22 183 368 45 1972| Apr29 5317 265 208 464 73 20.45ApS 5529 185 155 337 44 1840| Apr30 5396 301 192 482 72 21.05Ag16 5340 209 120 319 43 1823] May1 5481 255 231 484 71 20.96
     
   
Apr17 5364 215 111 314 42 18.09] May2 5476 257 228 483 70 21.06Apr18 5316 192 127 312 41 1836 | May3 5526 253 232 483 69 21.06Apr19 5306 192 135 321 40 1916 | May6 5546 259 218 473 68 20.70Apr22 5374 390 May7 5571 270 203 467 67 20.47Apr 23 5364 38 May8 5521 240 223 462 66 20.58Apr24 341 37 May9 5503 230 230 460 65 20.74Apr25 5414 36 May 10 5431 264 190 447 64 20.57Apr26 5311 35 May13 5451 248 194 437 63 20.20Apr29 — §261 34 May 14 5456 244 195 435 62 20.23Apr30 5340 33 May15 5468 230 192 419 61 19.61May1 5425 32 May16 5433 240 171 404 60 19.22May2 6420 31 May17 5393 260 150 398 59 19.21May3 5470 30 May 20 5331 227 150 369 58 18.19May6 5490 29 May 21 5354 239 139 367 57 18.16May7 5515 28 May 22 5399 226 152 371 56 18.35May8 5465 27 May 23 5391 261 125 369 55 18.47May9 5447 26 May 24 5379 255 130 370 54 18.73May 10 §375 25 May 28 5414 235 146 372 52 19.04May 13 5395 24 May 20 5391 246 135 368 51 19.14May 14 5400 23 May 30 6399 239 137 365 50 19.11May 15 5412 22 May 31 5459 203 162 361 49 18.91May 16 5377 21 Jun 3 5436 212 148 354 48 18.79May 17 5337 20 Jun 4 5241 205 148 348 47 19.35May 20 5275 19 Jun 5 5211 185 145 326 46 18.47May 21 5298 18 dun 6 5251 163 162 325 45 18.45May 22 §343 7 Jun 7 §229 171 150 319 44 18.41May 23 §335 16 Jun10 §233 162 «145 «306 «43° «(17.81May 24 §323 15 dun11 5156 216 120 325 42 19.47May 28 5358 13 Jun12 5146-216 «110 313 41 19.02May 29 §335 12 Jun13 5106 212 108 308 40 19.06May 30 §343 "1 Jun14 5228-179 «155-332 «39 (20.33May 31 5403 10 Jun17 5238 (165 4152 316 38 19.57Jun3  §380 9 Jun18 5231 164 «145° «-307«37-—«:19.32Jun4 5185 8 Juni9 5168 «192 110 293 36 18.90Jur5 5155 7 Jun20 6178 183 111 286 35 18.70Jun6 = §195 6 Jun21 = 5163. «193 107 290 34 «(19.29Jun7 — §173 5 Jun 24 = §191 167 109-270 33 18.12Jun 10 5177 4 Jun 25 §203 158 «110 263 «32 «(17.89Jun 11 §100 3 Jun26 5111. 157, 112 265 «31s: 118.60Jun 12 5090 2 Jun27 5038 «155 «115 266 «30 19.30Jun 13 5050 1 Jun28 5035 147 115 259 29 19.11Jun 14 5172 July 96 option expires Jul 1 5082 174 92 257 28 19.08
27
25
24
23
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.212 REFERENCESILVER 1996fp max mins td iv fp max min_s ‘td
