 129 40 22.82 | Mar21 1977 107 64 189 361774 81 «56 135 39 24.29 | Mar22 2030 113 83 193 351767 78 «4956 132 38 24.22 | Mar25 2074 109 85 192 9341788 «71 «59 129 37 23.71 | Mar26 2052 94 92 186 331737 74 60 133 36 25.47 | Mar27 2028 99 79 176 321736 «75 «60 «134 36 26.03 | Mar28 1997 91 88 179 311716 78 62 139 34 2769 | Mar29 2015 91 76 166 301724 81 «57 136 33 27.40 | Apri 2062 86 73 158 291737 74 «661 «134 32 «27.24 | Apr2 = 2085 87) 72—«s158 281731 79 59 136 31 2825 | Aprs 2060 82 72 153 271738 «73° «61 «133 «30 27.93 | Aprg 2089. 83 72 154 261717 80 62 140 29 30.36 | Apr8 2108 87 79 165 241730 78 «458 134 28 2930 | Apr@ 2131 92 73 163 231731 «74 «55-127 «27 2829 ApriO0 2210 93 83 175 221733 66 49 113 28 25.67 | Ari1 2280 108 88 194 21
iv24.6123.3324.0025.9427.0427.7328.9230.0234.6736.1735.8534.9435.6334.7635.62
27.9629.14
28.71
32.0231.9533.7937.18
 
LEGEND: = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-themoney-straddle, td = number oftrading days till expiry, iv = implied volatility.VOLATILITY PROFILES 217CRUDE OIL 1996s td Ww fp max min tdApri2 2191 101 93 193 20 39.46) Wn13 1922 62 100 20 23.21Apri5 2248 99 97 196 19 39.97] Jun14 1950 52 101. 19 23.71Apri6 2159 105 95 199 18 43.48] Jun17 2070 70 118 18 26.89Apr17 2134 103 87 189 17 42.87) Juni8 2021 67 13617 «(27.16Apr18 = 2081 96 04677°«171 «16 «41.16 | Junig9 1985 65 14 16 28.62Aprig 2103 82 80 162 15 39.74] Jun20 2009 57 104 15 26.79Apr22. 215379 76 #155 14 38.42 | Jun 21 1992 56 104 14 26.01Apr23. 2270 «99 79 #176 13 43.06] un24 1998 47 93 #13 25.80Apr24. 2239 84-74 «157 12: «40.52 | wN2 1996 45 85 12 24.46Apr25 2220 «81 61 140 11 38.07] wn26 2064 55 94 5611 27.34Apr26 = 2232 72 54 124 10 35.23] Jun27 2102 50 98 10 29.44Apr29 2242 9 Jun 28 =2092 50 89 9 28.39Apr30 2120 8 Jult 2153 8May1 2081 7 Jul2 2113 7May2 2086 6 Jul3 2121 6May3 2117 5 Jules 2127 4May6 = 2103 4 Julg 2141 3May7 2111 3 Jul 10 2155 2May8 2100 2 Jul 14 2195 1May9 2067 1 Jul 12 2189 August 96 option expiresMay 10 2100 June 96 option expiresOctober option and October futureAugust option and August future
Jul 1 1986 81 67 147 53 20.38Apr29 1999 98 97 195 53 26.79} Jul2 1959 79 69 148 52 20.89Apr30 1949 99 98 197 52 26.02 | Jul3 1969 85 66 150 51 21.34May 1 1922 106 81 185 51 26.91] Juls 1979 87 61 146 49 21.15May2 1928 107 681 186 50 27.23] Jul9 2008 #75 #70 145 48 20.85May3 1941 95 8B 182 49 26.85 | Jul10 2023 «87 ) «663 «6149 47) «21.43May 6 1938 100 86 185 48 27.53} Jul44 2054 8680 76 156 46 22.37May7 1937 97 87 183 47 27.58 | Jul 12 2051 78 74 #162 45 22.07May8 1940 94 84 177 46 26.93 | Jul15 2106 «86 «BO 166 44 23.73May9 1979 95 75 168 45 25.34] Juli6é 2097 84 81 165 43 23.98May 10 1947 84 83 167 44 25.85 | Jul 17 2057 83 77 #160 42 97May 13 1957 84 76 159 43 24.63 | Jul18 2056 4682 76 158 #41 23.96May 14 1967 86 70 155 42 24.25] Jul 19 2031 93 67 #159 40 24.68May 15 1965 82 68 #149 41 23.65] Jul 22 2029 92 67 +158 #39 24.87May 16 1901 86 72 157 40 26.08 | Jul 23 2041 82 74 #1668 38 24.74May 17 1884 83 68 150 39 25.44] Jul 24 2017 86 69 #184 37° 25.13May 20 1998 79 #77 «#156 38 25.31 | Jul 25 2023 86 «63 148 36 24.34May 21 1978 85 65 148 37 24.63 | Jul 26 1969 80 61 140 35 24.03May 22 2042 82 74 #155 36 25.36 | Jul 29 1977. 83 58 140 34 24.21May 23 2024 91 64 152 35 25.45 | Jul 30 1984 78 60 137 33 24.05May 24 2032 84 66 4148 34 25.04 | Jul 31 1991 72 #65 #137 32 24.27May 28 2016 80 63 141 32 24.81] Aug? 2048 464 67 #131 31 23.00May 29 1993 72 64 135 31 24.39] Aug2 2073 88 63 150 30 26.34Ma: 30 1925 78 53 129 30 24.38 | AugS 2067 «88 «671 #158 29 28.42May 31 1910 75 54 127 29 24.69 | Aug6 2064 «83 71 #153 28 28.10Jun 3 1920 73 54 125 28 24.65] Aug7 2087 #85 72 156 27 28.84Jun 4 1962 69 58 126 27 24.73 | Aug 2100 «81 82 163 26 3.45Jun 5. 1903 65 62 127 26 26.13 | Aug9 2106 84 78 162 25 30.72Jun 6 Aug12 2164 92 «#77 «+168 #24 ~= «31.75
