26.5529.8629.6426.4727.6928.4026.1726.6928.5129.53
 
VOLATILITY PROFILES
fp1394014565147451445515080
max_ min
td54321
15105 March 97 option expires
261
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, td = number of
trading days till expiry, iv = implied volatility.262 REFERENCE
 
 
 
 
SUGARBased on Nearest ImpliedCalendar month Year Option strike volatilityJANUARY 1993 May 850 24.22FEBRUARY 1993 May 850 23.291993 Jul 1050 35.33,APRIL 1993 Jul 1250 3363MAY. 1993 Jul 120 42.92JUNE 1993 Oct 1100 37.64JULY 1993 Oct 1050 38.15AUGUST 1993 Jan 1000 26.46SEPTEMBER 1993 Jan 960 24.16OCTOBER 1993 Jan 1100 23.18NOVEMBER 1993 Mar 28.26DECEMBER 1993 Mar 1050 30.061994 May 1100 29.09FEBRUARY 1994 May 1100 27.49MARCH 1994 Jul 1200 32.76APRIL 1994 Jul 1200 25.57MAY. 1994 Jul 1150 30.61JUNE 1994 Aug 1200 30.90JULY 1994 Oct 1150 31.631994 Jan 1150 22.44SEPTEMBER 1994 Nov 1200 25.50BER 1994 Jan 1250 23.46NOVEMBER 1994 Mar 1300 23.93DECEMBER 1eaa Mar 1450 37.12JANUARY 1995 Mar 1550 29.58FEBRUARY 1995 1400 24.311995 Jul 1350 21.16APRIL 1995 Jul 1300 21.66MAY. 1995 Jul 1200 33.96JUNE 1995 Oct 1000 29.26JULY 1995 Oct 1100 26.03995 Jan 1000 23.60SEPTEMBER 1995 Jan 1050 22.76995 Jan 1050 24.56NOVEMBER 4555 Mar 1050 22.12DECEMBER 1995 Mar 1150 23.52JANUARY 1996 Mar 1200 22.26FEBRUARY 1996 May 1100 27.27MARCH 1996 May 1150 25.25APRIL 1996 Jul 1100 22.75MAY. 1996 Jul 1050 26.74INE 1996 Oct 1100 22.54JULY 1996 Oct 1150 22.93AUGUST. 1996 ‘Oct 1200 23.04SEPTEMBER 1996 Jan 1150 16.43OCTOBER, 1996 Jan 1100 16.57NOVEMBER 1996 Mar 1050 16.55DECEMBER iso Mar 1060 12.081997 May 1100 17.60FEBRUARY 1997 1050 20.16MARCH 1997 Jul 1050 17.49APRIL 1997 Jul 1050 16.50\4 1997 Oct 1050 17.16JUNE 1997 Oct 1100 16.32JULY 1997 Oct 1100 16.57AUGUST 1997 Jan 1200 16.46SEPTEMBER 1997 Jan 1200 17.44OCTOBER 1997 Jan 1150 15.53NOVEMBER 1997 Mar 1250 16.65DECEMBER ta07 Mar 1250 18.Sugar Futures (1996)
ii i ih wt. il "4 i -
   
