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Options Greeks and Vols for Crude Oil, the S&P and other Markets Make Trading Decisions Easier
Sunday, September 11, 2011

by Fred Oltarsh of Options Strategy Network

Options Greeks and Vols for Crude Oil, the S&P and other Markets, Make Trading Decisions Easier

If you’re trading options on futures contracts, it is essential that you establish your positions based on an analysis of information which can lead you to appropriate pricing decisions. Analyzing Implied and Historical Volatility is one way to ascertain market expectations of future movement. In addition, the Implied Volatility Skew provides not only significant trading opportunities, but an assessment of the market’s attitude for risk. For example, S&P Options have a significant Put Skew indicating the market’s willingness to pay a premium to protect against downside risk. Crude Oil and the S&P shown below, offer striking Implied Volatility Skews.

The Tables below, which are available for ten different commodities on a nightly basis, are available by emailing me at info@optionsstrategynetwork.com. As you can see below, it includes Deltas, Vegas, Implied Volatility, Settlement Prices and Changes in Implied Volatility. This information is essential in establishing strategies with good risk/reward. If you’re not using this type of information in you trading, feel free to let us provide it to you on a nightly basis.

At Options Strategy Network we focus on Educating and Training Options Traders in understanding the essential elements of options trading. Our 25 years of Risk Management and Options Trading Experience guides you through the learning process. The lessons are comprehensive and designed to help you progress in an efficient manner. Email us at info@optionsstrategynetwork.com or call us at 917-656-1767 to take part in Individual or Group Lessons.

CRUDE OIL

Nov.	8741	10-D His	30.81	30-D His	41.87	60-D His	34.46	DTE	37
Imp Chg	Vega	Delta	Implied	Settle	Strike	Settle	Implied	Delta	Vega
2.45	0.09	71.93	51.80	964	805	273	51.76	-28.01	0.09
2.40	0.10	70.77	51.35	927	810	286	51.32	-29.18	0.10
2.24	0.10	69.58	50.85	890	815	299	50.82	-30.36	0.10
2.29	0.10	68.35	50.39	854	820	313	50.37	-31.60	0.10
2.24	0.10	67.10	49.88	818	825	327	49.86	-32.85	0.10
2.17	0.10	65.79	49.42	783	830	342	49.40	-34.15	0.10
2.11	0.10	64.47	48.89	748	835	357	48.87	-35.48	0.10
2.04	0.10	63.10	48.40	714	840	373	48.39	-36.85	0.10
2.06	0.11	61.69	47.95	681	845	390	47.94	-38.26	0.11
					850
1.91	0.11	58.78	46.96	616	855	425	46.95	-41.18	0.11
1.82	0.11	57.27	46.41	584	860	443	46.41	-42.68	0.11
1.74	0.11	55.73	45.90	553	865	462	45.89	-44.23	0.11
1.65	0.11	54.15	45.40	523	870	482	45.40	-45.81	0.11
1.65	0.11	52.54	44.93	494	875	503	44.93	-47.41	0.11
1.56	0.11	50.91	44.49	466	880	525	44.49	-49.05	0.11
1.55	0.11	49.25	44.06	439	885	548	44.06	-50.70	0.11
1.62	0.11	47.58	43.65	413	890	572	43.65	-52.38	0.11
1.52	0.11	45.87	43.16	387	895	596	43.17	-54.08	0.11
					900
1.50	0.11	42.43	42.33	339	905	648	42.34	-57.52	0.11
1.57	0.11	40.72	41.98	317	910	675	41.90	-59.26	0.11
1.56	0.11	38.97	41.55	295	915	704	41.57	-60.97	0.11
1.63	0.11	37.27	41.23	275	920	734	41.25	-62.67	0.11
1.54	0.10	35.54	40.83	255	925	764	40.85	-64.40	0.10
1.53	0.10	33.82	40.44	236	930	795	40.47	-66.12	0.10
1.53	0.10	32.16	40.17	219	935	827	40.10	-67.83	0.10
1.63	0.10	30.54	39.91	203	940	861	39.84	-69.45	0.10
1.64	0.10	28.90	39.58	187	945	896	39.61	-71.03	0.10

