Commodities Term Structures & Implied Volatilities - Futures, ETFs

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Commodities Term Structures & Implied Volatilities - Futures, ETFs

  1. 1. 30.11.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms IVt = atx + btx2 + ct Convenienc Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker Name ATM Ref e Yield (% (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - 30D 60D 90D 6M 12M 18M 24M p.a.) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M RSA Comdty CANOLA FUTR (WCE) Jan13 594.00 15.81 15.99 15.39 15.38 14.97 0.122 0.128 0.068 0.007 0.003 -0.004 -0.001 -0.002 0.000 0.000 CCA Comdty COCOA FUTURE Mar13 2492.00 24.44 24.95 25.36 25.54 25.99 26.02 0.010 0.073 0.056 0.047 0.026 0.022 -0.004 -0.001 0.000 0.000 0.000 0.000 KCA Comdty COFFEE C FUTURE Mar13 155.30 31.14 30.06 29.79 29.40 28.86 28.08 28.09 0.154 0.113 0.104 0.065 0.045 0.021 0.018 -0.002 -0.001 0.000 0.000 0.000 0.000 0.000 C A Comdty CORN FUTURE Mar13 756.25 17.36 20.02 21.90 23.97 24.24 22.78 21.87 -0.008 0.078 0.065 0.056 0.012 0.016 0.017 -0.003 0.000 0.000 -0.001 0.000 0.000 0.000 CTA Comdty COTTON NO.2 FUTR Mar13 73.40 20.81 20.81 20.81 20.57 20.56 20.03 19.12 -0.014 -0.014 -0.004 -0.024 -0.009 -0.008 -0.008 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Agriculture JOA Comdty FCOJ-A FUTURE Jan13 124.10 36.66 38.23 38.58 32.88 32.05 32.03 32.09 0.035 0.126 0.151 0.038 0.015 0.013 0.012 -0.001 -0.001 -0.001 -0.001 0.000 0.000 0.000 LBA Comdty LUMBER FUTURE Jan13 342.80 28.73 27.40 25.98 17.93 -0.055 -0.003 0.052 -0.007 -0.004 -0.003 -0.002 -0.001 O A Comdty OAT FUTURE Mar13 372.50 20.68 20.68 20.55 19.07 19.07 0.041 0.041 0.053 0.194 0.194 -0.001 -0.001 -0.001 -0.001 -0.001 RRA Comdty R O U G H R I C E ( C B O T ) J a n 1 3 15.19 12.73 13.85 14.60 12.33 12.33 0.387 0.338 0.285 0.143 0.143 -0.004 -0.003 -0.002 -0.001 -0.001 S A Comdty SOYBEAN FUTURE Jan13 1438.25 17.55 20.68 21.26 20.57 20.34 0.028 0.122 0.139 0.132 0.056 -0.003 -0.001 -0.001 -0.001 0.000 SMA Comdty SOYBEAN MEAL FUTR Jan13 432.50 20.22 21.93 22.46 21.04 19.52 0.064 0.142 0.189 0.131 0.096 -0.006 -0.002 -0.001 -0.001 -0.001 BOA Comdty SOYBEAN OIL FUTR Jan13 49.92 18.43 18.14 18.67 18.14 18.15 0.169 0.244 0.092 0.107 0.007 -0.004 -0.004 -0.001 -0.001 0.000 SBA Comdty SUGAR #11 (WORLD) Mar13 19.29 23.32 23.13 22.99 22.17 20.70 20.69 20.35 0.028 0.098 0.081 0.027 0.012 0.021 -0.001 -0.006 -0.002 -0.001 -0.001 0.000 0.000 0.000 W A Comdty WHEAT FUTURE(CBT) Mar13 877.50 22.06 24.56 25.20 25.53 24.68 0.127 0.107 0.102 0.087 0.044 0.000 0.000 0.000 0.000 0.000 KWA Comdty WHEAT FUTURE(KCB) Mar13 926.00 24.98 