  264 REFERENCE
SUGAR 1996fp max mins td iv s td ivMarch option and March future May option and May futureNov 20 1089 100 59 22.96Nov 21 1079 101 58 23.52Nov 22 1086 100 57 23.61Nov 27 1097 99 56 23.76Nov 26 1081 104 55 24.65Nov 29 1092 109 54 25.37Nov 30 1097 112 53 26.74Dect 1130 109 52 26.29Dec4 = 1138 109 51 27.27Dec5 1129 112 50 26.35Dec6 1132 115 49 26.66Dec? 1126 110 46 27.96Decé 1144 108 47 27.61Decll 1138 109 46 27.66Dec 12 1146 107 45 27.76Dec 13 1137 110 44 26.05Dec 14 1140 106 43 27.53Dec 15 1143 99 42 25.97Dec 18 1129 99 41 26.15Dec 19 1138 94 40 25.01Dec 20 1160 67 38 23.64Dec 21 1154 62 37 22.79Dec22 1188 60 36 22,25Dec 27 1154 76 35 22.34Dec 26 1156 79 34 22.61Dec 29 1160 79 93 22.76Jan2 1183 «43-26 67-26-2147 60 32 23.23Jan3 1184 430-26 67s «2721.84 63 31 25.26Jan4 1172 44 23 65 26 21.60 60 30 24.54Jan5 1189 40 29 68 25 22.66 76 29 23.65Jani0 1194 37 26 62 22 22.12 73° 26 23.08Jani1 1173 44 20 61 21 2267 71 27 22.93Jani2 1179 41 20 58 20 2217 66 26 22.39Jani5 1167 36 22 57 19 22.22 67 25 22.49Jan 16 1087 31 24 54 16 23.57 71 24 23.34Jan17 1109 32 «23°0«54 (17 23.68 69 23 23.46Janié 1130 39 19 56 16 2458 66 22 22.75Jani9 1149 26 «425 «651 15 22.88 67 21 23.21Jan22 1186 14 63 20 22.65Jan 231176 13 67 19 24.17Jan24 1167 12 65 18 24.11Jan25 1172 " 61 17 23.01Jan26 1219 10 63 16 24.76Jan 29 1248 9 56 15 23.84Jan30 1236 6 14Jan31 1215 7 13Feb1 = 1193 6 12Feb2 1204 5 "1Feb5 1219 4 10Feb6 1200 3 9Feb7 1202 2 8Feb8 1212 1 7Feb9 1201 March 96 option expires 64
 
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 265
    
SUGAR 1996fp max mins td WM fp max mins td wv
Apr9 1158 3 Jun 4 1142 8Apr10 = 1163 2 Jun 5 1135, 7Apri1 | 1174 1 Jun 6 1160 6Apr12 1162 May 96 option expires Jun7 1158 5
dunt10 1144 4
duly option and July future Jun 11 1180 3
Jun 12 1174 2Mare5 1137 59 53 45 97 Jun 13 1168 1Mar26 1121 58 §&1 48 99 Jun 14 1167 July option expiresMar27 1118 57 50 48 98Mar 28 1101 56 54 41 94 October option and October futureMar29 1113 55 47 47 94Apri 1092 §4 50 42 91 May 29 1045 57 50 106 76 23.36Apr2 1090 53. «50 41-90 May 30 1047 52 52 104 75 22.94Apr3 1099 «5520 47) 4794 May 31 1061 58 44 #101 74 2207Apr4 1106 51 50 43 92 Jun 3 1082. 55) «49 «103 73.22.39Apré 1126 49 61 3 94 Jun 4 1075 53° 51 «104 «72 «(22.77Apr9 1104 48 47 43 90 Jun 5 1075 57) = 47, 103.71 .22.77Apri0 1110 47 $2 42 93 Jun 6 1087 60) «= 44 102, 70.22.54Apri1 1126 46 62 35 94 Jun 7 1088 8656 4647 «#102 69 22.62Apri2 1112 45 50 41 90 Jun 10 1076 «55 48 102 66 23,08Apri§ 1119 44 54 35 67 Jun 11 1105 59 43 100 67 22.22Apr16 1111 43 «52 35 65 Jun 12 1115 62 39 99 66 21.77Apr17 1116 42 50 36 65 Jun 13 1111 57. 44 100 65 22.29Apri8 1062 41 51 35 384 Jun 14 1116 60 44 102 64 22.96Apri9 1058 40 43 37° «79 Jun 17 1123 66 42 106 63 23.68Apr22 1061 39 46 35 80 I. Jun 18 1116 59 42 99 62 2262Apr23. 1066 «3647031 76 Jun 19 1116 56 42 97 61 22.19Apr24 1075 37 53 26 76 Jun 20 1116 55 40 94 60 21.65Ap 25 1056 36 43 36 61 Jun 21 1139 651 442 «6992 59 21.08Apr26. 1036 35 46 34 79 . Jun 24 1123 58 34 69 56 20.91Apr29 (1041 340645 C¢~CO TT x Jun 25 1120, 57 3% 9 S57 21.48Aprso. 1089 33 44 HK 7 Jun 26 1141 52. 43 94 56 22.07May1 1033 32 49 «31 = 76 Jun 27 1141 53 44 96 55 22.74May2 1040 31 46 32 ~77 x Jun 28 11551 360 «66 54 «21.43May3 1051 30 39 «= 36 75 Jul 1132 56 40 94 53 22.93May6 1059 29 43 32 74 dul 2 138 «653041 93 52 22.64May7 1062 28 43 31 73 5 Jus 11389 53 40 92 50 22.79May8 1087 27 43 31 73 dul 8 169 «656 0 «6370 «91 «449 22.26May9 1078 26 47 27 72 . Jul 9 1167 55 37 90 46 22.31May 10 1076 25 47 23 e7 % Jul 10 1164 50 37 66 47 21.50May 13 1080 24 46 25 69 Jul 11 1168 650 «633° «61 «(46 «20.52May14 10891 23 39 26 66 dul 12 1177, 54 31 62 45 20.89May 15 1093 22 37 29 65 x Jul 15 1165 49 34 62 44 20.75May16 1105 21 35 28 63 dul 16 1165 48 33 80 43 20.82May 17 1142 20 42 32 73 Jul 17 1179 520 29-76 «4220.53May 20 1150 19 34 34 68 Jul 16 1166 42 32 73 41 19.58May 21. 1139 16 39 26 66 Jul 19 1165 46 32 77 40 20.80May 22 1138 17 37 25 61 Jul 22 1151 390 38=— 77) 39 «21.40May23 1122 16 42 21 60 Jui 23 1145 42 36 77 36 21.95May 24 1126 15 36 21 57 dul 24 1169 46 29 75 37 21.09May 28 1101 13 26 26 56 Jul 25 1173 50 29 77 36 21.60May 29 1095 12 Jul 26 1190 51 3300 «62: 35 23.34May 30 1102 abt Jul 2 1188 847 35 461 34 23.35May 31 1121 10 Jul 30 1167 48 35 62 33 23.98Jun 3 1147 9 Jul 31 1170 49 32 79 32 23.96
 
