414 45 12.86 160 158 318 40 10.58Jan8 9592 203 195 397 44 12.49 160 152 311 39 10.50van9 9631-195 176 369 43 11.70 159 145 303 38 10.32Jan10 9637 189 176 364 42 11.65 149 140 268 37 9.96Jan il 9631 188 169 355 41 11.53 152 140 201 36 10.14Jan 12 9592 171 183 333 40 10.99 160 141 290 35 10.21van 15 9592 164 186 319 39 10.66 164 130 291 34 10.35Jan 16 9537 171 188 328 38 11.16 160 160 300 32 11.05Jan 17 9563 169 «156 324 37 (11.14 165 144 307 31 11.40Jan18 9550 155 155 310 36 10.82 178 135 309 «30 11.68Jan 19 9569 157 136 293 35 10.36 162 144 304 29 11.68Jan 22 9531 183 134 285 34 10.27 161 142 301 28 11.71Jan 23 9519 148 128 275 33 10.07 160 140 288 27 11.81Jan 24 9413 149 136 284 32 10.66 148 145 291 26 11.76Jan 25 9420 148 128 274 31 10.46 139 123 261 25 10.82Jan 26 9439 138 127 264 30 10.22 128 115 242 24 10.27Jan 29 9425 29 122. 113 234 «23 10.13Jan 30 9367 28 126 104 228 22 10.10Jan 3l 9402 27 112, 98 210 21 9.539417 26 113° 92 203° «209.44
eeeeAVN
 
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.“Ayineion poydul = Ay ‘Aujdxe |) skep GulpenJo JeqUINU = p} ‘e[ppe.ys-AeUOW-eY)-Je peyeu00 eoud = s ‘eoud UONdO Mo| exLISysesojo = ulus ‘eoud uondo yBiy eyyys ysesojo = xeus ‘aoud seunyny = dy :QN3D31
   
