Spreadsheet: eric_saibi__9882__OptionsMarketUpdate1019
Sheet: Summary

OPTIONS MARKET UPDATE
2001-10-19 00:00:00 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Note:
 |  |  |  | Today |  |  |  |  |  | 2001-10-07 00:00:00 |  |  |  |  |  | 2001-10-05 00:00:00 |  |  |  |  |  |  | d Straddle | Daily Straddle
CINERGY |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | m [NAME] | [NAME]
Term | Strike | Option |  | Price |  |  | Vol |  |  | Price |  |  | Vol |  |  | Price |  |  | Vol |  |  |  | dc | Daily Call
X-01 |  | 20 dp |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.75 | 1.75
X-01 |  | 23 mp |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.25 | 1.75
Nov | 25 | dp |  | 3 | 3.75 |  | 0.82 | 0.97 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | dp | Daily Put
Dec | ATM | m [NAME] |  |  |  |  |  |  |  |  |  |  |  | 0.5
Winter | ATM | d Straddle |  | 9 | 10 |  | 0.8 | 0.85 |  | 10 | 11 |  | 0.85 | 0.9 |  | 9.5 | 10.5 |  | 0.8 | 0.9 |  |  | ATM | At-the-money
Winter |  | 40 dc |  |  |  |  |  |  |  |  |  |  |  |  |  | 2
Winter |  | 30 dp |  |  |  |  |  |  |  |  |  |  |  |  |  | 6 | 8
Winter | ATM | m [NAME] |  | 5.5 | 6.5 |  | 0.5 | 0.55 |  | 5 | 6 |  | 0.45 | 0.53 |  | 5.25 | 6 |  | 0.45 | 0.55 |  |  | 1 x Straddle | 1-time-strike Straddle (or Swaption)
FG-02 |  | 30 mp |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.5 | 2.25
Summer | ATM | d Straddle |  | 28 | 29.5 |  | 0.84 | 0.9 |  | 29 | 32 |  | 0.87 | 0.94 |  | 30 | 39 |  | 0.95 | 1.15
Summer | 100 | dc |  | 6.5 | 7.5 |  | 0.96 | 1.02 |  | 7 | 8 |  | 0.99 | 1.06 |  | 8 | 10 |  | 1.05 | 1.16
Summer | 50 | dp |  | 14 | 15 |  | 0.84 | 0.9 |  | 14 | 15 |  | 0.83 | 0.9 |  | 15.5 | 16.5 |  | 0.85 | 1.05
Summer | ATM | m [NAME] |  | 13.5 | 14 |  | 0.43 | 0.45 |  | 13 | 14.25 |  | 0.4 | 0.42 |  | 14 | 15.5 |  | 0.45 | 0.5
Summer-03 | 100 | dc |  | 6.5 | 8 |  | 0.7 | 0.77 |  | 7 | 9 |  | 0.71 | 0.8 |  | 9 | 10.5
Cal02 | 50 | dc |  | 3 | 4.5 |  |  |  |  | 3 | 4.5 |  |  |  |  | 3 | 5
PJM (W)
Term | Strike | Option |  | Price |  |  | Vol |  |  | Price |  |  | Vol |  |  | Price |  |  | Vol
Oct 22-26 | 25 | dp |  | 0.65 | 0.85 |  |  |  |  | 1 | 2 |  | 1.2 | 1.5
Nov | 30 | dc |  | 1 | 1.75 |  | 0.75 | 0.85 |  | 0.8 | 1.5 |  | 0.67 | 0.8
Nov | 25 | dp |  |  |  |  |  |  |  | 1 | 1.75 |  | 0.57 | 0.77
Winter | ATM | d Straddle |  | 10.5 | 11.25 |  | 0.75 | 0.82 |  | 10.75 | 11.25 |  | 0.7 | 0.78 |  | 10.5 | 13.5 |  | 0.8 | 1
Winter |  | 40 dc |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5.5
Winter |  | 30 dp |  |  |  |  |  |  |  |  |  |  |  |  |  | 3 | 3.75