24.98 24.94 24.15 24.34 0.073 0.073 0.071 0.053 0.000 -0.001 -0.001 -0.001 0.000 0.000 FCA Comdty CATTLE FEEDER FUT Jan13 146.95 10.59 10.59 10.78 11.28 -0.020 -0.020 -0.040 -0.115 -0.002 -0.002 -0.001 0.000stock Live LHA Comdty LEAN HOGS FUTURE Feb13 86.83 12.71 14.25 15.35 14.29 13.87 -0.135 -0.120 -0.108 -0.106 -0.100 -0.009 -0.004 -0.001 0.000 0.000 LCA Comdty LIVE CATTLE FUTR Feb13 132.10 9.51 9.93 10.08 9.75 -0.072 -0.149 -0.142 -0.105 -0.006 -0.002 -0.001 -0.001 CLA Comdty WTI CRUDE FUTURE Jan13 87.95 27.55 27.58 28.23 29.31 27.62 25.35 23.76 -0.163 -0.147 -0.145 -0.095 -0.097 -0.053 -0.073 -0.001 0.000 0.000 0.000 0.000 0.000 0.000 COA Comdty BRENT CRUDE FUTR Jan13 110.49 23.55 24.53 25.96 26.72 26.56 24.65 23.54 0.046 -0.014 -0.032 -0.066 -0.050 -0.095 -0.058 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Energy XBA Comdty GASOLINE RBOB FUT Dec12 277.30 23.30 25.77 25.53 25.39 26.20 26.20 26.20 0.108 0.078 -0.026 -0.022 0.000 0.000 0.000 -0.001 0.001 0.000 0.000 0.000 0.000 0.000 HOA Comdty HEATING OIL FUTR Dec12 303.33 20.82 21.80 22.25 23.28 21.38 21.38 21.38 -0.126 -0.076 -0.043 -0.036 -0.019 -0.019 -0.019 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000 QSA Comdty GAS OIL FUT (ICE) Jan13 947.75 20.94 21.27 21.88 23.32 22.11 20.57 19.36 -0.021 -0.053 -0.079 -0.060 -0.010 -0.053 -0.009 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000 NGA Comdty NATURAL GAS FUTR Jan13 3.63 37.17 35.36 35.55 30.95 27.34 24.66 23.15 0.058 0.062 0.046 -0.018 -0.024 -0.007 0.000 0.001 -0.001 0.000 0.000 0.000 0.000 0.000Precious GCA Comdty GOLD 100 OZ FUTR Feb13 1731.40 10.60 11.82 12.52 14.56 16.88 18.38 18.85 -0.073 -0.006 0.003 0.012 0.009 0.007 0.005 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Metals SIA Comdty SILVER FUTURE Mar13 34.33 20.61 21.60 22.18 23.88 25.93 26.14 26.49 -0.064 -0.062 -0.072 -0.079 -0.007 -0.006 -0.003 -0.002 -0.001 -0.001 0.000 0.000 0.000 0.000 PLA Comdty PLATINUM FUTURE Jan13 1621.00 18.06 19.66 19.80 19.90 -0.057 0.036 0.074 0.101 -0.005 -0.001 -0.001 -0.002 PAA Comdty PALLADIUM FUTURE Mar13 692.05 33.03 29.46 26.73 26.73 0.011 0.045 0.070 0.070 0.000 -0.001 -0.001 -0.001 LAA Comdty LME PRI ALUM FUTR Dec12 2073.00 17.80 17.56 18.27 18.43 18.43 18.43 18.43 -0.055 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000Industrial Metals LPA Comdty LME COPPER FUTURE Dec12 7890.25 15.64 19.18 20.11 20.11 20.11 20.11 20.11 -0.053 -0.049 -0.045 -0.045 -0.045 -0.045 -0.045 -0.001 0.001 0.001 0.001 0.001 0.001 0.001 LLA Comdty LME LEAD FUTURE Dec12 2216.50 25.97 26.39 26.87 27.88 27.88 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LNA Comdty LME NICKEL FUTURE Dec12 16963.00 26.31 26.85 27.03 27.03 27.03 27.03 27.03 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 LXA Comdty LME ZINC FUTURE Dec12 2020.00 21.58 19.94 19.94 19.94 19.94 19.94 19.94 -0.171 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 www.qmsadv.com
