16 9 1434) NwW7 73095 685 590 1267 6 14.15Sep 9 66505 8 Nw8s 73425 5Sep 10 66510 7 Nov 11 73410 4Sep 11 66700 6 Nov 12 73200 3Sep 12 67215 5 Nov 13 73415 2Sep 13 68285 4 Nov 14 73925 1Sep 16 68470 3 Nov 15 74090 November 98 option expiresSep 17 68395 218 68120 1 slanuary option and March futuresee 19 68405 September 96 option expiresNov8 74080 1810 1730 3533 49 13.63November option and December future Novi! 74065 1790 1725 3510 48 139.68Nov 12 73855 1870 1620 3468 47 13.70Sep9 67105 1710 1605 3306 49 14.08 | Nov13 74075 1715 1640 3349 46 13.33Sep 10 67115 1690 1575 3255 48 14.00 | Nov 14 74585 1730 1570 3287 45 13.14Sep 11 67300 1785 1500 3260 47 14.13 | Nov15 74750 1745 1495 3218 44 12.98Sep 12 67810 1775 1445 3191 46 13.87 } Nov 18 74705 1785 1495 3255 43 13.29Sep 13 68885 1770 1390 3125 45 13.53 | Nov19 75315 1810 1500 3283 42 13.45Sep 16 69075 1655 1465 3104 44 13.55 | Nov20 75305 1895 1595 3464 41 14.37Sep 17 68995 1595 1540 3131 43 13.84 | Nov2l 75245 1800 1555 3334 40 14.01Sep 18 68720 1685 1440 3104 42 13.94 | Nov 22 75820 1780 1530 3288 39 13.89Sep 19 68985 1520 1525 3045 41 13,79 | Nov25 76700 1800 1600 3383 38 14.31
 
LEGEND: fp = futures price, 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.
 
  VOLATILITY PROFILES 183
S&P500 INDEX 1996
fp max min s_ td Ww fp max mins td WwW
 
January 97 option expires
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.184 REFERENCE
 
 
 
 
T-BONDSBasedon Nearest ImpliedCalendar month Year Option strike volatilitvJANUARY 1993 Mar 105 8.60FEBRUARY 1993 Mar 107 851MARCH 1993 110 9.15APRIL 1993 Jun 109 8.74MAY. 1993 Sep 111 9.23JUNE 1993 Sep 110 8.76JULY 1993 Sep 114 8.04AUGUST 1993 Dec 115 8.60SEPTEMBER 1993 Dec 118 38.07OCTOBER 1993 Dec 119 8.77NOVEMBER 1993 Mar 118 8.72DECEMBER 1993 Mar 115 9.95JANUARY 1994 Mar 113 9.15FEBRUARY 1994 Mar 106 8.24MARCH 1994 Jun 109 9.66APRIL 1994 Jun 103 11.50MAY. 1994 Sep 104 11.27JUNE 1994 Sev 103 11.60JULY 1994 Sep 107 12.65AUGUST 1994 Dec 104 10.82SEPTEMBER 1994 Oec 103 10.27QCTOBER 1994 Dec 99 10.56NOVEMBER 1994 Mar 97 9.59DECEMBER 1994 Mar 98 9.98JANUARY 1995 Mar 99 9.58FEBRUARY 1995 Mar 101 9.40MARCH 1995 Jun 103 8.84APRIL 1995 Jun 104 8.71MAY. 1995 Sep 105 8.47JUNE 1995 Sep 113 9.65JULY 1995 Sep 114 10.82AUGUST 1995 Sep 110 10.56SEPTEMBER = 1995 Dec 113 9.66OCTOBER 1995 Dec 114 9.70NOVEMBER 1995 Mar 117 9.97DECEMBER 1995 Mar 120 9.38IUARY, 1996 Mar 121 9.39FEBRUARY 1996 Apr 120 10.56MARCH 1996 dun 116 9.64APRIL 1996 Jun 118 10.31MAY. 1996 Jun 109 11.43JUNE 1996 Jul 107 10.85JULY 1996 Sep 110 9.94Al Sep Wt 11.16SEPTEMBER 1996 Dec 107 1027OCTOBER 1996 Dec 110 10.40NOVEMBER 1996 Dec 113 9.01DECEMBER 1996 Jan 116 10.25JANUARY 1997 Mar 1 1058FEBRUARY 1997 Mar 112 97MARCH 1997 Jun 110 948APRIL 1997 yn 107 8.84MAY. 1997 ep 109 9.00JUNE 1997 Sep 110 857JULY 1997 Sep 112 8.30AUGUST 1997 Sep 115 853SEPTEMBER 1997 Dec 113 841OCTOBER 1997 Dec 116 8.33NOVEMBER 1997 Dec 118 8.26DECEMBER 1997 Mar 119 9.13VOLATILITY PROFILES
      
