53Oct10 2395 104 99 203 26 33.18 | Deci2 2323 106 80 185 20 35.54OctIl 2437 106 93 198 25 32.48] Decl3 2399 94 93 187 19 35.76Oct14 2521 112 91 201 24 3257] Dec16 2509 103 94 197 18 36.94Oct15 2502 100 98 198 23 3298] Decl7 2510 95 95 190 17 36.72Sette 2478 105 83 186 22 32.01] Decl8 2526 104 80 183 16 36.17Oct 18
 
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.VOLATILITY PROFILES 219
CRUDE OIL 1996fp max min std iv fp max min s_ td iv
Oec23 2479 90 65 154 13 34.36
Oec24 2510 75 65 140 12 32.10
Oec26 2492 73 65 138 10 34.93
Oec27 2522 76 54 129 9 34.03
Oec 30 2537 67 54 120 8 3354
Oec31 2592 64 55 119 7 3458
Jan2 2569 6
Jan3 2559 5
Jan6 2637 4
dan7 2623 3
Jang 2662 2
Jan9 2637 1
Jan 10 2609 February 97 option expires
 
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrikelow option price, s = price corrected at-the-money-straddle, td = number oftrading days till expiry, iv = implied volatility.220 REFERENCE
 
 
 
 
 
 
COTTON
Basedon Nearest Implied
Calendarmonth Year Option strike volatilityJANUARY 1993 Mar 5800 17.28FEBRUARY 1993 May 6000 20.74MARCH 1993 May 17.38APRIL 1993 Jul 18.97MAY 1993 Jul 20.44JUNE 1993 Oct 18.10JULY 1993 Oct 17.74Al 1993 Oct 30SEPTEMBER 1993 Dec 20.20ER 1993 Dec 19.01NOVEMBER 1993 Mar 16.43DECEMBER 1993 Mar 16.681994 he, 6800 18.40FEBRUARY 1994 7700 78RCH 1994 May 7900 21.44APRIL 1994 Jul 7800 17.60MAY 1994 Jul 8300 22.70JUNE 1994 Oct 7800 20.23JULY 1994 Oct 7200 18,80AUGUST 1994 Oct 7000 23.12SEPTEMBER 1994 Dec 6900 19.06OCTOBER 1994 Dec 6700 19.81NOVEMBER 1994 Mar 7400 16.89DECEMBER 1994 Mar 8100 17.16JARY 1995 Mar 9000 23.11FEBRUARY 1995 May 9000 20.91MARCH 1995 May 10800 31.01APRIL 1995 Jul 9100 31.43MAY 1995 Jul 10600 41.46JUNE 1995 Oct 8500 29.75JULY 1995 Oct 8600 29.571995 Oct 7400 27.56SEPTEMBER 1995 Dec 8600 30.59OCTOBER 1995 Dec 9000 30.19NOVEMBER 1995 Mar 8500 20.11DECEMBER 1995 Mar 8600 22.22JANI 1996 Mar 8100 20.72FEBRUARY 1996 May 8600 21.30MARCH 1996 May 8300 19.20APRIL 1996 Jul 8600 19.36MAY. 1996 Jul 8600 21.45
JUNE 1996 Oct 7900
JULY 1996 Oct 7300 22.30996 Oct 7200 22.10‘SEPTEMBER 1996 Dec 7700 24.12R 1996 Dec 7600 21.37NOVEMBER 1998 Mar 7400 16.80IBER 1996 Mar 7600 16.181997 Mar 7500 14.21FEBRUARY 1997 May 7600 14.431997 May 7600 16.66APRIL 1997 Jul 7300 17.011997 Jul 18.96JUNE 1997 Oct 7500 15.86JULY 1997 Oct 15.21AUGUST 1997 Oct 7500 17.02SEPTEMBER 1997 Dec 7300 15.51OCTOBER 1997 Dec 7200 15.19NOVEMBER 1997 Mar 7400 12.94OECEMBER 1997 Mar 18.01Cotton Futures (1996
* | Weekly oh ha’- ih "y
" ” tl thvit iu :222 REFERENCECOTTON 1996fp max min s| M_iv fp mx min s MMarch option and March future May option and May futureNw 21 8630 8825 373 348 719 54Nw 22 8688 8730 370 340 707 53Nov 27 8530 8620 351 331 660 52Nw 28 8420 8633 348 314 659 51Nw 29 8464 8626 327 300 625 50Nw30 8509 8638 334 296 627 49Decl 8583 8478 333 311 842 48Dec4 8630 8525 334 308 640 47Dec5 8580 8621 334 310 842 46Oec6 8460 8610 324 314 637 45Dec? 8555 9525 319 295 612 44Oecs8 8610 8545 325 283 604 43Oec11 8621 8522 321 300 619 42Dec 12 8484 8535 315 291 606 41Dec13 8545 8683 309 280 587 40Dec14 98566 8605 299 295 594 38Dec15 8464 8474 303 279 580 37Dec 18 8295 8355 307 262 565 36Dec19 8103 8442 304 282 562 35Dec 20 8105 8480 280 263 542 34Dec 21 8228 8355 273 237 507 33Dec 22 8110 8373 252 227 477 32Dec 26 8033 8320 243 224 465 31Dec27 8116 8325 233 207 438 30Dec28 8145 8278 225 202 425 29Dec 29 8105 8238 231 193 421 28Jan2 8067 243 210 4450 28 21.09 8325 241 216 455 27Jan3 8214 249 «223 «470 27 22.01 8386 238 221 458 26Jan4 = 8335 «254-219 470 26 22.12 8371 240 211 449 25Jan5 8363 250 203 449 25 21.47 8333 220 188 405 24JanQ 8389-227 «217 «443 «23 «(22.03 8294 180 176 356 23Jan10 8260 216 193 407 22 20.96 9339 198 155 349 22dani11 9247 212 183 370 21 19.61 8520 194 174 366 21Jan12 8284 193 158 348 20 18.83 8428 189 161 348 20dani15 8325 185 160 343 19 18.90 8484 190 153 340 19Jan 18 8203 168 163 331 18 19.00 9389 167 156 322 18Jan17 8275 169 144 311 17 18.22 9584 160 145 322 17Jan 18 8246 167 122 285 16 17.27 8425 160 135 293 16Jan19 8450 170 120 285 15 17.43 8469 160 130 287 15Jan 22 8432 157 126 280 14 17.76 @505 140 132 271 14dan 23 8456 162 118 276 13 18.09 8459 144 120 262 13dan 24 6642 170 128 294 12 19.65 g3e4 130 116 247 12Jan 25 8774 161 130 288 11 19.81 g386 132 118 «249° «11Jan 26 8750 162 112 269 10 19.45 9356 138 94 228 10dan 29 8605 9 8476 9Jan 30 8708 8 8486 8Jan 31 8569 7 8580 7Feb1 8600 6 8755 6Feb2 28560 5 9722 4Feb5 3586 4 3689 3Feb6 8410 3 8737 2Feb7 8442 2 8675 1Feb8 9580 1 8599 May 96 option expiresFeb9 8538 March 96 option expires
 
