26.03.2013
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct
At The Money Implied Volatilities by Terms
ATM Ref
Convenienc Skew ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol e Yield (% (a) 30D 60D 90D 6M 12M 18M 24M p.a.) 30D
Skew (a) 60D
Skew (a) 90D
Skew (a) 6M
Skew (a) 12M
Skew (a) 18M
Skew (a) 24M
Skew (b) 60D
Skew (b) 90D
Skew (b) 6M
Skew (b) 12M
-0.002 -0.001 -0.001 0.000
0.000
CANOLA FUTR (WCE) May13
631.90
15.12
14.45
13.82
13.91
13.86
CCA Comdty
COCOA FUTURE
2146.00
21.98
22.81
23.29
23.77
23.70
23.72
KCA Comdty
COFFEE 'C' FUTURE May13
135.80
24.99
23.79
24.10
26.28
24.85
24.42
C A Comdty
CORN FUTURE
732.75
23.05
24.01
25.39
28.11
24.17
21.91
CTA Comdty
COTTON NO.2 FUTR May13
87.87
25.12
24.86
24.58
23.41
20.32
18.29
16.53
JOA Comdty
FCOJ-A FUTURE
139.40
33.69
29.74
30.17
30.45
26.83
26.52
26.55
LBA Comdty
LUMBER FUTURE
382.80
30.26
27.01
25.18
20.39
O A Comdty
OAT FUTURE
399.75
25.24
23.53
21.82
21.51
21.29
-0.447 -0.385 -0.318 -0.149 -0.033
-0.005 -0.003 -0.001 0.000
RRA Comdty
ROUGH RICE (CBOT) May13
14.94
11.77
12.62
13.43
11.19
10.35
0.319
0.299
0.271
0.058
0.070
-0.003 -0.002 -0.002 -0.001 0.000
S A Comdty
SOYBEAN FUTURE
1438.50
19.12
18.69
19.17
20.50
19.26
-0.022 0.013
0.015
0.052
0.022
-0.001 -0.001 0.000 -0.001 0.000
SMA Comdty
SOYBEAN MEAL FUTR May13
418.40
23.32
23.24
23.14
22.54
20.98
-0.024 0.002
0.032
0.076
0.053
-0.004 -0.003 -0.002 -0.001 -0.001
BOA Comdty
SOYBEAN OIL FUTR May13
50.37
16.76
16.76
16.87
17.37
17.89
0.005
0.009
0.070
0.050
0.028
SBA Comdty
SUGAR #11 (WORLD) May13
17.99
19.89
18.59
19.42
18.91
18.88
0.141
0.058
0.026
0.068
0.044
W A Comdty
WHEAT FUTURE(CBT) May13
728.25
27.81
28.29
28.43
27.65
24.79
0.057
0.050
0.043
0.045
0.009
KWA Comdty
WHEAT FUTURE(KCB) May13
761.75
24.95
25.44
25.98
26.24
0.111
0.093
0.074
0.039
FCA Comdty
CATTLE FEEDER FUT May13
140.23
12.34
12.81
12.75
11.46
-0.050 -0.039 -0.043 -0.101
-0.005 -0.004 -0.003 -0.001
LHA Comdty
LEAN HOGS FUTURE Jun13
91.23
15.80
17.82
17.50
15.79
14.14
-0.044 0.016
-0.005 -0.001 -0.001 0.000
LCA Comdty
LIVE CATTLE FUTR Jun13
121.50
11.85
11.55
11.42
10.45
8.85
-0.086 -0.092 -0.096 -0.100 -0.111
CLA Comdty
WTI CRUDE FUTURE May13
95.43
17.33
17.92
18.08
19.75
19.47
18.63
19.05
-0.216 -0.189 -0.167 -0.135 -0.040 -0.002 -0.065 -0.001 0.000
0.000
0.000
COA Comdty
BRENT CRUDE FUTR May13
108.35
17.28
17.84
18.33
19.67
19.39
19.17
18.76
-0.095 -0.078 -0.076 -0.133 -0.145 -0.141 -0.106 -0.001 0.000
0.000
0.000
XBA Comdty
GASOLINE RBOB FUT Apr13
307.45
24.66
22.66
21.64
20.63
19.94
19.94
19.94
-0.018 -0.044 -0.004 -0.007 0.000
0.000
0.000
0.000
0.000
0.000
HOA Comdty
HEATING OIL FUTR Apr13
288.22
17.30