Julto. 5115 168 «= 58-209 «22 «17.41 | Aug26 5329 205 123 319 54Juli? 5145 166 «61 «211 21 «1793 | Aug27 5314 195 130 318 53Jul12 5142 162 «55 200 20 17.40| Aug28 5248 157 156 313 52Jul15 5165 19 Aug 29 5251 180 145 295 51Jul16 4043 18 Aug30 5250 145 145 290 50Jul17 4960 17 Sep3 5208 166 124 266 48Jul18 5000 16 Sep4 5230 152 132 282 47Jul19 4965 15 Sep5 5193 173 117 284 46Jul22 5015 14 Sep6 5158 210 86 279 45Jul23 4970 13 Sep9 5128 206 83 272 44dul24 5010 12 Sep10 5143 204 81 268 43Jul25 4987 1 Sep11 5140 205 81 268 42dul 26 5103 10 Sep12 5060 162 102 258 41dul 29 5068 9 Sep13 5053 155 102 252 40Jul30 5068 8 Sep 16 5085 39Just 5148 7Augi 5110 6 Nws 4838 December option expiresAug2 5075 5Aug5 5087 4 March option and March futureAug6 5035 3Aug7 5042 2 Sep16 5156 297 177 461 107Auy8 5098 1 Sep17 5149 299 174 459 108Aug9 5040 September 96 option expires Sep18 5169 295 172 454 105
Sep19 5011 2383 215 446 104December option and December future Sep20 4934 260 200 454 103
Sep23 4966 238 «206 441 102dul15 5241 211 213 424 64 17.68 | Sep24 5006 228 217 444 101Jul16 5019 225-200 423 «83 1850] Sep25 4983 220 217 437 100Jul17 5036 229-193 419 82 18.37] Sep26 4956 240 200 436 99dul18 5076 249-174 416 81 1820] Sep27 4991 215 210 425 98dul19 5041 228 188 4412 80 1830] Sep30 4948 238 190 424 97Jul22 5091 250 165 406 79 17.96 | Oct1 4981 223 208 430 96Jul23 5046 228 183 407 78 1826 | Oct2 4998 214 213 427 95Jul24 5086-247 162 400 77 17.94| Oct3 4976 220 202 420 94Jul25 5063 240 172 405 76 1837 | Oct4 4946 239 185 419 93Jul26 5179 250 183 427 75 19.03 | Oct7 4959 226 185 407 92Jul29 5144 270 168 «427 74 19.32 | Octa 4969 216 185 398 91dul30 5144-264 «162 415 73 18,90 | Oct9 5044 223 178 397 90dul31 5224-214 193 405 72 18.28 | Oct10 5131 280 152 417 89Auj1 5186 235 175 404 71 1851] Octi1 5129 280 152 417 88Aug2 5151 259 162 411 70 19.07] Oct14 5106 278 151 415 87Aug5 5163 268 145 399 69 1861] Octi5 5116 277 149 411 86Auy6 5111 266 143 395 68 18.74] OctiG 5091 270 144 400 85Aug7 5118 264 139 389 67 1855] Oct17 4973 208 180 386 64Aug8 5174 264 141 391 66 1860 | Oct18 4968 207 173 377 83Aug9 5116 264 140 390 65 1890 | Oct21 5006 188 182 370 82Augi2 5143 258 135 379 64 1841 | Oct22 5061 218 158 370 81Aug 13 5161 250 128 364 63 17.75 | Oct23 5059 216 158 369 80Aug 14 5121 244 120 349 62 17.31] Oct24 4989 193 181 373 79Aug 15 5163 242 119 346 61 17.16 | Oct25 4996 185 180 365 78Aug 16 5153 239 116 340 60 17.03 | Oct28 5001 183 183. 366 77Aug 19 5286 253 128 366 59 1803] Oct29 4891 248 125 358 76Aug20 5286 252 116 351 58 17.43 | Oct30 4899 249 126 380 75Aug 21 5246 163 162 325 57 1641 | Oct31 4879 247 125 357 74Aug22 5296 187 145 328 56 1656 | Nov! 4869 246 124 357 73Aug 23 5273 173 «144 «314 55 1608] Nw4 4679 243 121 349 72
 
iv
16.31
16.4716.5415.71
15.6215.8615.7516.1516.1215.9915.8716.1215.91
15.75
LEGEND: fp = futures price. max = closest strike high option price, min = closeststrike low option priie, s = price corrected at-the-money-straddie, fd = number oftrading days till expiry, iv = implied volatility.VOLATILITY PROFILES 213
SILVER 1996td iv
                 