ms Treasur y Bond Futures (1996). "" i | hi
hy iil | \ i186 REFERENCE
T-BONDS 1996
 
fp mx min s td iv fp mx mins td Wv11975 8March option and March future 11965 711968 6Nw 20 11971 5Nov 21 Feb 12 12059 4Nw 22 Feb13 12071 3Nov 24 Feb 14 12021 2Nov 27 Feb 15 11915 1Nov 28 Feb 16 11825 March 96 option expiresNov 29 . .Nov 30 April option and June futureDec1Dec4 11990 180 173 352 36 9.80Dec 5 11903 175 169 344 35 9.76Dec6 11909 170 166 336 34 9.67Oec7 11926 173 148 319 33 9.31Dec 8 11915 164 150 313 32 9.28Dec 11 11918 164 141 303 31 9.13Dec 12 11921 161 139 298 30 9.13Dec 13 Feb12 12009 148 141 288 29 8.92Dec 14 Feb13 12021 158 134 290 28 9.12Dec 15 Feb14 11971 159 131 288 27 9.24Dec 18 Feb15 11868 155 123 275 26 9.08Dec 19 Feb16 11775 152 130 280 25 9.51Dec 20 Feb 20 11562 162 128 287 23 10.35Dec 21 Feb 21 11562 156 122 275 22 10.14Dec 22 Feb 22 11603 133 125 257 21 9.68Dec 26 Feb 23 11503 131 125 256 20 9.93Oec 27 Feb 26 11481 136 112 248 19 9.90Dec 28 Feb 27 11456 144 100 240 18 9.86Dec 29 Feb 28 11421 131 106 235 17 9.97Jan2 12134 200 134 327 33 9.39 | Feb29 11434 16Jan3 12156 181 138 315 32 9.16 11553 15Jan4 12065 180 144 321 31 9.55 11609 14Jan5 12028 178 150 326 30 9.88 11546 13Jan& 12034 173 141 311 29 9.60 11481 12Jan9 12012 161 148 308 28 9.69 11459 "1Jan10 11878 158 148 305 27 9.89 11159 10Jan11 11896 153 148 301 26 9.91 | Mar11 11231 9Jan12 11896 148 145 293 25 9.64 | Mar12 11187 8Jan15 11896 145 144 289 24 9.92 | Mar13 11156 7Jan16 12003 142 141 283 23 983 | Mar14 11150 6Jani17 12142 142 141 283 22 996 | Mar15 11059 5Jan18 12131 153 122 272 21 9.79 | Mar18 11109 4Jan19 12150 158 108 261 20 961 | Mar19 11112 3Jan 22 12053 152 105 252 19 9.61 | Mar20 11187 2Jan23 12009 130 122 251 18 9.87 | Mar21 11212 +
Jan 24 12090 128 119 246 17 9.88 | Mar22 11184 April 96 option expires
Jan 25 11959 145 105 246 16 10.29
Jan 26 12053 145 98 238 15 10.21 June option and June future
Jan 29 11990 123 114 236 14 10.53
Jan 30 12068 134 102 233 13 10.71 Feb29 11434 225 194 416 56 9.73Jan31 12093 112 106 218 12 10.38 11553 231 186 «4413 55 9.64
Feb 12040 i 11609 209 200 408 54 9.57Feb2 11953 10 11546 233 180 408 53 9.71Feb5 11959 9 11481 212 195 406 52 9.80
 
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.T-BONDS 1996
fp max mins td ivMar7 11459 217 180 394 51 962Mar8 11159 259 124 366 50 9.28Mar 1111231 212 181 390 49 9.93Mar 12 11187 202 189 390 48 10.06Mar 13 11156 216 170 382 47 9.96Mar 14 11150 214 164 373 46 9.88Mar 15 11059 220 161 375 45 10.12Mar 18 11109 233 142 365 44 9.82Mar 19 11112 231 144 366 43 10.04Mar 20 11187 186 173 358 42 9.87Mar 21 11212 180 167 346 41 9.64Mar 22 11184 180 162 340 40 963Mar 25 11278 210 133 335 39 951Mar 26 11268 203 134 330 38 9.50Mar 27 11131 205 136 334 37 987Mar 28 11071 214 142 349 36 10.50Mar 29 11146 198 145 338 35 10.25Apt 11178 180 158 336 34 10.31Apr2 11231 183 152 332 33 10.30Apr3 11209 172 162 333 32 1051Ape4 11162 188 180 335 31 10.77Aps 10893 203 109 301 29 10.27Apro 10843 173 119 287 28 9.90Apr10 10862 183 120 297 27 1051Apii 10818 159 141 298 26 10.82Apri2 10990 145 136 280 25 10.20Apri5 11028 150 122 270 24 9.98Api6 11031 147 116 260 23 9.84Ap 17 10984 132 119 250 22 9.70Apr18 10943 150 106 252 21 10.04Ap 19 10993 125 119 244 20 9.91Apr22 11050 144 95 234 19 9.72Apr23 11025 130 108 236 18 10.09Ap24 10975 130 108 236 17 10.43Ap 25 10096 117 114 231 16 10.49Apr26 11028 127 98 222 15 10.41Ap29 10984 119 103 221 14 10.74Apr30 10915 136 100 233 13 11.82May1 10912 114 103 216 12 11.43May2 10743 133 89 218 11 1221May3 10675 103 78 179 10 1059May6 10715 86 70 155 9 9.62May7 10693 78 72 150 8 9.89“ay8 10793 79 10759 6May 10 10868 5May 13. 10887 4May 14 10046 3May 15 10956 2May 16 10893 1May 17 10959 June 96 option expiressluly option and September futureMay8 10737 167 130 294 32 967May9 10703 150 134 283 31 9.49
 