Augi3 2184 #88 76 #163 23 31.21
Aug14 9.2158 84 76 160 22 31.54
Aug15 = 2139 80 70 #180 21 30.51
Augi6 2205
 
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 volatility.218 REFERENCE
CRUDE OIL 1996fp max min s td W fp max mins td ivAug19 2247 85 61 145 19 29.53] Oct2l 2546 88 84 172 19 30.94Aug20 2211 85 74 158 18 33.79] Oct22 2553 86 83 169 18 31.16Aug21 2172 83 61 143 17 3189] Oct23 2486 87 73 159 17 30.98Aug22 2230 84 64 147 16 3294| Oct24 2450 MM 76 153 16 31.21Aug23 2196 69 64 133 15 31.22 | Oct25 2486 60 66 145 15 30.07Aug 26 2162 70 57 126 14 31.24] Oct28 2485 78 63 140 14 30.04Aug27 2156 «68 «51118 13. 30.38 | Oct29 2434 MA 61 137 13 31.12Aug28 2171 67 46 112 12 29.71 | Oct30 2428 82 53 132 12 3140Aug29 2214 64 «4949 112 11 30.56] Oct3l 2335 71 56 126 11 32,45Aug30 2225 66 42 106 10 30.26| Nw1 2303 67 42 108 10 29,22Sep3 2339 8 Nw4 = 2278 9Sep4 2324 7 Nw5 = 2264Sep5 2344 6 Nove 2269 74Sep6 2385 3 Nov7 2274 6Sep9 2373 4 Nove 2359 5Sep 10 2412 3 Nov il 2337 4Sep 11 2475 2 Nov 12 2335 3Sep 12 2500 1 Nov 13 2412 2Sep 13 2450 October 96 option expires Nov 14 = 2441 1Nov 15 2417 December 96 option expiresDecember and December futureFebruary option and February futureSep3 2205 135 130 265 53 32.97Sep4 2194 130 125 255 52 32.18 | Nov4 2223 121 98 218 47 2859SepS 2221 137 116 251 51 31.67| Nw5 2209 112 103 215 46 28.65Sep6 2259 139 129 267 50 33.45] Nov6 2219 116 97 212 45 28.50Sep9 2247 128 126 254 49 32.28] Nov7 2236 105 91 195 44 26.34Sep10 2282 142 117 257 48 32.48] Nov8 2306 106 100 206 43 27.21Sepi1 2335 143 135 277 47 3465 | Novil 2293 108 101 209 42 28.09Sep12 2355 146 141 287 46 35.89 | Novi2 2208 104 99 203 41 27.60Sep13 2315 152 137 288 45 37.06 | Novl3 2965 116 101 216 40 28.92Sep 16 2231 137 118 253 44 3424] Novl4 2394 120 114 234 39 31.27Sep17 2240 131 122 252 43 3435] Novi5 2370 126 106 231 38 31.63Sep 18 2204 138 132 270 42 36.26 | Novi8 2337 124 111 234 37 32.98Sep 19 2261 138 127 264 41 3648} Nov19 2387 125 117 242 36 33.75Sep20 2274 144 119 261 40 36.27] Nov20 2302 114 112 226 35 33.18Sep 23 2284 137 121 257 39 35.98 | Nov21 2348 119 117 236 34 34.46Sep 24 2353 136 133 269 38 37.06 | Nov22 2333 126 109 234 33 34.95Sep 25 2383 143 126 268 37 36.92 | Nov25 2305 115 109 224 32 34,32Sep 26 2358 135 127 281 36 36.94] Nov26 2313 114 101 214 31 33.30Sep 27 2396 134 130 264 36 37.20] Nov27 2334 119 103 221 30 34.62Sep 30 2377. 139 112 249 34 35.87 | Dec2 2427 121 94 214 28 33.26Octl 2358 124 116 239 33 35.34 | Dec3 24939 122 89 209 27 33.09Oct 2 2352 121 119 240 32 36.05 | Dec4 2426 «4116 93 210 26 33.91m 3 2421 133 112 243 31 36.08 | DecS 2494 113 107 220 25 35.24m 4 2424 128 104 230 30 34.63] Dec6 2502 112 100 211 24 34.50Oct? 2474 128 104 230 29 3451 | Deco 2480 114 94 207 23 34.81OctB 2508 120 114 234 28 35.19] Decl0 2396 100 96 196 22 34.85Oct9 2467 120 103 222 27 34.56 | Decll 2203 97 90 187 21 35.