580 189 169 356 39 15.057600 (177 #172 349 36 14.88
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.
Base onNaons RON 24 44nnnsooun Wweno SXBRRSSSaITZANRIS
3
3S
egegeseeszgceceuesueeeeeyy
 °8
7514 «153
SHEER REESE SES SSE EE SERRE SEBBBREBRVSSsaT sso? VOOM GSN&
Jan 31
Feb3 7500Feb4 7450Feb5 7485Febd6 7445Feb7 7458Feb10 7425Feb11 7385Feb 12 7342Feb 13 7321
min
149140149146138
s
325321
296290
VOLATILITY PROFILES 225
COTTON 1996
td
pene enseansanHANORBUDNDOGINGDRUAVVOS
Feb 14 7310 March 97 option expires
iv fp max mins td iv
14.1314.3813.9113.8513.63
 
LEGEND: fp = futures price, mex = 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.226
REFERENCESOYBEANSBasedan Nearest
Calendarmonth Year Option strikeJANUARY 1993 May 575FEBRUARY 1993 May 575MARCH 1993 Jul 575APRIL 1993 Jul 600MAY. 1993 jul 600JUNE 1993 ep 575JULY 1993 ep 650AUGUST 1993 700SEPTEMBER 1993 Mar 675OCTOBER 1993 Mar 625NOVEMBER 1993 Mar 625DECEMBER 1993 Mar 675JANUARY 1994 May 700FEBRUARY 1994 May 700MARCH 1994 Jul 675APRIL 1994 Jul 650Y 1994 Jul 675JUNE 1994 Sep 675JULY 1994 Sep 560GUST 1994 Nov 550SEPTEMBER 1994 Mar 600TOBER, 1994 550NOVEMBER 1994 Mar 575DECEMBER 1994 Mar 575JANUARY 1995 May 550FEBRUARY 1995 May 550MARCH 1995 Jul 575APRIL . 1995 Jul 600MAY, 1995 jul 600JUNE 1995 ep 600JULY 1995 Sep 600UGUST. 1995 625SEPTEMBER 1995 Mar 650OCTOBER 1995 650NOVEMBER 1995 Mar 700DECEMBER 1995 Mar 700JANUARY 1996 Mar 750FEBRUARY 1996 May 750MARCH 1996 750APRIL 1996 Jul 775MAY. 1996 dul 825JUNE 1996 Sep 750we 8 BSEPTEMBER 1996 Nov g00OCTOBER 1996 Jan 750NOVEMBER 1996 Jan 675DECEMBER 1996 Mar 700JANUARY 1997 May 700FEBRUARY 1997 May 725MARCH 1997 Jul 800APRIL 1997 Jul 875MAY, 1997 jul 875JUNE 1997 ep 725
JULY 1997 SepAUGUST 1997 Nov 650SEPTEMBER 1997 Mar 650OCTOBER 997 Mar 625
NOVEMBERDECEMBER 1997 Mar 725
Impliedvolatility
bhBREEa
S |(BRSRRICRERR
Bar | Peeesagrerys
HBOBR
bOBSBRBNGNES |ssaRBBOSSeue |ERSUSRNSSLES (KEEDRSECEEEN |EEEBBSPRSBRERRGSI9 |PSARSsRsQasE [aneVOLATILITY PROFILES
Soybean Futures (1996)Weekly High/Low/Close
is,
sul }
i tm Hyg
Hhi> |;
 228 REFERENCE
    
255 170 416
Jan19 7452 145 97 237
Jan 26 7245 100 97 197
Jan 30 7385Jan 31 7387Feb1 7410Feb2 7392
    
td
BSB8SLRE
Vv
19.1320.1518.1317.7317.6316.8916.7817.7418.3619.1614.0114.1815.1714.2414.3814.1113,4614.2514.02
SOYBEANS 1996i fp max min
159187182187119
109
td
13.7913.5514.0913.6014.0214.5214,3914.8613.5514.8915.7615.1314.9016.4616.8415.82
LEGEND: fp = tutures 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 229
SOYBEANS 1996
       