sexjdxe uondo gg6t AINT #216 sinr |66'e +z 861 246 0b 9656 6 ABW
 
2 eve ove 22 S6t 26 86 6W6 BARN€ e916 see €2 SY +6 El 6956 2 AEN¥ 2226 eee pe AZ tht 2b ease 9 AeWs 4226 686 SZ 92 OFF ezt 2956 € ABW9 £926 6v'0t 92 sGe IZt gel fese 2 AEWZ 126 e96 42 6€2 6tt CL Ose | AEN8 1826 avot 82 99% S21 Zp. case ocidv6 9az6 zs'oh 62 €42 ECL ty 8096 6zidvon 4226 86 CE Oe Zt 6zt fes6 9zidvub 9se6 aoe «L6 822 6OL CL 6ty6 szidya 8266 gee 26 LEZ Stt Git OSp6 vz sdveb 0076 926 FE Bt tL tZt Obp6 Ezadyvw 6826 e968 ve SEZ Bt OZ Sy¥6 zzadyoze St 9St OL 88 2026 698 S& ze Bit Zt WES 6tidveve 8 LIA GB $8 ates £06 9€ 962 42t Gz Srr6 stidvzoe zt SOL 82 «688 = RB zee 46 202 AL Set ate zbidvsce 6 got €8 se 226 woe 86 Syz vit EL Glee obidyzee 6 CL €8 2B 9626 eoe GE CZ 1Zt OG 16z6 Shidv268 02 98 v8 FO 0826 98 Ot B92 92 ZeL W226 abudy926 42 802 96 ELL sezE eee th 892 zet SE f0E6 thidv9v6 22 902 O01 Ol 20E6 876 «ey 062 SH Ot Lies Obidy676 €2 902 $6 ‘wit dzE6 see cy 992 HSA ees 6 ityze v2 961 96 Zt 9ge6 oz'é «6th 962 PH pS 0866) 86 Bidyze 92 SZ $6 Ltt REE 6y'6 9h vOE Shi OO SEW vidv968 92 SIZ 86 BIL 126 6 2b SE 9S 6st fS6 cidvope 22 St OOF OF peeE ee'6 8b SCE srt 8st 686 8 ZidvSSB 82 th2 SB Bi ezEs veok 6t PEE Ot GL Wes tidytea Of vz EOL Zit 60v6 BE: OS OE Zt 98 Szve 62 1EWe778 1€ Oz LOL it 26¥6 eso} IS O9€ HL 88 Se Bz 1eWsoe ze ote €Ol phi 6WO vos BS ME 2d BBL GOW 22 JENtL €€ AZ 6 Bt 18H6 vS'oL €S OE GLE Ol 16v6 92 J8N208 ve €22 LOL LIL 68%6 esol # CE SL Z6l 2zs6 sz ueEWBINyny TeqUeyses pue UOTdS AT SIN SUNT Pua TOTO sunseujdxe uondo 9661 GUNr %OL6 seiycxe uondo 9661 Udy SEW op dyt 2916 ‘ tsps cudvz t6L6 2 eees 89 zudv& £026 E WES sb ady¥ 6eze + Szv6 62 JEWs 9926 $ vise 8z JEW9 e066 9 6Br6 2Z JewZ 6926 L bev6 97 UW8 8026 8 2296 92 JWot +626 6 6 Sl 29 L 29n6 22 JEWth 18e6 A oveé OL tet 09 €8 ECZ¥6 12I2~Na €2e8 zoe ott 6Leb 29) «9k SkSB (Oz 2eWb ¥9e6 gee 2b Stl 6S $8 8256 61 JENvb sze8 ese BH “ts GB £ 6W6 BLJeNvee Gt teh «OL «BL «(0086 ree «pt 6St ZZ «668 L856 SE EWa2 9 tet 69 92 20¥6 vee GA Zt 8 88 9656 Ft JEWze. 2b Ik «622 «(08 (2668 tro. 91 S6t 16 SO vege EL JENA pos uw xew NA pl os uw xew dj
9661 NSA S3SANVdvr
661 SHTHOU”d ALYILLVIOA200 REFERENCE
fp = max min
Jun17 9289 172Jun18 9400 173Jun19 9378 176Jun 20 9356 158Jun 21 9271 164Jun 24 9286 151Jun 25 9281 149Jun 26 9241 148Jun 27 9263 148Jun 28 9221 152Jul 1 9222 140Jul 2 9153 128Jui3 9147 126Jus 9124 136Jus 9114 128Jul 9 9156 125Juli0 9159 120Jul 14 9150 112
Aug5 9432 107Aug6 9414 100Aug7 9312.91Aug8 9264 81Aug 9283 82Augi2 9336 77Augi3 933774Augi4 9300 65Aug 15 9298 = 64Aug 16 9321 72Aug19 9311Aug 20 9261Aug 21 9250Aug 22 9267Aug 23 9282Aug 26 9309Aug 27 9311Aug 28 9248
29 9247Aug 30 9200
JAPANESE YEN 1996s td WV fp max min std ivSep3 9170 3162 333 «59 9.34] Sep4 9210 2172 345 58 9.64] Sep5 9171 1185 329 57 9.30| sep6 9148 September 1996 option expires152 310 56 8.64143° 305 «55 8.88 October option and December future137 287 84 8.41130 277 53 8.21] Augi9 9428 113 91 202 34 7.35137 282 «52 847| Aug20 9377 110 85 193 33 7.15135 282 «51 852] Aug2! 9367 103 85 186 32 7.04131 281 50 8.63| Aug22 9364 100 84 183 31 6.99118 256 49 7.93| Aug23 9399 86 85 171 30 6.64124 262 48 47.94] Aug26 9427 101 76 175 29 6.88123 249 «47 7.93] Aig27 9428 103 82 183 28 7,34112° 246 «45 «8.03| Aug28 9367 90 +73 161 27 6.64114 241 44 7.97] Aug29 «9366 «65 6918326 6.39119 244 «43 8.11] Aug30 9319 86 67 151 25 6.49111 230 42 7.76| Sep3 9291 77° «6B «144 23s«G.47111 223° «41 7.61] Sep4 9331 85 68 149 22 6.82108 217 40 754]/_95 92922 75 67 141 21 6.64105 214 39 7.48| Sep6 9267 74 56 128 20 6.19110 236 38 831] Seng 9281 19109 237 37 8.40] Sep 10 9233 18124 255 36 9.16] Sepi1 9196 17117° 251-35 «9.11 | Sep 12 9189 16115 251 34 9.18] Sep13 9170 15119 247 33 9.21| Sep 16 9191 14110 228 32 869] Sep17 9185 13105 214 «31 «8.26 | Sep 18 9278 1298 202 30 7.95| Sep19 9250 "194 194 29 7.72| Sep20 9205 1088 197 28 7.98] Sep23 9209 997 227 27 9.28} Sep24 9267 8104 216 «26 9.03 | Sep25 9153 796 205 25 8.70} Sep26 9139 689 194 24 8.41| Sep27 9117 586 185 23 8.19] Sep30 9075 479 169 22 7.74] Oct1 9071 373 153 «21 «7.21 | Od2 9028 265 145 20 7.01] 0d3 9061 163 139 19 6.82] O0d4 9030 October 1996 option expires61 134 18 6.7665 130 17 678 December option and December future62 126 16 6.7751 121 15 6.70| Sep9 9281 148 129 275 64 7.4214 Sep 10 9233 152 119 268 63 7.3113 Sep11 91968 136 132 268 62 7.3912 Sep12 9189 137 127 263 61 7.331 Sep13 9170 149 119 265 60 7.4710 Sep16 9191 136 129 266 59 7.549 Sep 17 9185 142 127 268 58 7.658 Sep 18 9278 151 126 275 57 7.857 Sep 19 9250 132 132 264 56 7.836 Sep20 9205 131 126 257 55 7.525 Sep 23 9209 131 122 252 54 7.46
 