Nw5 4864 243 118 346 71 16.87 | Jan28 4963 13Nw6 4764 182 153 332 70 16.61 Jan 20 4940 12Nw7 4904 246 122 353 69 17.33 | Jan30 4955 1Nw8 4909 237 112 333 68 1647 | Jan31 4920 10Nov11 4964 193 153 342 67 16.85 | Feb3 4902 9Nwi2 4951 201 149 345 66 17.16 | Feb4 4857 8Nov13 4969 192 158 347 65 17.32 | Feb5 4872 7Nw14 4911 242 117 344 64 17.49 | Feb6 4857 6Nwi5 5009 178 170 347 63 17.47 | Feb7 4942 5Nwi8 4954 197 151 344 62 17.63 | Feb10 4960 4Nw 19 4944 202 145 342 61 17.69] Feb11 4838 3Nov 20 5016 177 163 339 60 17.44 | Feb12 5135 2Nov 21 4911 233 113 331 59 17.57 | Feb13 5142 1
5252 March 97 option expires
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.214 REFERENCE
 
 
 
CRUDE OILBased on Nearest ImpliedCalendarmonth Year Option strike volatilityJANUARY 1993 Apr 1950 17.23FEBRUARY 1993 May 2050 21.47MARCH 1993 Jun 2050 20.05APRIL. 1993 jul 2100 17.44Y. 1993 ug 2100 15.01JUNE 1993 Sep 2050 16.47JULY 1993 Oct 1850 20.95AUGUST 1993 Nov 1850 21.53SEPTEMBER 1993 Dec 1850 22.94OCTOBER 1993 Jan 1900 22.61NOVEMBER 1993 Feb 1800 24.27DECEMBER 1993 Mar 1600 27.07JANUARY 1994 ir 1500 30.58FEBRUARY 1994 iy 1600 24.94MARCH 1994 May 1500 25.03APRIL 1994 Jul 1600 23.47MAY, 1994 Aug 1700 26.84JUNE 1994 Sep 1750 24.22JULY 1994 Oct 1850 25.76AUGUST 1994 Nov 2000 32.11SEPTEMBER 1994 Dec 1750 26.55OCTOBER 1994 dan 1850 29.22NOVEMBER 1994 Feb 1850 30.36DECEMBER 1994 Mar 1800 22.85JANUARY 1995 Apr 1750 22.00FEBRUARY 1995 May 1800 21.44MARCH 1995 Jun 1800 20.06APRIL 1995 dul 1850 17.77MAY. 1995 Aug 2000 24.45JUNE 1995 Sep 1850 20.82JULY 1995 Oct 1700 20.93AUGUST 1995 Nov 1750 21.56SEPTEMBER 1995 Dec 1750 20.86OCTOBER 1995 Jan 1700 20.63NOVEMBER 1995 Feb 1750 20.56DECEMBER 1995 Mar 1800 17.13JANUARY, 1996 Apr 1900 18.26FEBRUARY 1996 Apr 1750 27.93MARCH 1996 Apr 1950 35.62APRIL 1996 Mar 2050 28.43MAY. 1996 Aug 1900 26.91JUNE 1996 Aug 1950 24.73JULY 1996 Oct 2000 20.38996 Oct 2050 23.00SEPTEMBER 1996 Dec 2200 32.95OCTOBER 1996 Dec 2350 35.34NOVEMBER 1996 Dec 2300 29.22DECEMBER 1996 Feb 2450 33.26JANUARY 1997 ir 2450 92.74FEBRUARY 1997 v 2350 25.42MARCH 1997 Jun 2000 28.23APRIL 1997 Jul 2000 27.24MAY, 1997 Aug 2000 27.00JUNE 1997 Sep 2100 27.47JULY 1997 Oct 2000 29.92AUGUST 1997 Nov 2050 28.32SEPTEMBER 1997 Dec 2000 26.71OCTOBER 1997 Jan 2100 26.54NOVEMBER 1997 Feb 2100 31.24
DECEMBER 1997 Mar 1900 25.81214 REFERENCE
 