          
fp max min std Ww max minsApr2 7560 13 May 29 7750 162 160 322 17 2014Apr3 7647 12 May 307865 16Apr4 7655 1 May 317882 15Apr 7812 9 Jun3 7655 . 14Aprg. 7787 8 Jun 4 7697 13Apr10 7945 7 Jun 5 7655 12Apr11 7685 6 Jun 6 7860 ahApr12 7960 5 Jun 7 7755 10Apri5 7897 4 Jun10 7910 9Api6 7730 3 Jun41 7752 8Apr 17-7840 2 Jun12 7715 7Apr18 8132 1 Jun 13 7690 6Apr 19 7997 May 96 option expires Jun 14 7697 5Jun 17 = 7730 4duly option and July future Jun 18 7910 3Jun19 7830 2Apri 7710 «327-272 59 20.07 | Jun20 7800 1
Apr2 7660 349-249Apr3-7747/«-305-—«-290Apr4 7755 «300-295
58 20.17 Jun 21 7917 July 96 option expires
57 20.30
56 20.49 September option and September future54 22.09
53 21.00 May 30 7625 415 335 743 59 24.9552 22.71 May 31 7642 #432 #335 758 58 25.6151 23.00 Jun 3. 7415 405 285 878 57 23.8250 23.93 Jun 4 7457 390 340 726 56 25.5649 24.65 Jun 5 7415 410 280 677 55 24.1948 22.52 Jun 6 7420 392 325 711 54 25.6147 24.51 Jun 7 7515 370 350 718 53 25.7846 27.91 Jun 10 7670 440 320 749 52 26.5645 26.38 Jun 11 7530 367 347 712 51 25.9944 28,34 Jun 12 7475 #4385 325 705 50 26,15
594588594595842602Apr10 8030 345 315 65765668268861066677715772Apr23 8220 400 370 768 43 28.48 | Jun13 7467 375 327 698 49 26.17756775746629632748660673608629611560484456
Apr12 8060 372 315
42 2846 | Juni14 7457 374 307 675 48 25.6041 2912 | Jun17 7495 345 332 676 47 25.7740 2852 | Juni8 7675 385 320 699 46 26.3039 «25.29 | Jun19 7592 371 260 643 45 24.6938 25.81 Jun20 7570 357 «270 «619 «44 (24.1137 30.10 | Jun21 7700 370 345 713 43 27.6038 27.18 | Jun24 7557 400 260 668 42 26.6735 27.85 | Jun25 7540 360 280 633 41 25.5934 25.89 | Jun26 7470 307 302 609 40 25.1433 26.77 Jun27 7377 335 260 588 39 24.9032 26.18 Jun28 7537 329 260 583 38 24.4531 24.56 Juli 7632 365 272 628 37 26.3830 21.73 Jul2 7532 335 250 577 35 24.8629 20.81 Jul3 7592 310 230 532 34 23.0628 21.99 Jus 7420 307 220 519 33 23.6327 21.97 «Juls 7447 285 232 512 32 23.5926 20.66 8 Julg 7585 310 230 532 31 24.4425 21.06 Jul 10 7722 302 280 580 30 26.562419.24 © Jult1 8022 360 330 687 29 30.78May 21 7985 180 174 354 23 1846 Jul12 8225 400 370 768 28 34.07May 22 7967 192 160 349 22 1869 Jul 15 8222 390 360 748 27 33.76May 23 8080 220 140 352 21 19.00 Jul18 8070 357 292 643 26 30.13May 24 8075 222 145 359 20 19.89 Jul17 7900 345 245 580 25 28.28May 28 8015 172 157 328 18 19.28 Jul 18 7627 295 180 463 24 23.80
May 17 8187 250 187
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, $ = price corrected at-themoney-straddle, td = number oftrading days till expiry, iv = implied volatility.230
Aug 2
SEEEEEEDELEDEDE
Oo
°
 
