5 344 49 2189  Oct24 3785 162 157 319 85 18.26Sep 10 4527 190 160 347 48 2215  Oct25 3842 162 140 300 84 17.05Sep 11 4375 175 150 323 47 21.53 Oct2B 3767 162 137 297 83 17.30Sep 12 4345 177 135 308 46 20.91 Oct29 3790 165 122 263 62 16.49
 
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.Dec 13
LEELLLL LECT ttt 01HESS° PPO BNE NYS
a
3950
392239053842377537723720370237553797374237923827
398039424007400239323905391739403895382038123892
175
190175175162182175151
152165170170
165165157165
147162140140130
s272265
WHEAT 1996tai
LASISSLVBRRSISSSrwazraaissse
SSSSSRGSASSSLVG
37
 
VOLATILITY PROFILESfp max min s_ td3822 233792 223757 213750 203715 193730 183702 173702 183597 153615 143577 133615 123580 13560 403525 93620 63572 73590 63595 53642 33595 23837 1
3730 March 97 option expires
237
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.238
 
 
 
REFERENCECORNBasedon Nearest ImpliedCalendar month Year Option strike volatilityIUARY 1993 May 2157 13.05FEBRUARY 1993 May 2210 13.85MARCH 1993 Jul 2290 17.34APRIL 1993 Jul 2350 19.30MAY. 1993 Jul 2332 19.89JUNE 1993 Sep 2240 19.62JULY 1993 Sep 2380 35.04AUGUST 4993 Nov 2460 23.79SEPTEMBER 1993 Mar 2333 16.25OCTOBER 1993 Mar 2507 14.74NOVEMBER 4993 Mar 2680 16.80DECEMBER 1993 Mar 2857 16.82JANUARY 1994 May 3100 19.50FEBRUARY 1994 May 2956 17.64MARCH 1994 Jul 2930 19.14APRIL 1994 Jul 2760 20.16MAY. 1994 Jul 2717 22.17JUNE 1994 Sep 2755 35.35JULY 1994 Sep 2445 32.35AUGUST 1994 Nov 2210 16.40SEPTEMBER 1994 Mar 2232 14.59OCTOBER 1994 Mar 2270 14.88NOVEMBER 1994 Mar 2287 13.77DECEMBER 1994 Mar 2230 12.38JANUARY 1995 May 2350 13.58FEBRUARY 1995 May 2380 13.24MARCH 1995 Jul 2480 16.28APRIL 1995 Jul 2590 18.02MAY 1995 Jut 2580 23.97JUNE 1995 Sep 2752 27.02JULY 1995 Sep 2780 30.30AUGUST 1995 Nov 2822 20.11SEPTEMBER 1995 Mar 2942 17.431995 Mar 3202 20.51NOVEMBER 1995 Mar 3415 17.92DECEMBER 1995 Mar 3370 15.35IUARY. 1996 Mar 3732 20.23FEBRUARY 1996 May 3705 18.501996 May 3867 18.50APRIL 1996 Jul 4035 22.06MAY. 1996 Jul 4662 34.85JUNE 1996 Sep 3980 30.21JULY 1996 ‘ep 4157 37.20AUGUST 996 ep 3605 20.24SEPTEMBER 1996 Now 3415 28.46BER 1996 Jan 2960 19.77NOVEMBER 1996 Jan 2650 17.90DECEMBER 1996 Mar 2657 16.67IUARY 997 May 2810 18.07FEBRUARY 1997 May 28670 15.971997 Jul 2940 24.80APRIL 1997 Jul 3140 26.16MAY. 1997 Jul 2987 25.70JUNE 1997 Sep 2597 28.15JULY 1997 Sep 2330 24.00UGUST 1997 Nov 2690 26.72SEPTEMBER 1997 Mar 2722 24.331997 Mar 2652 18.89NOVEMBER 1997 Mar 2950 22.79CEM I 1997 Mar 2820 17.425.50
5.00
4.50
4.00
Dollars per bushel
 
pete
wer rat!
Jan Feb Mar Apr
VOLATILITY PROFILES
Corn Futures (1996)Weekly High/Low/Close
: fh ii / i
May Jun
Jul
| i
Aug Sep Oct Nov Dec
239
Implied volatillty240 REFERENCE
CORN 1996
fp max_min ss _ td _iv fp max mins td iv
                            
March option and Mar future Feb7 3610 z
Febs 3592 6Nov 20 3330 Feb9 3630 5Nov 21 3302 Feb12 3650 4Nov 22 3320 Feb13 3715 3Nov 24 3342 Feb 14 = 3785 2Nov 27 3320 Feb15 3782 1Nov 28 3320 Feb 16 = 3800 March 96 option expiresNov 29 3365Nov 30 3377 May option and May futureDec 1 3375Dec4 3365 Jan 29 3677 140 «#115 253 59 17.90DecS 3410 Jan 30 3717 140 125 264 58 18.63Decé 3422 Jan 31 3730 147 120 265 57 18.79Dec7 3407 Feb 1 3705 132 125 256 56 18.50Dec8 3440 Feb2 3707 130 120 249 55 18.13Dec11 3472 Feb5 3652. 150 102 247 54 18.43Deci2 3465 Feb6 3672 135 107 239 53 17.92Dec13 3480 Feb7 3650 137 95 228 52 17.32
224
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.240 REFERENCE
 