VOLATILITY PROFILES 187
fp max mins ad ivMay 10 10812 148 136 283 30 9.56May 13° 10831 153 122 272 29 9.33May 14 10890 139 133 272 28 9.42May 15 10900 134 133 267 27 9.43May 16 10837 148 109 253 26 9.17May 17 10903 128 125 253 25 9.27May 20 10922 131 109 238 24 8.90May 21 10900 116 116 232 23 8.88May 22 10959 131 91 218 22 8.49May 23 10884 120 106 225 21 9.01May 24 10944 136 83 213 20 8.72May 28 10928 123 92 212 18 9.15May 29 10825 122 94 213 17 9.56May 30 10847 136 86 217 16 10.00May 31 10750 139 89 223 15 10.71Jun3 10740 131 91 218 #14 10.85Jun 4 10753 130 83 208 #13 10.74Jun 5 10815 111 95 205 12 10.92Juné 10881 109 91 198 11 11.00Jun 7 10700 89 89 178 10 10.52dun10 10656 108 64 167 9 10.46Jun 11 10628 91 65 154 8 10.21dun12 10687 79 66 144 7 10.27Jdun13 (10621 77 53 128 6 9.81Jun14 = 10681 64 45 107 5 8.97Jun17 10734 4Jun 18 = 10703 3dun 19 10678 2Jun 20 10681 1Jun 21 10700 July 96 option expires
September option and September future
Jun 17 10734 211 145 350 49 9.30Jun 18 10703 228 #131 348 48 940Juni9 10678 219 141 352 47 9.62Jun 20 10681 220 139 351 46 9.68dun 21 10700 227 127 343 45 9.55dun 24 10715 217 133 341 44 9.60dun 25 10759 195 155 346 43 9.82Jun 26 10771 188 #159 344 42 9.87dun 27 10840 195 155 346 41 9.98dun 28 10853 197 150 343 40 9.89Jul 10856 194 150 340 39 9.94dul 2 10806 189 145 330 38 9.82Jul3 10825 184 142 322 37 9.70Jul s 10640 180 139 315 35 10.02Juis 10643. 175 131 302 34 9.73Jul 9 10693 152 145 296 33 9.65Jul 10 10746 175 128 299 32 9,82Jul 11 10775 166 141 305 31 10.16dul 12 10834 164 130 291 30 9.81Jul 15 10781 158 139 295 29 10.18Jul 18 10850 173 123 291 28 10.14Jul 17 10837 167 130 294 27 10.43Jul 18 10971 152 123 272 26 9.74
LEGEND: f = 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.188 REFERENCE
T-BONDS 1996fp max mins td iv fp max min s td iv
Jul19 10906 138 133 271 25 9.92 | Sepi1i1 10678 198 177 373 45 10.42Jul22 10856 156 112 264 24 9.92 | sep12 10725 200 175 373 44 10.48Jul23. 10909 138 128 265 23 1014 | Sep13 10871 220 147 360 43 10.09Jul24 10818 #150 131 279 22 11.01 Sep 18 10881 220 139 351 42 9.94Jul25 10843. 162 119 277 21 11.15 | Sep17 10812 184 172 355 41 10.26Jul26 10856 159 119 274 20 11.30 | Sepi18 10806 180 173 352 40 1031Jul 29 10781 152 133 283 19 12.06 | sep19 10765 195 161 353 39 10.50Jul30 10843. 159 «116 «271 18 11.78 | Sep20 10775 188 164 350 38 10.54Jul31 10912 136 123 258 17 11.46 | Sep23 10809 175 166 340 37 1035Aug1 11068 141 109 247 16 11.16 | Sep24 10862 200 138 332 36 10.19
Aug2 11184 15 Sep 25 10921 172 152 322 35 9.98Aug5 11175 14 Sep 26 10981 170 153 322 34 10.04Augé 11159 13 Sep 27 10946 191 14