REFERENCESOYBEANS 1996
fp max mn s td iv fp max mn s td iv
Sep11 9050 240 190 425 27 20.347595 255 165 411 25 21.64 | Sep12 8145 295 170 451 26 21.737525 270 160 418 24 22.69 | Sep13 8020 227 207 432 25 21.567645 257 157 403 23 22.01 | Sep16 7930 265 140 391 24 20.117510 155 145 299 22 16.99 | Sepi7 7960 220 175 391 23 20.487520 162 142 302 21 17.64 | Sep18 7840 257 132 374 22 20.107430 212 140 345 20 2075 | Sep19 7892 260 135 380 21 21.037522 175 155 328 19 20.03 | Sep20 7952 222 171 388 20 21.847447 192 140 327 18 20.70 | Sep23 7987 195 187 381 19 21.917470 180 180 327 17 21.26 | Sep24 7912 247 122 354 18 21.087602 175 148 321 16 21.09 | Sep25 7957 190 150 336 17 20.517517 170 147 315 15 21.64 | Sep26 7907 230 105 319 16 20.187480 14 Sep27 7832 225 100 309 15 20.367517 13 Sep30 7580 147530 12 Oct! 7492 137677 1 Oct2 7420 127772 10 Oct3 7375 18007 9 Oct4 = 7272 107952 8 Oct? —- 7342 98065 7 Oct8 == 7365 88002 6 Oct9 7382 77935 5 Oct10 7302 67870 4 Oct11 7002 57947 3 Oct14 6885 48002 2 Oct1§ 6925 38087 1 Oct16 6910 28032 September 96 option expires Oct17 6885 1
Oct18 6820 November 96 option expires
November option and November future- January option and January future
7347 385 245 508 54 22.157307 360 235 582 53 21.63 | Sep30 7635 315 190 492 59 16.777432 355 235 578 52 21.57 | Oct! 7547 305 180 472 58 16.417572 375 «255 618 51 22.86 | Oct2 7475 235 222 456 57 16.167640 395 275 658 50 24.37 | Oct3 7430 247 215 459 56 16.527862 410 290 688 49 25.02 | Oct4 7327 285 167 439 55 16.177810 395 270 653 48 24.12 | Oct7 7397 270 197 460 54 16,937890 392 267 647 47 23.91 | Oct8 7420 265 205 464 53 17.207840 395 275 658 46 24.76 | Oct9 7437 275 182 448 52 16.697767 335 «317 «651 45 24.97 | Oct10 7357 285 160 431 51 16.417710 320 285 602 44 23.54 | Octii1 7057 185 180 385 50 14.617762 325 310 634 43 24,90 | Oct14 8942 215 157 367 49 15.087790 340 297 633 42 28.09 | Octi5 6985 180 170 349 48 14.437852 395 270 653 41 25.96 | Octi6é 6967 190 157 344 47 14.417787 «337 «295 628 40 25.52 | Octi7 6935 206 146 348 46 14.727895 382 260 630 39 25,55 | Octi8 6882 232 110 327 45 14,207957 350 307 653 38 26.64 | Oct21 6845 217 122 328 44 14.477887 365 245 598 37 24.93 | Oct22 6900 227 127 343 43 15.157950 325 277 598 36 25.07 | Oct23 7005 177 172 349 42 15.367945 320 270 588 35 24.92 | Oct24 6967 195 162 354 41 15.677955 310 262 568 33 2485 | Oct25 6990 185 175 359 40 16,257802 282 230 507 32 22,99 | Oct28 7035 192 160 349 39 15,907957 296 252 543 31 2463 | Oct29 6982 180 165 344 38 15.978000 275 270 545 30 24,86 | Oct30 6907 220 132 343 37 16.317937 292 232 519 29 24.27 | Oct31 68690 217 157 368 36 18.358070 292 222 508 28 23.77 | Novi 6665 235 155 382 35 19.37
SSSSeSzEEEEEEESZEEEEEZE SSESBBNBBBVBSS aaSAe OVA
poOanan
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.Nov 4
Nové
Nov7
Nov8
Nov 11Nov 12Nov 13Nov 14Nov 15Nov 18Nov 19Nov 20Nov 21Nov 22Nov 25Nov 26Nov 27Nov 29Dec2
Dec3
Dec4
Dec5
Dec 6
Deco
Dec 10Dec 11Dec 12Dec 13Dec 16Dec 17Dec 18Dec 19Dec 20
Nov 18Nov 19Nov 20Nov 21Nov 22Nov 25Nov 26Nov 27Nov 29Dec2Dec3Dec4Dec5DecéDec9Dec 10Dec 11Dec 12Dec 13
SOYBEANS 1996
fp max mn is td iv fp max mn ss6707 215 172 383 34 1959 | Dec18 7070 230 157 3806727 190 165 353 33 18.26 | Dec17 7015 197 177 3726825 217 142 351 32 18.20 | Dec18 6995 177 175 3526857 240 115 340 31 17.79 | Deci19 7045 197 150 3436850 240 117 342 30 18.23 | Dec20 6992 180 172 3516770 190 170 358 29 19.68 | Dec23 6962 182 145 3246862 210 90 284 28 15.84 | Dec24 7032 184 151 3326905 195 94 277 27 15.42 | Dec26 6965 188 147 3316882 197 81 262 26 14.94 | Dec27 6967 181 147 3256967 180 117 264 25 15.16 | Dec30 6905 179 146 3227032 24 Dec31 6877 177 145 3196955 23 Jan2 69877070 22 Jan3 69877060 21 Jan6 69457095 20 Jan7 70027080 19 Jan8 69607130 8 Jang 69927152 7 Jan 10 72927127 15 Jan13 73677035 14 Jan 14 73706990 13 Jan15 74556970 12 Jan 16 74827020 1 Jan17 74826960 10 Jan 20 74626887 9 Jan 21 74676850 8 Jan 22 74056915 7 Jan 23 74127027 6 Jan 24 74757042 5 Jan 27 74977118 4 Jan 28 74457065 3 Jan 29 75007040 2 Jan 30 74157077 1 Jan 31 73827020 January 97 option expire6 Feb3 7380
Feb4 7370
Feb5 = 7395
Feb6 73006992 237 217 452 66 15,93 | Feb7 73806915 250 205 451 65 16.18 | Feb10 74007030 «255 185 433 64 15.41 | Feb11 74977020 242 185 422 63 1514 | Feb12 76427055 257 180 430 62 15.46 | Feb13 76557040 242 175 411 61 14,94 | Feb14 76107090 255 160 405 60 14,75 | Feb18 77907112 262 «152 «402 «59 «14,72 | Feb19 77107087 240 167 400 57 14.95 | Feb20 78606995 202 190 391 56 14,94 | Feb21 7830 March 97 option expi6950 235 160 388 55 15,046930 245 159 305 54 15,526980 210 180 387 53 15,256920 232 152 376 52 15,076637 230 149 371 51 15.196790 20