LEGEND: fp = futuresprice, max = closest strike high option price, min= closeststrike low option price, s = price corrected at-the-money-straddle, fd = number oftrading days till expiry, iv = implied volatility.SSRETSTO VF OM“gyVED
RERRLRRRRLRRE RRL RSET ES
Oct 28
Nov 20
SER 287 FF 2EFOOS ON BNBRRN
8911
max
min119118
113110
101
VOLATILITY PROFILES 201
JAPANESE YEN 1996
std iv max minis td iv254 63 7.52 January option and March future240 52 7.26236 451 7.23|Nov25 9012 988 76 163 27 6.96236 50 7.34| Nov26 9019 88 69 155 26 6.75234 49 7.36 | Nov27 8957 76 69 144 25 6.45224 48 7.14] Nov29 8914 77 63 139 24 6,35219 47 7.08| Dec2 8849 73 72 145 23 6.83212 46 6.90] Dec3 8953 77 73 160 22 7.13204 45 «46.74| Dec4 8972 86 64 148 21 7.20203 44 6.72| DecS 9025 95 70 163 20 8.06202 43 6.79| Dec6 8974 90 68 154 19 7.86194 42 6.63 | Dec9 8930 72 61 132 18 6.96189 41 6.49] Dec10 8939 70 58 128 17 6.95186 40 6.51 | Deci1 8967 74 56 128 16 7.16181 39 6.41 | Deci2 8938 68 58 123 15 7.10164 38 6.64| Dec13 8892 68 61 128 14 7.72180 37 6.80] Deci6 3833 13176 36 6.54| Dec17 93994 12180 35 6.81] Deci8 8908 "1174 34 6.67 | Dec19 8878 19179 33 6.93] Dec 20 8853 9181 32 7.17) Dec23 8871 8174 31 7.01 | Dec24 9841 7176 30 7.22 | Dec26 8803 5190 29 8.00] Dec27 98750 4200 28 8.56 | Dec30 8700 31868 27 8.12 | Dec31 8713 2164 26 «8.18 | Jan2 = 8742 1186 25) «=8.37| Jan3 8678 January 1997 option expires173 24 «8,02173 23° «8.19 February option and March future154 227.44183 21 893] Dee16 9833 116 99 214 38 7.66161 20 7.99| Dec17 8894 110 104 214 37 7.89165 19 835] Dec18 8908 113 105 217 36 813156 18 814] Dec19 8878 119 90 206 35 7.86148 17 6,00| Dec20 8853 105 101 206 34 7.97135 16 7.48| Dec23 8871 109 88 195 33 7.66131 15 7.48| Dec24 8841 101 92 192 32 7.69130 14 7.70| Dec26 8803 101 98 199 30 8.24111 13 6,88 | Dec27 8750 124 64 204 29 8.66108 12 6,95 | Dec30 8700 104 104 208 28 9.04104 11 6.96 | Dec31 8713 102 101 203 27 8.96102 10 7.20
9 Feb7 8173 February 1997 option expires8
poLan
1
8860 December 1996 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.202
 