S&P

Oct.	115230	10-D His	31.63	30-D His	42.72	60-D His	31.98	DTE	41
Imp Chg	Vega	Delta	Implied	Settle	Strike	Settle	Implied	Delta	Vega
2.60	1.18	76.60	42.29	12620	1050	2400	42.34	-23.38	1.18
2.61	1.21	75.70	41.94	12220	1055	2500	41.99	-24.27	1.21
2.61	1.23	74.76	41.64	11830	1060	2610	41.69	-25.21	1.23
2.60	1.26	73.80	41.30	11440	1065	2720	41.35	-26.17	1.26
2.60	1.28	72.83	40.93	11050	1070	2830	40.98	-27.14	1.28
2.66	1.30	71.81	40.61	10670	1075	2950	40.65	-28.16	1.30
2.64	1.33	70.78	40.24	10290	1080	3070	40.30	-29.19	1.33
2.61	1.35	69.72	39.85	9910	1085	3190	39.90	-30.25	1.35
2.58	1.37	68.62	39.49	9540	1090	3320	39.55	-31.35	1.37
2.54	1.39	67.50	39.10	9170	1095	3450	39.16	-32.47	1.39
2.57	1.41	66.34	38.75	8810	1100	3590	38.80	-33.63	1.41
2.52	1.43	65.16	38.36	8450	1105	3730	38.41	-34.81	1.43
2.61	1.44	63.91	38.07	8110	1110	3880	38.05	-36.04	1.44
2.55	1.46	62.67	37.67	7760	1115	4030	37.66	-37.29	1.46
2.56	1.48	61.38	37.30	7420	1120	4190	37.29	-38.57	1.48
2.56	1.49	60.06	36.96	7090	1125	4360	36.95	-39.90	1.49
2.56	1.50	58.71	36.58	6760	1130	4530	36.57	-41.25	1.50
2.55	1.51	57.33	36.15	6430	1135	4700	36.15	-42.62	1.51
2.47	1.52	55.91	35.82	6120	1140	4890	35.81	-44.04	1.52
2.45	1.53	54.47	35.44	5810	1145	5080	35.44	-45.49	1.53
2.37	1.54	52.99	35.02	5500	1150	5270	35.02	-46.96	1.54
2.28	1.54	51.49	34.62	5200	1155	5470	34.62	-48.47	1.54
2.25	1.54	49.95	34.23	4910	1160	5680	34.23	-50.00	1.54
2.29	1.54	48.39	33.86	4630	1165	5900	33.86	-51.57	1.54
2.19	1.54	46.79	33.44	4350	1170	6120	33.45	-53.16	1.54
2.16	1.53	45.17	33.04	4080	1175	6350	33.04	-54.78	1.53
2.25	1.52	43.55	32.71	3830	1180	6600	32.72	-56.40	1.52
2.21	1.51	41.90	32.33	3580	1185	6850	32.34	-58.05	1.51
2.17	1.49	40.23	31.96	3340	1190	7110	31.97	-59.72	1.49
2.20	1.48	38.55	31.60	3110	1195	7380	31.62	-61.40	1.48
2.22	1.46	36.87	31.26	2890	1200	7650	31.20	-63.11	1.46
2.25	1.43	35.19	30.92	2680	1205	7940	30.86	-64.80	1.43
2.21	1.41	33.47	30.52	2470	1210	8230	30.46	-66.52	1.41
2.24	1.38	31.80	30.19	2280	1215	8540	30.14	-68.19	1.38
2.21	1.34	30.09	29.81	2090	1220	8850	29.76	-69.90	1.34
2.25	1.31	28.45	29.50	1920	1225	9180	29.45	-71.55	1.31
2.23	1.27	26.77	29.13	1750	1230	9510	29.08	-73.23	1.27
2.21	1.23	25.11	28.77	1590	1235	9850	28.72	-74.89	1.23
2.20	1.19	23.49	28.42	1440	1240	10200	28.37	-76.51	1.18
2.20	1.14	21.89	28.07	1300	1245	10560	28.02	-78.11	1.14
2.21	1.09	20.34	27.73	1170	1250	10930	27.68	-79.66	1.09

FUTURES AND OPTIONS TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. THE INFORMATION IS OBTAINED FROM SOURCES BELIEVED TO BE RELIABLE, BUT IS IN NO WAY GUARANTEED. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

Recent articles from this author

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Options Greeks and Vols for Crude Oil, the S&P and other Markets Make Trading Decisions Easier - Sunday, September 11, 2011
Futures and Options Volatility Analysis: Historical and Implied Side by Side - Monday, August 22, 2011
Futures Trends are Strong: Limited Risk Options Strategies in Gold, Sugar and Coffee - Sunday, August 21, 2011

About the author

Fred Oltarsh is a Proprietary Trader for a New York City Futures and Options Group specializing in Options Trading. He was an options market-maker on the floor of NYBOT/NYMEX for more than fifteen years and Head of Risk Management at NYBOT/ICE Futures for seven years.

In addition to his Proprietary Trading, Fred has developed the Options Strategy Network a website geared towards Options and Futures Education and Training. The site provides access to Individual and Group Tutoring from Options and Futures experts with significant trading and risk management experience.

Traders putting their money on the line can benefit from the knowledge and trading skills that we convey in the Options Traders' Essential Outline. For more information, please call me at 917-656-1767 or email me at info@optionsstrategynetwork.com.

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