  2. 2. 30.11.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Convenienc Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker Name ATM Ref e Yield (% (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - 30D 60D 90D 6M 12M 18M 24M p.a.) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M UNG US Equity US NATURAL GAS FUND LP 20.81 36.31 36.09 36.24 36.27 36.54 37.29 38.05 -0.007 -0.020 -0.030 -0.026 0.019 0.019 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000 HNU CN Equity HORIZONS BETA NYMEX NAT BULL 14.45 64.57 67.69 70.43 71.24 -0.318 -0.138 -0.108 -0.165 0.000 0.001 0.001 0.000 SLV US Equity ISHARES SILVER TRUST 33.13 22.04 22.31 22.76 24.25 26.11 27.15 27.84 -0.091 -0.067 -0.069 -0.069 -0.076 -0.085 -0.092 -0.007 -0.003 -0.002 -0.001 -0.001 0.000 0.000 HND CN Equity HORIZONS BETA NYMEX NAT BEAR 3.65 73.86 95.52 101.99 88.61 -1.713 -1.463 -0.962 -1.384 -0.013 -0.005 -0.007 -0.009 GLD US Equity SPDR GOLD TRUST 167.18 11.56 12.08 12.80 14.51 17.07 19.20 20.46 -0.098 -0.035 -0.010 0.013 0.016 0.022 0.018 -0.008 -0.004 -0.003 -0.002 -0.001 -0.001 0.000 USO US Equity UNITED STATES OIL FUND LP 32.17 26.26 27.09 28.23 29.99 30.98 31.23 31.25 -0.174 -0.151 -0.143 -0.124 -0.102 -0.103 -0.111 -0.004 -0.002 -0.001 0.000 0.000 0.000 0.000 HOU CN Equity HORIZONS BETA NYMEX CRUDE BU 4.10 61.10 59.79 59.31 62.11 -0.354 -0.064 -0.266 -0.149 -0.006 -0.003 -0.001 0.000 IAU US Equity ISHARES GOLD TRUST 16.79 12.26 12.75 13.31 14.63 17.42 19.27 20.60 -0.067 -0.103 -0.044 0.016 -0.004 0.002 0.015 0.000 -0.001 -0.001 -0.001 -0.001 0.000 0.000 HOD CN Equity HORIZONS BETA NYMEX CRUDE BE 6.19 67.29 88.30 124.62 133.52 -0.530 0.583 -0.552 -0.768 0.000 0.001 -0.007 -0.001 ZSL US Equity PROSHARES ULTRASHORT SILVER 39.86 39.47 41.18 45.89 49.01 72.94 0.076 -0.013 0.026 0.092 -0.896 -0.002 0.000 -0.001 0.000 -0.002 UCO US Equity PROSHRE ULT DJ-UBS CRUDE OIL 27.37 46.41 46.89 51.19 55.85 57.65 58.59 58.97 0.057 0.236 0.059 -0.101 -0.084 -0.065 -0.035 -0.003 -0.002 -0.001 0.000 0.000 0.000 0.000 DBA US Equity P O W E R S H A R E S D B A G R I C U L T U R E F 29.08 12.94 13.75 14.71 16.09 17.71 18.37 18.61 -0.033 -0.049 -0.028 -0.011 -0.017 -0.013 -0.007 0.000 -0.001 -0.001 -0.001 0.000 0.000 0.000 DBC US Equity POWERSHARES DB COMMODITY IND 28.08 15.10 16.13 16.96 18.43 19.96 20.39 20.47 -0.324 -0.390 -0.318 -0.226 -0.182 -0.150 -0.120 -0.004 -0.005 -0.003 -0.001 0.000 0.000 -0.001 SCO US Equity PROSHRE U/S DJ-UBS CRUDE OIL 43.75 52.63 54.70 56.41 59.00 61.45 63.27 64.83 0.152 0.125 0.112 0.107 0.083 0.070 0.067 -0.002 -0.001 0.000 0.000 0.000 0.000 0.000 AGQ US Equity PROSHARES ULTRA SILVER 56.60 44.08 44.71 45.83 48.07 51.52 53.69 55.24 -0.083 -0.061 -0.066 -0.043 -0.014 -0.038 -0.078 -0.003 -0.001 -0.001 -0.001 0.000 0.000 0.000 GSG US Equity ISHARES S&P GSCI COMMODITY I 32.87 16.73 17.65 18.32 19.52 -0.274 -0.273 -0.207 -0.135 -0.003 -0.002 -0.002 -0.001Main Commodity ETFs GAS CN Equity ISHARES NATURAL GAS COMMODIT 12.83 129.11 57.15 115.87 87.40 51.50 -2.516 0.047 0.224 0.088 0.162 -0.002 0.003 0.013 0.005 0.001 OIL US Equity IPATH GOLDMAN SACHS CRUDE 21.01 26.85 28.71 29.81 31.29 32.41 32.74 32.86 -0.128 -0.121 -0.144 -0.128 -0.109 -0.099 -0.091 -0.004 -0.001 -0.001 0.000 0.000 0.000 0.000 RJA US Equity ELEMENTS ROGERS AGRI TOT RET 9.44 19.04 19.04 19.05 19.39 -0.042 -0.042 -0.042 0.051 0.000 0.000 0.000 0.000 DJP US Equity IPATH DOW JONES-UBS COMMDTY 42.59 14.72 15.51 16.04 17.12 -0.155 -0.212 -0.224 -0.213 -0.001 -0.001 -0.001 -0.001 DBB US Equity POWERSHARES DB BASE METALS F 18.94 21.59 22.17 23.02 24.19 -0.077 -0.188 -0.232 -0.211 0.000 0.000 0.000 0.000 S I V R U S E q u i t y ETFS PHYSICAL SILVER SHARES 33.91 21.89 22.16 22.79 24.23 -0.125 -0.031 -0.062 -0.077 -0.005 -0.003 -0.002 -0.001 RJI US Equity ELEMENTS ROGERS TOTAL RETURN 8.69 17.85 17.85 17.85 17.85 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 GAZ US Equity IPATH DJ-UBS NAT GAS SUBINDX 3.12 45.74 46.47 48.00 47.01 0.000 0.153 0.363 0.186 0.000 -0.001 -0.003 -0.001 JJC US Equity IPATH DJ-UBS COPPER SUBINDX 45.37 21.59 22.86 23.69 24.91 -0.133 -0.201 -0.174 -0.167 -0.002 -0.001 -0.001 0.000 GLL US Equity PROSHARES ULTRASHORT GOLD 59.10 23.45 24.93 26.06 28.88 0.014 -0.008 0.022 0.008 -0.006 -0.003 -0.001 0.000 DBO US Equity POWERSHARES DB OIL FUND 25.09 23.77 24.14 24.71 25.81 -0.159 -0.205 -0.175 -0.134 -0.001 -0.001 -0.001 -0.001 UGL US Equity PROSHARES ULTRA GOLD 91.05 23.15 24.73 25.93 28.59 -0.151 -0.021 0.012 0.024 -0.006 -0.003 -0.002 -0.001 USL US Equity U N I T E D S T A T E S 1 2 M O N T H O I L 38.65 24.88 25.81 26.87 27.74 27.39 -0.136 -0.191 -0.167 -0.175 0.092 -0.002 -0.001 -0.001 -0.001 0.001 CGL CN Equity ISHARES GOLD BULLION FUND 15.44 22.41 21.37 20.32 23.08 -0.397 -0.261 -0.286 -0.181 -0.040 -0.018 -0.011 -0.003 SGOL US Equity ETFS GOLD TRUST 170.44 11.54 12.22 13.02 14.70 -0.117 -0.044 -0.004 0.003 -0.002 -0.002 -0.003 -0.002 DBE US Equity POWERSHARES DB ENERGY FUND 27.99 21.31 21.42 21.89 23.06 -0.096 -0.132 -0.139 -0.139 -0.001 -0.002 -0.002 -0.001 BAL US Equity IPATH DJ-UBS COTTON SUBINDX 47.78 26.24 27.70 29.19 30.84 -0.001 -0.063 -0.059 -0.053 -0.002 -0.001 -0.001 0.000 DBP US Equity POWERSHARES DB PREC METALS F 60.09 13.66 14.42 15.19 16.91 0.009 0.045 0.030 0.007 -0.001 -0.001 -0.002 -0.001 RJN US Equity ELEMENTS ROGERS ENERGY TR 6.42 30.04 30.04 30.05 -0.092 -0.092 -0.092 0.000 0.000 0.000 DBS US Equity POWERSHARES DB SILVER FUND 59.09 22.56 22.74 23.44 24.84 -0.125 -0.142 -0.112 -0.089 -0.003 -0.002 -0.002 -0.001 CORN US Equity TEUCRIUM CORN FUND 48.07 19.02 19.78 20.51 22.59 23.24 23.42 23.48 0.067 0.065 0.023 0.025 0.038 0.024 0.005 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000 UGA US Equity UNITED STATES GAS FUND LP 57.55 25.14 25.74 26.22 26.74 -0.236 -0.171 -0.154 -0.139 -0.002 -0.001 -0.001 -0.001 DGL US Equity POWERSHARES DB GOLD FUND 59.28 11.69 12.27 13.00 14.62 -0.032 0.025 0.006 -0.002 -0.001 -0.001 -0.002 -0.002 COW US Equity IPATH DJ-UBS LIVESTOCK SUB 28.64 15.80 16.01 16.95 18.12 -0.078 -0.076 -0.041 -0.018 0.000 -0.001 -0.001 0.000 UNL US Equity UNITED STATES 12 MONTH NATUR 18.29 21.21 21.43 21.68 21.13 -0.030 0.120 0.276 0.052 0.000 -0.001 -0.003 -0.001 DNO US Equity UNITED STATES SHORT OIL FUND 39.51 27.28 28.33 29.50 30.79 0.149 0.144 0.133 0.121 -0.002 -0.001 -0.001 0.000 www.qmsadv.com
  3. 3. 30.11.2012 WTI Crude Futures Term Structures & Implied Volatilities WTI Crude Oil - Forward Curve (Fair Value) WTI Crude Oil - Historical 12-Months Implied Volatilities92 4.0% 50% 115 45% 11090 3.0% 40% 105 2.0% 35%88 100 30% 1.0% 9586 25% 90 0.0% 20%84 85 15% -1.0% 10% 8082 -2.0% 5% 7580 -3.0% 0% 70 May-12 May-12 Aug-12 Aug-12 Sep-12 Sep-12 Apr-12 Apr-12 Apr-12 Oct-12 Oct-12 Oct-12 Feb-12 Feb-12 Mar-12 Mar-12 Jul-12 Jul-12 Jan-12 Jan-12 Jun-12 Jun-12 Nov-11 Dec-11 Dec-11 Nov-12 Nov-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Oct-13 Oct-14 Oct-15 Oct-16 Oct-17 6MTH_IMPVOL_90.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF Term Structure - Slope (% p.a.) GOLD 100 OZ FUTR Feb13 6MTH_IMPVOL_110.0%MNY_DF PX_LAST WTI Crude Oil - 30 Days Implied VS Historical Volatility WTI Crude Oil - Implied Volatility Surface50%45% 32%40% 30%35% 28%30% 26%25%20% 24%15% 22%10% 20% 0.300-0.320 24MTH IV 110% 5% IV 102.5% 12MTH 0.280-0.300 IV 97.5% 3MTH 0% 0.260-0.280 IV 90% Mar-12 Mar-12 May-12 May-12 May-12 Dec-11 Dec-11 Jan-12 Jan-12 Jun-12 Jun-12 Aug-12 Aug-12 Sep-12 Sep-12 Jul-12 Jul-12 Feb-12 Feb-12 Apr-12 Apr-12 Oct-12 Oct-12 Oct-12 Nov-11 Nov-12 Nov-12 30DAY 0.240-0.260 0.220-0.240 Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF 0.200-0.220 www.qmsadv.com

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