CORN 1996fp max mn s td iv fp max minis td ivMarch option and Mar future Feb7 385 zFebs8 3592 6
Nov 20 3330 Feb9 3630 5Nov 21 3302 Feb 12 3650 4Nov 22 3320 Feb 13 3715 3Nov 24 3342 Feb 14 3785 2Nov 27 3320 Feb15 3782 1Nov 28 3320 Feb 18 3800 March 96 option expiresNov 29 3365Nov 30 3377 May option and May futureDec 1 3375Dec4 3365 Jan 29 3677 140 115 253 59 17,90Dec5 3410 Jan30 3717 140 125 264 58 1883Dec6 3422 Jan 31 3730 147 #120 265 57 1879Dec7 3407 Febi 3705 132 125 256 56 1850Dec 8 3440 Feb2 3707 130 120 249 55 1813Dec1i 3472 Feb5 3652 150 102 247 54 1843Dec12 3465 Feb6 3672 135 107 239 53 17.92Dec 13 3480 Feb7 3650 137 95 228 52 17.32Dec 14 3480 Febs 3630 130 97 #224 51 17.27Deci5 3472 Feb9 3672 132 104 233 50 17,98Dec 18 3517 Feb 12 3695 117 111 228 49 17.59Dec19 3547 Feb 13 3752 140 97 233 48 17.91Dec 20 3545 Feb 14 3810 129 115 243 47 1859Dec21 3525 Feb 15 3812 120 112 231 46 17.90Dec 22 3582 Feb 16 3827. 132 «#110 240 45 18.70Dec 28 3630 Feb 20 3830 131 102 230 43 18.34Dec 27 3607 Feb 21 3802 115 107 221 42 17.97Dec 28 3637 Feb 22 3785 #116 102 217 41 17.89Dec 29 3692 Feb 23 3835 130 92 218 40 18,00
Jan2 3732 127 96 220Jan3 3740 136 95 227Jan4 3690 116 102 217Jan5 3665 131 96 224Jans 3605 109 106 215Jang 3667 132 97 «4226Jan10 3622 120 96 214Jani1 3575 116 91 205Jani2 3627 122 91 210
33° 20.23 Feb 26 3875 128 95 220 39 181732 «21.13 Feb 27 3870 127 97 221 38 185531° 20.77 Feb 28 3892 116 110 226 37 19,0530 21.92 Feb29 3892 115 105 219 36 18.7729 «21,75 Mar 1 3867 125 90 212 35 185028 22.86 Mar 4 3830 112 84 193 34 17.3227) 22.31 Mar 5 3800 94 «8992 186 33 17.0326 22,04 Maré 3810 96 8987 182 32 16.9125 22.72 Mar7 3880 106 86 190 31 17.61Jani§ 3650 137 84 215 24 23.81 Mar8 3885 107 87 192 30 18.07Jan 16 35840 105 62 162 23 1872 | Mar 11 3895 91 97 188 29 17.97Jani? 3512 82 71 152 22 1806 | Mar12 3862 112 76 184 28 18.05Jan18 3550 102 54 150 21 1807 | Mar13 3892 96 90 186 27 18,35Jani9 3807 72 67 139 20 1677 | Mar14 3902 92 90 182 26 1828Jan22 3577 80 56 134 19 1671 | Mar15 3832 105 75 177 25 1849Jan23 3607 «87 460 128 18 16,08 Mar 18 3857 115 73 184 24 19.4417 1665 | Mar19 3855 115 70 180 23 195016 17,10 Mar 20 3870 107 79 183 22 20,2015 16.53 Mar 21 3877 105 «82 «(185 «221 «20.81141312ab)1098
Jan24 3587 67 57 123Jan25 3562 85 42 122Jan26 3575 71 #46 114
Jan 29 3637 Mar 22 3900 95 92 187 20 21.42Jan30 3677 Mar 25 3935 109 77 183 #19 21.33Jan31 3690 Mar26 3967 107 74 178 18 21.12Feb1 3665 Mar 27 3992911 85 176 17 21.33Feb2 3667 Mar28 3992 92 84 175 16 21.96Feb5 3615 Mar29 4090 89 76 164 15 20.69Feb6 3635 Apr 4185 14
 