16.89
16.77
16.76
16.42
15.56
15.56
-0.028 -0.066 -0.028 -0.015 -0.001 0.000
0.000
0.000
0.000
0.000
QSA Comdty
G A S O I L F U T ( I C E ) M a y 1 3 910.75
16.33
15.93
15.84
17.18
16.63
16.61
NGA Comdty
NATURAL GAS FUTR Apr13
3.91
29.13
28.32
28.04
28.52
26.20
24.50
GCA Comdty
GOLD 100 OZ FUTR Jun13
1599.90
11.21
11.78
12.31
13.23
14.62
15.84
SIA Comdty
SILVER FUTURE
28.80
20.18
20.05
21.04
22.03
23.49
24.46
PLA Comdty
PLATINUM FUTURE Jul13
1574.30
14.95
15.21
15.48
15.88
PAA Comdty
PALLADIUM FUTURE Jun13
755.50
25.14
26.72
26.94
27.71
LAA Comdty
LME PRI ALUM FUTR Apr13
1906.25
17.32
18.71
19.45
19.52
19.58
19.58
19.58
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
LPA Comdty
LME COPPER FUTURE Apr13
7599.25
18.33
17.53
17.58
17.73
19.66
19.66
19.66
-0.122 -0.029 -0.032 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
LLA Comdty
LME LEAD FUTURE Apr13
2166.00
18.83
19.93
19.93
19.93
19.93
0.000
0.000
0.000
0.000
0.000
0.000
LNA Comdty
LME NICKEL FUTURE Apr13
16925.50
29.58
29.58
29.58
29.58
29.58
29.58
29.58
0.000
LXA Comdty
LME ZINC FUTURE Apr13
1924.75
73.67
46.72
36.44
24.15
15.49
12.36
12.36
0.000
Energy
Live stock
Agriculture
RSA Comdty
May13
May13
May13 May13 May13
May13
May13
-0.090 -0.032 0.025 -0.003 0.019
Skew (b) 30D
Precious Metals
Name
Industrial Metals
Ticker
0.052
0.042
0.043
0.041
0.038
-0.005 -0.001 -0.001 -0.001 0.000
0.000
0.351
0.275
0.269
0.247
0.109
0.092
0.080 -0.004 -0.001 -0.001 -0.001 0.000
0.000
0.020
0.035
0.027
0.036
0.004
0.007
0.000 -0.001 0.000
0.000
0.000
0.000
-0.064 0.007
0.051 -0.001 0.005
0.002
0.002 -0.006 -0.002 0.000
0.000
0.000
0.000
0.000
0.139
0.075
0.042
0.036 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
-0.123 -0.106 -0.113 -0.094 -0.031 -0.036
-0.002 -0.001 -0.001 0.000
0.000
0.000
22.10
0.006 -0.008 -0.005 -0.039 -0.008 -0.002 0.000
0.000
16.28
-0.064 -0.037 -0.030 0.002
24.75
24.35
18.36
0.090
0.086
0.049
0.003
0.000
-0.005 -0.002 -0.002 -0.002 0.000
-0.004 -0.001 -0.001 -0.001 0.000 0.033
0.004 -0.005 -0.003 -0.001 -0.001 0.000 -0.001 -0.001 0.000
0.000
0.000
-0.001 -0.001 -0.001 -0.001
0.007 -0.038
0.000
-0.004 -0.002 -0.002 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000 -0.003 -0.003 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
-0.138 -0.113 -0.034 -0.074 -0.070 -0.020 -0.018 -0.004 -0.002 0.000 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.022
0.003
0.012
0.051
0.000
-0.017 -0.037 -0.015 0.018
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Skew (b) 24M
0.020
-0.040 -0.023 -0.044 -0.090
18.01
Skew (b) 18M
0.000
0.000
0.000
0.000 -0.001 -0.001
-0.002 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000