CRUDE OILBased on Nearest ImpliedCalendarmonth _Year Option strike volatilityJANUARY 1993 her 1950 17.23FEBRUARY 1993 y 2050 21.47MARCH 1993 Jun 2050 20.05APRIL 1993 Jul 2100 17.44MAY. 1993 Aug 2100 15.01JUNE 1993 Sep 2050 16.47JULY 1993 Oct 1850 20,95AUGUST 1993 Nov 1850 21.53SEPTEMBER = 1993 Dec 1850 (22.94OCTOBER 1993 Jan 1900 22.61NOVEMBER 1993 Feb 1800 24.27DECEMBER 1993 Mar 1600 27.07IUARY. 1994 r 1500 30.58FEBRUARY 1994 y 1600 24.94H 1994 May 1500 25.03APRIL 1994 Jul 1600 23.47MAY. 1994 Aug 1700 26.84JUNE 1994 Sep 1750 24.22JULY 1994 Oct 1850 25.76AUGUST 1994 Nov 2000 92.11SEPTEMBER = 1994 Dec 1750 26.55OCTOBER 1994 Jan 1850 29.22NOVEMBER 1994 Feb 1850 30.36DECEMBER 1994 Mar 1800 22.85JANUARY 1995 e 1750 22.00FEBRUARY 1995 1800 21.44MARCH 1995 Jun 1800 20.06APRIL 1995 Jul 1850 17.77MAY. 1995 Aug 2000 24.45JUNE 4995 Sep 1850 20.82LY 1995 Oct 1700 20.93AUGUST 1995 Nov 1750 21.56SEPTEMBER 1995 Dec 1750 20.66STOBER 1995 dan 1700 20.63NOVEMBER 1995 Feb 1750 20.56DECEMBER 1995 Mar 1800 17.13JANUARY 1996 Apr 1900 18.26FEBRUARY 1996 Apr 1750 27.93MARCH 1996 Apr 1950 35.62APRIL 1996 Yar 2050 28.43MAY. 1996 ug 1800 26.91JUNE 1996 Aug 1950 24.73JULY 1996 Oct 2000 20.38AUGUST 1996 Oct 2050 23.00SEPTEMBER 1996 Dec 2200 32.95OCTOBER 1996 Dec 2350 35.34NOVEMBER 1996 Dec 29.22DECEMBER 1996 Feb 2450 33.26JANUARY 1997 fpr 2450 32.74FEBRUARY 1997 yj 2350 25.42MARCH 1997 Jun 26.23APRIL 1997 i 2000 27.24MAY. 1997 ug 2000 27.00JUNE 1997 Sep 2100 27.47JULY 1997 Oct 2000 29.92AUGU: 1997 Nov 2050 28.32SEPTEMBER 1997 Dec 2000 26.71ER 1997 Jan 2100 26.54NOVEMBER 1997 Feb 2100 31.24
DECEMBER 1997 Mar 1900 25.81214 REFERENCE
 
 
 
 
CRUDE OILBased on Nearest ImpliedCalendarmonth Year Option strike volatilityJANUARY. 1993 Ir 1950 17.23FEBRUARY 1993 2050 21.47MARCH 1993 Jun 2050 20.05APRIL 1993 Jul 2100 17.44MAY. 1993 Aug 2100 15.01JUNE 1993 Sep 2050 16.47JULY 1993 Oct 1850 20.95AUGUST 1993 Nov 1850 21.53SEPTEMBER 1993 Dec 1850 22.94OCTOBER 1993 Jan 1900 22.61NOVEMBER 