LEGEND: /p = futures price, max = closest strike high option price, min = closeststrike low option price, S = price corrected at-the-money-st le, td = number oftrading days till expiry, iv = implied volatility.266 REFERENCE
SUGAR 1996ivAugi 1178 50 28 76 31 23.04 | Sep28Aug2 1171 49 28 75 30 23.29 | Sep 27Aug5 1173 48 25 70 29 22.26 | Sep30AugS 1164 41 30 70 28 22,72 | Oct1Aug7 1148 35 33 68 27 22.74 | Oct2Aug8 1137 40 28 67 26 23.06 | Oct3Aug9 1146 30 30 60 25 20.91 | Oct4Aug 12 1159 37 28 64 24 22.60 | Oct7Augi3 1188 35 23 57 23 19.94 | OctAugi4 1181 39 17 53 22 19.17 | Oct9Augi5 1166 40 16 53 21 19.70 | Oct10Augié 1164 32 21 52 20 19,94 | Oct11Augi9 1172 37 15 49 19 19.16 | Oct14Aug20 1181 39 14 49 18 19.64 | Oct15Aug21 1182 40 15 51 17 21.07 | Oct1é6Aug22 1185 37 13 46 16 19.54 | Oct17Aug23 1185 38 14 48 15 21.11 | Oct18Aug 2 1165 14 Oct 21Aug 27 1174 13 Oct 22Aug 28 1173 12 Oct 23Aug 29 (1173 "1 Oct 24Aug 30 1178 10 Oct 25Sep3 1218 8 Oct 28Sep4 1212 7 Oct 29sep5 1201 6 Oct 30Sep6 1200 5 Oct 31Sep9 1203 4 Nov1Sep 10 1205 3 Nw4Sep 11 1196 2 Nov5Sep 12 1189 1 NoveSep 13 1164 October 96 option expires Nov78January option and March future Nov 11Nov 12Aug26 1135 55 33 86 78 17.09 | Nov 13Aug 27 1144 560 36 85 77 1687 | Nov14Aug28 1143 52 27 76 76 15.27 | Nov 15Ag29 1143 52 28 77 75 15.61 | NovisAug30 1148 42 35 76 74 15.47 | Nov19Sep3 1171 53 31 82 72 1643 | Nov 20Sep4 1164 51 30 79 71 16,05 | Nov21Sep5 1167 51 30 79 70 16,13 | .Nov22Sep6 1169 49 30 77 69 15.86 | Nov 25Sep9 1173 47 30 75 68 1566 | Nw 26$ep10 1173 46 30 74 67 15.49 | Nov 27Sep11 1166 44 30 73 68 15.33 | Dec2Sep12 1187 43 30 72 65 15.25 | Dec3Sep13 1145 41 30 70 64 15.27 | Dec4Sep16 1141 39 30 68 63 15.05 | DecsSep17 1128 49 24 70 62 15.75 | DecéSep 18 1130 60 23 70 61 15.77 | Dec9Sep 19 1137 44 27 69 60 15.72 Dec 10Sep20 1121 47 21 65 59 15.01 | DeciiSep 23 1127 46 «#19 61 58 14.29 | Dec 12Sep24 1104 32 30 62 57 14.84 | Dec 13Sep25 1092 37 29 65 56 15.97
 