22.1722.2621.8921.3820.4920.7321.8721.9021.9622.0621.6521.5722.4322.1021.6122.3822.50
22.5221.9121,1220.14
19.2019.0719.3021.0321.4021.4319.8517.6817.8518.7618.4418.4118.1018.2317.3817.5217.0517.1717.0117.8917.23
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.VOLATILITY PROFILES 223
COTTON 1996
fp mex min s td iv fp max min std iv
 
19.36 | Jun3 7917 355 335 688 73 20.3519.89 | Jun4 7955 395 348 739 72 21.9019.92 } Jun5 7914 365 350 714 71 21.4120.40 } Jun6é 7855 388 339 723 70 22.0021.84 | Jun7 7860 373 334 704 69 21.5622.30 | Jun10 7800 402 304 697 68 21.4022.94 | Jun11 7845 367 322 685 67 21.3422.94 | Jun12 7782 355 335 688 66 21.7821.05 | Jun13 7842 351 312 660 65 21.4122.66 | Juni4 7700 333 3339 666 84 21.6220.49 | Jun17 7730 351 330 678 63 22.1420.49 | Jun18 7630 345 310 652 62 21.7120.67 | Jun19 7595 317 314 631 61 21.27Jun20 7616 319 303 621 60 21.0420.86 | Jun21 7555 330 287 613 59 21.1420.96 | Jun24 7570 318 290 606 56 21.0121.52 | Jund 7286 284 260 564 57 20.4922.15 | Jun26 7292 288 279 S66 56 20.7521.75 | Jun27 7300 280 280 560 55 20.6921.71 Jun 28 7209 293 280 572 54 21.59
Apri1 8814 351 336 686
Apr18 8559 311 260 S67
Apr22. 8523. 290 «267 «555Apr23 8453 298 «252 546
zoog88gNBBSSRBBRESSSSS2SSRSESSESLRSE%s
May 13 8202 195 189 384 24 1888 Jul16 7260 273 253 524 43 21.97May 14 8287 183 171 353 23 17.76 Jul17 7245 260 240 517 42 22.00May 15 8250 194 148 338 22 1746 Jul18 7275 270 245 513 41 22.02May 16 8106 160 154 314 21 1688 Jul19 7352 278 228 502 40 21.57May 17 8120 163 143 304May 20 9088 160 148 307May 21 8092 151 140 290May 22 8152 172 120 287May 23 8159 184 124 284 16 17.42 Jul26 7207 231 224 454 35 21.32May 24 8255 169 124 289May 28 8130 152 122 271May 29 7962 155 110 261 12 1890 Jul31 7320 298 218 454 32 21.94May 30 7839 144 114 255
E Aug .tMay 31 7928 142 112 251 10 20.05  Aug2 7228 236 206 439 30 22.20
Jun3 8032 9 Aug 5 7253 238 «4191 425 29 21.75Jun4 8139 8 Aug 6 7208 213 184 405 28 21.26JunS 6055 7 Aug 7 7000 201 200 401 27 22.04Jun6 8053 6 Aug 8 7030 219 189 405 26 22.62Jun7 8195 5 Aug 9 7025 238 199 434 25 24.69Jun10 8172 4 Augi2 7325 225 225 450 24 25.08Jun 11 8003 3 Aug13 7475 «228 «6202 «4428 «623 «23.87Jun 12 7996 2 Augi4 = 7385 «213 «197 409 9822 23.60Jun13 7707 1 AugiS 7347 225 177 398 21 23.62Jun 14 7628 July 96 option expires Augi6 = 7272:« 200 «182 «380 )=—20 23.40
 