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.240 REFERENCE
  
   
CORN 1996max min std iv max_min tdMarch option and Mar future Feb7 = 3610 ZzFeb8 3592 6Nov 20 3330 Feb9 3830 5Nov 21 3302 Feb12 3650 4Nov 22 3320 Feb13 3715 3Nov 24 3342 Feb 14 3785 2Nov 27 3320 Feb 15 3782 4Nov 28 3320 Feb 16 3800 March 96 option expiresNov 29 3365Nov 30 3377 May option and May futureDect 3375Dec4 3365 Jan29 3677 140 115 253 «59DecS 3410 Jan30 3717 140 125 264 58Dec6 3422 Jan31 3730 147 120 265 57Oec7 3407 Feb 1 9705 132 125 256 56Dec8 3440 Feb2 3707 130 120 249 55Deci1 3472 Feb5 3652 150 102 247 54Deci2 3465 Feb6 3672 135 107 239 53Dec13 3480 Feb7 3650 137 95 228 52Dec 14 3480 Feb8 3630 130 97 224 51Dec15 3472 Feb9 3672 132 104 233 50Dec18 3517 Feb12 3695 117 111 228 49Dec 19 3547 Feb13 3752 140 97 233 48Dec 20 3545 Feb14 3810 129 115 243 47Dec 21 3525 Feb 15 3812 120 112 231 46Dec 22 3582 Feb16 3827 132 110 240 45Dec 26 3630 Feb 20 3830 131 102 230 43Dec 27 3607 Feb 21 3802 115 107 221 42Dec 28 3637 Feb 22 9785 116 102 217 41Dec 29 3692 Feb23 9835 130 92 218 40Jan2 3732 127 96 220 33 20.23 | Feb26 3875 128 95 220 39Jan3 3740 136 95 227 32 21.13 | Feb27 3870 127 97 221 38Jan4 3690 116 102 217 31 20.77 | Feb28 3892 116 110 226 37Jan5 3885 131 96 224 30 21.92 | Feb29 3892 115 105 219 36Jan8 3605 109 106 215 29 21.75 | Mar1 3867 125 90 212 35Jan9 3667 132 97 226 28 2286 | Mar4 3890 112 64 193 34Jan 10 3622 120 96 214 27 22.31 | Mar5 3800 94 92 186 33Jan11 3575 116 91 205 28 22.04 | Mar6 3810 96 87 182 32Jan12 3827 122 91 210 25 2272 | Mar7 3880 106 86 190 31Jan15 3650 137 84 215 24 2361 | Mar8 3885 107 87 192 30Jan16 3540 105 62 162 23 1872 | Mari! 3895 91 97 188 29Jan17 3512 82 71 152 22 1806 | Mar12 3862 112 76 164 28Jan18 3550 102 54 150 21 1807 | Mar13 3892 968 90 186 27Jan19 3607 72 67 139 20 1677 | Mari4 3902 92 90 182 26Jan22 3577 80 56 134 19 1671 | Mar15 3832 105 75 177 26Jan 23 3607 67 60 126 18 1608 | Mar18 3857 115 73 164 24Jan 24 3587 67 57 123 17 1665 | Mar19 3855 115 70 180 23Jan25 9562 85 42 122 16 17.10 | Mar20 3870 107 79 183 22Jan26 3575 71 46 114 15 1653 | Mar21 3877 105 82 185 21Jan 29 3637 14 Mar 22 3900 95 92 187 20Jan30 3677 13 Mar 25 3935 109 77 183 19Jan31 3690 12 Mar 26 3967 107 74 178 18Febl 3685 "1 Mar 27 3992 «91 «85 «176-17Feb2 3667 10 Mar 28 3992 92 64 175 16Feb5 3615 9 Mar 29 4090 89 76 164 15Feb6 3635 8 Apr 4165 14
17.9018.6318.7918.5018.1318.4317.9217.3217.2717.9817.5917.9118.5917.9018.7018.3417.9717.8918.0018.1718.5519.0518.7718.5017.3217.0316.9117.6118.0717.9718.0518.3518.2618.4919.4419.5020.2020.8121.4221.3321.1221.3321.9620.69
 
LEGEND: fp = 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 241CORN 1996fp max mins M_iv tp max min os  M_ivApr2 4143 13 4665 152 122 271 17 28.21Apr3 4242 12 4727 152 125 275 18 29.05Apra 4265 ah 4772 160 132 290 15 31.33Apr 4357 9 4652, 14Apro 4350 8 4472 13Apr10 4445 7 4350 12Apri1 4445 6 4470 ablApr12 4510 5 4590 10Apr1§ 4555 4 4710 9Apr16 4445 3 4710 8Apr17 4485 2 4775 7Apri8 4605 1 4767 6Apri9 4580 May 96 option expires 4647 54595 4duly option and July future 4715 34755 2Apri 4035 190 155 342 59 22.06 4740 1Apr2 4013 197 147 339 58 22.21 4700 July 96 option expiresApr3. 4112 187 165 350 57 2256Aprg = 4195-210 155-360 56 23.26 | September option and September futureAprs 4255 235 180 410 54 26.22Apr9 4210 202 192 393 53 25.68 3982 250 215 462 59 30.21Apr10 4305 217 207 423 52 27.26 $802 242 237 479 58 33.06Apr1i1 4310 235 220 454 51 29.48 3705 252 230 480 57 34.33Apr12 4380 250 230 478 50 30.69 3802 255 245 499 56 35.09ApriS 4420 245 220 463 49 29.92 9925 280 255 533 5