1083106710891078108910851093108810821078
10811086107310701077
1057
10461073 January 97 option expires
434239a13742
4235
394233
SISRBISSSLLSS
e=NSraaresSiRSVSBVBBSlRBSRSVSSsrsstasssssrsgea
sNORUNA NO
16.7316.6316.6416.7316.4416.7616.8316.1315.7515.8818.8715,8414.9815.1016.2216.3016.22
LEGEND: f = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, td = number of
trading days till expiry, iv = implied volatility.VOLATILITY PROFILES 267
SUGAR 1996max min 8 td Wv fp ma min s td iv
Jan 9 1072 26
March option and March future Jan10 1064 25Jan13 1049 24
Oct21 1057 43 38 81 81 16.94 | Jan14 1051 23Oct22 1063 49 35 83 80 17.39 | Jan15 1062 22Oct23 1065 49 34 82 79 17.23 | Jan16 1057 21Oct24 1066 53 35 86 78 1831 | Jan17 1052 20Oct25 1070 54 34 86 77 18.30 | Jan20 1035 19Oct28 1054 44 39 83 76 17.97 | Jan21 1017 18Oct29 1049 41 41 82 75 18.05 | Jan22 1017 17Oct30 1047 41 39 80 74 17.73 | Jan23 1015 16Oct31 1030 49 33 80 73 18.27 | Jan24 1024 15Nwi 1036 49 34 82 72 1855 | Jan27 1044 14Nov4 1035 50 34 82 71 1890 | Jan28 1041 13NovS 1033 51 33 82 70 19.01 | Jan29 1033 12Nové 1040 47 37 83 69 19.24 | Jan30 1039 "1Nov7 1048 45 37 81 88 1881 | Jan31 1045 10
Nov8 1053 43 38 81 67 1870 | Feb3 1042Novi1 1055 42 38 80 66 1859 | Feb4 1044Nov12 1030 45 33 77 65 18.37 | Feb5 1058Nov13 1048 38 37 75 64 17.87 | Feb6 1066Nov14 1037 45 32 76 63 18.41 Feb 7 1060Nov15 1035 46 32 77 82 18.81 Feb 10 1051Nov18 1046 40 36 76 61 1852 | Feb11 1063Nov19 1069 47 31 76 60 1845 | Feb12 1066Nw20 1068 47 31 76 59 1862 | Feb13 1064Nov21 1059 47 31 76 58 18.94 | Feb 14 1078 March 97 option expiresNov22 1065 47 32 78 57 19.28Nov25 1068 47 30 75 56 18.83Nw26 1075 60