Spreadsheet: john_griffith__15577__VolSkew050101
Sheet: VolSkew

 | Volatility Skew Calculator
 |  |  |  |  |  |  |  |  | ATM calc. |  |  |  |  |  |  |  |  |  |  |  |  | Second
 | Date | 2001-05-01 00:00:00 |  | Polynomial Order |  |  |  |  | ENA ATM | 0.4825 |  |  |  |  |  |  |  |  |  |  |  | Third
 | Expiration |  |  |  |  |  |  |  | Commodity | NG |  |  |  |  |  |  |  |  |  |  |  | Fourth
 | Underlying | 4.641 |  |  |  |  |  |  | Contract | 2001-06-01 00:00:00 |  |  |  |  |  |  |  |  |  |  |  | Fifth
 | Int Rate | 0.0456 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2
 | Yield | 0.0456
 | Skew Fit |  |  |  |  |  |  |  | Premium | Strike | Put/Call (0/1) | Money-ness | Implied Vol
 | -0.3 | -0.2 | -0.1 | 0.1 | 0.2 | 0.3 |  |  | 0.208 | 4.7 | 1 |  |  |  |  |  |  |  |  |  |  | Vol Fit | 2 | 3 | 4 | 5 |  | pdf Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  |  | 0.187 | 4.75 | 1 |  |  |  |  |  |  |  |  |  |  | A |  |  |  |  |  | A
 |  |  |  |  |  |  |  |  | 0.108 | 5 | 1 |  |  |  |  |  |  |  |  |  |  | B |  |  |  |  |  | B
 |  |  |  |  |  |  |  |  | 0.081 | 5.1 | 1 |  |  |  |  |  |  |  |  |  |  | C |  |  |  |  |  | C
 |  |  |  |  |  |  |  |  | 0.054 | 5.25 | 1 |  |  |  |  |  |  |  |  |  |  | D |  |  |  |  |  | D
 |  |  |  |  |  |  |  |  | 0.04 | 5.4 | 1 |  |  |  |  |  |  |  |  |  |  | E
 |  |  |  |  |  |  |  |  | 0.009 | 6 | 1 |  |  |  |  |  |  |  |  |  |  | F
 |  |  |  |  |  |  |  |  | 0.014 | 3.75 | 0
 |  |  |  |  |  |  |  |  | 0.038 | 4 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | 0.69363 | 2 | - | 0.042722 | + | 0.49489
 |  |  |  |  |  |  |  |  | 0.082 | 4.25 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | -0.44744 | 3 | + | 0.76277 | 2 | - | 0.027847 | + | 0.49418
 |  |  |  |  |  |  |  |  | 0.096 | 4.3 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | 3.5966 | 4 | - | 1.0957 | 3 | + | 0.59585 | 2 | - | 0.014023 | + | 0.49482
 |  |  |  |  |  |  |  |  | 0.167 | 4.5 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | 48.438 | 5 | - | 5.2144 | 4 | - | 3.8412 | 3 | + | 0.86492 | 2 | + | 0.011318 | + | 0.49399
 |  |  |  |  |  |  |  |  | 0.212 | 4.6 | 0
 |  |  |  |  |  |  |  |  | 0.296 | 4.75 | 0
 |  |  |  |  |  |  |  |  | 0.466 | 5 | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | [NAME] |  |  |  |  |  | ENA Vol Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ from ATM |  | 37012 |  | ENA vol | slope |  |  | A
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 15 |  |  | Curve |  |  |  |  |  | -8 |  | 4 |  |  |  |  |  | B
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Fit | Diff |  | Money. | ImpVol |  |  |  |  | -6.26 |  | 4 |  |  |  |  |  | C
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -5 |  | 4 |  |  |  |  |  | D
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -4 |  | 4 |  |  |  |  |  | E
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -3 |  | 4 |  |  |  |  |  | F
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2.5 |  | 3
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2 |  | 2 |  |  |  |  |  | y | = | 0.14289 | 2 | + | 0.023084 | + | 0.49276
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -1.5 |  | 0.5 |  |  |  |  |  | y | = | -0.10293 | 3 | + | 0.15935 | 2 | + | 0.038129 | + | 0.49163
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -0.5 |  | 0 |  |  |  |  |  | y | = | 0.41872 | 4 | - | 0.20403 | 3 | + | 0.083157 | 2 | + | 0.049613 | + | 0.49295
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 |  | 0 |  |  |  |  |  | y | = | 0.80901 | 5 | + | 0.21973 | 4 | - | 0.39491 | 3 | + | 0.11314 | 2 | + | 0.05858 | + | 0.49245
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.5 |  | 1
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 |  | 1.6
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.5 |  | 2.4
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2 |  | 3.2
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.5 |  | 5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3 |  | 7.831305488389873
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4 |  | 9.762226935981543
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5 |  | 11.52289289558432
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10 |  | 20.3262226935982
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40 |  | 73.00454383975475