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.224 REFERENCE
COTTON 1996fp max min s td iv fp max min s_ td ivAugi9 7212 195 166 360 19 24.197300 .Aug21 7252 196 145 336 17 22.49
Aug22 7292 147 140 286 16 19.64Aug23. 7430 174 144 315 15 21.92
7192 132 124 255 14 18.907288 125 113 237 13 16.047308 120 112 231 12 18.287220 115 95 208 11 17.397253 117 70 182 10 15.67
Aug26 7378 149 145 204 14 21.28 7275 9Aug27 7585 160 157 324 13 2370 7273 8Aug28 7531 175 146 318 12 24.41 7295 7Aug29 7632 175 188 332 11 26.20 7205 6Aug30 7864 175 145 317 10 26.54 7247 5Sep3 7639 8 7252 4Sep4 7491 7 7227 3Sep5 7272 6 7137 2Sep6 7310 5 7153 1Sep9 7175 4 7131 December 96 option expiresSep 10 7169 3 .Sep 11 7489 2 March option and March futureSep 12 7481 1Sep 13 7480 October 96 option expires 7430 288 259 545 76 16.817445 284 251 541 75 16.79December option and December future 7470 288 265 551 74 17.157375 276 261 536 73 17.01Sep 7725 337 313 648 48 24.22 7417 284 252 533 72 16.95Sep 7562 324 287 608 47 23.45 7445 287 «243 «526 71 16.77Sep 7364 312 278 587 46 23.51 7423 270 250 518 70 16.69Sep 7417 300 284 583 45 23.42 7345 281 237 514 69 16.85Sep 7285 290 275 564 44 23.33 7359 280 240 517 68 17.02Sep 7307 284 277 560 43 23.39 7341 276 237 510 67 16.96sep 7607 318 284 599 42 24.31 7278 273 «252 523 66 17.70Sep 7596 301 207 598 41 24.58 7264 264 230 491 65 16.77
7585 291 277 587 40 23.637548 285 245 527 39 22.347405 264 264 528 38 23.137445 283 238 517 37 22.847528 275 247 520 36 23.017539 «278 «4240 515 35 23.08258 «255 513 34 23.117722 265 243 506 33 22.827721 265 243 506 32 23.187684 256 240 495 31 23.137619 238 218 454 30 21.777587 235 «206 4439 29 21.527616 224 208 431 28 21.37
7308 249 241 489 84 16.747374 260 234 492 63 16.817342 264 223 483 62 16.727407 245 238 482 61 16.687410 245 236 460 60 16.737423, (250 4227 «4475 «59 16.667573 2568 4230 484 58 16.787510 242 234 475 57 16.777489 233 223 «455 56 16.247514 226 213° 438 «55 15.727607 231 224 454 54 16.267649 251 202 449 52 16.277578 4235 213 446 51 16.497475 232 210 440 50 16.657560 241 201 438 49 16.577611 214 214 428 48 16.237630 228 #200 426 47 16.277653 237 «191 4424 46 16.337617 214 #197 410 45 16.037645 227 182 405 44 15.977610 201 191 391 43 15.687585 192 177 368 42 14.967553 195 150 341 41 14.107553 201 «(155 4352- 40 14.737