 
 
 
 
REFERENCEBasedon Nearest ImpliedCalendar month Year Option strike volatilityJANUARY 1993 Apr 325 9.59FEBRUARY 1993 Apr 330 9.98MARCH 1993 Jun 330 8.69APRIL 1993 Jun 340 9.50MAY. 1993 Aug 355 14.21JUNE 1993 Oct 375 18.03JULY 1993 Oct 390 18.25AUGUST 1993 Dec 410 19.69SEPTEMBER 1993 Dec 375 14.16OCTOBER 1993 Dec 360 15.28NOVEMBER 1993 Feb 365 18.34DECEMBER 1993 Apr 330 16.47JANUARY 1994 Apr 395 17.35FEBRUARY 1994 Jun 385 14.50MARCH 1904 lun 380 13.39APRIL 1904 ug 390 13.86MAY. 1994 Aug 380 11:34JUNE 1904 Oct 390 13.17JULY 1994 Oct 390 1251AJGUST 1994 Dec 390 10.91SEPTEMBER 1994 Dec 390 O71OCTOBER 1994 Feb 400 10.99NOVEMBER 1994 Feb +390 8.76DECEMBER 1994 Apr 385 8.03JANUARY 1995 Apr 380 8.09FEBRUARY 1995 oy 330 8.25MARCH 1995 380 7.79APRIL 1995 Aug 400 1215MAY 1995 Aug 395 10.75JUNE 1995 Oct 390 7.79JULY 1995 Oct 390 743AUGUST 1995 Oec 390 7.02SEPTEMBER = 1995 Dec 385 752OCTOBER 1995 Feb 3385 696NOVEMBER 1995 Fab 385 744DECEMBER 1995 Apr 390 838JANUARY 1996 Apr 395 738FEBRUARY 1996 Apr 415 14.14MARCH 1996 Jun 404 9.90APRIL 1996 dun 400 8.64MAY. 1996 Aug 400 7.68JUNE 1996 ‘Oct 395 735JULY 1996 Oct 385 692AUGUST 1996 Dec 390 617SEPTEMBER = 1996 Dec 390 5.68OCTOBER 1996 Fab 385 579NOVEMBER 1996 Feb 380 4.94DECEMBER 1996 Apr 375 664JUARY 1997 Apr 370 7.73FEBRUARY 1997 dun 350 10.32APRIL 1997 a oes "yoeug .MAY. 1997 Aug 445 8.92JUNE 1997 Oct 345 8.43JULY 1997 Oct 375 9.12AUGUST 1997 Dec 365 10.09SEPTEMBER = 1997 Dec 325 12.92OCTOBER 1997 Feb 338 9.66NOVEMBER 1997 Feb 315 15.78DECEMBER 1997 Aor 300 15.16VOLATILITY PROFILES 203
| Go band vw uture s (1996)
“| Hitt | Wye
        
Mi, My, ;| 15%204 REFERENCE
fp
   
Jan 2 3948Jan 3 3991Jan 4 3983Jan 5 3994Jan 8 3904Jang 3998Jan 10 4031Jani1 4022Jan12 3996Jan15 3990Jan16 4017
4029
max min
SRPSSSISS
s
110124137149150148147141149132131
GOLD 1996
td
RBERRBRSBSLSSSRRSIES
iv
fp
9876543Maré 3944 2Mar? 3964 1Mar 8 3982 April 96 option expires.June option and June futureFeb14 4091 95 85 179 62Feb15 4083 97 82 178 61Feb16 4101 87 84 171 60Feb 20 4037 102 63 161 58Feb21 4066 103 72 172 57Feb 22 4041 97 69 163 56Feb 23 4025 91 66 155 55Feb26 4032 90 66 154 54Feb27 4022 88 66 152 53Feb28 4047 93 62 152 52Feb29 4038 98 58 152 51Mar 4 4028 87 57 1