Winter | 50 | dc |  | 2.25 | 2.75 |  | 0.86 | 0.94 |  | 2.1 | 2.75 |  | 0.85 | 0.94 |  | 2 | 3
Winter | 30 | dp |  | 2.7 | 3.25 |  | 0.7 | 0.8 |  | 2.75 | 3.25 |  | 0.73 | 0.8 |  | 3 | 3.5
Winter | ATM | m [NAME] |  | 7 | 8 |  | 0.5 |  |  | 6.5 | 7 |  | 0.48 | 0.5 |  | 5.75 | 7 |  | 0.5 | 0.55
Winter |  | 30 mp |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.7 | 2.25
Summer | ATM | d Straddle |  | 30 | 34 |  | 0.91 |  |  | 31 | 35 |  | 0.89 | 0.93 |  | 30 | 40 |  | 0.8 | 1.1
Summer | 100 | dc |  | 9 | 11 |  | 1 |  |  | 9.5 | 11.5 |  | 1 | 1.11 |  | 10 | 15 |  | 1 | 1.3
Summer | 50 | dp |  | 11.5 | 13 |  | 0.8 | 0.89 |  | 9.75 | 12 |  | 0.73 | 0.89 |  | 10 | 15 |  | 0.71 | 1.01
Summer | ATM | m [NAME] |  | 16 | 18 |  | 0.47 |  |  | 15 | 17 |  | 0.42 | 0.47 |  | 15 | 21 |  | 0.45 | 0.5
Cal02 | ATM | 1 x Straddle |  | 3 | 4 |  | 0.32 |  |  | 4 | 6 |  | 0.29 | 0.32 |  | 5 | 5.75 |  | 0.36 | 0.42
Cal03 | ATM | 1 x Straddle |  | 7.5 | 8.5 |  | 0.25 |  |  | 8 | 9.5 |  | 0.25 | 0.29 |  | 7.5 | 9.5 |  | 0.24 | 0.3
Cal04 |  | 1 x Straddle |  |  |  |  |  |  |  |  |  |  |  |  |  | 7 | 10
ENTERGY
Term | Strike | Option |  | Price |  |  | Vol |  |  | Price |  |  | Vol |  |  | Price |  |  | Vol
Dec | 22 | mc |  |  |  |  |  |  |  | 0.45 | 0.55 |  |  |  |  | 0.25 | 1
Dec | 20 | mp |  |  |  |  |  |  |  | 0.6 | 0.7 |  |  |  |  | 1.25 | 2.5
Winter | ATM | d Straddle |  |  |  |  |  |  |  | 7.5 | 8.5 |  | 0.7 | 0.8
Winter | ATM | m [NAME] |  | 4.2 | 4.7 |  | 0.42 | 0.48 |  | 4.25 | 5.25 |  | 0.45 | 0.55
Jun | 35 | dc |  |  |  |  |  |  |  | 6.5 | 7 |  | 0.35 | 0.38
NQ-02 |  | 200 dc
Summer | ATM | d Straddle |  |  |  |  |  |  |  | 20 | 25 |  | 0.65 | 0.8
Summer | 50 | dc |  | 8.5 | 10 |  | 0.69 | 0.79 |  | 10 | 12 |  | 0.78 | 0.92
Summer | 45 | dc |  |  |  |  |  |  |  | 11 | 13 |  | 0.74 | 0.88
Summer | 40 | dp |  |  |  |  |  |  |  | 7 | 9 |  | 0.6 | 0.75
Summer | 30 | dp |  |  |  |  |  |  |  | 1.75 | 3 |  | 0.5 | 0.7
Summer | ATM | m [NAME] |  |  |  |  |  |  |  | 12 | 14 |  | 0.41 | 0.46
NQ-02 |  | 50 dp
NQ-02 |  | ATM m |  |  |  |  |  |  |  |  |  |  |  |  |  | 13.5 | 18.5
ERCOT
Term | Strike | Option |  | Price |  |  | Vol |  |  | Price |  |  | Vol |  |  | Price |  |  | Vol
Winter | 25 | mc |  |  |  |  |  |  |  | 2.1 | 2.6 |  | 0.47 | 0.53
Winter | ATM | m [NAME] |  | 4 | 5 |  | 0.42 | 0.5 |  | 4.5 | 5.5 |  | 0.47 | 0.53
Mar/April | ATM | m [NAME] |  | 4.5 | 5.5 |  | 0.37 | 0.43 |  | 4.5 | 5.5 |  | 0.37 | 0.43
Q4-02 | ATM | m [NAME] |  |  |  |  |  |  |  | 7.25 | 8 |  | 0.35 | 0.38
Summer-03 | 50 | mc |  |  |  |  |  |  |  | 4 | 5 |  | 0.33 | 0.37
NEPOOL
 | Strike | Option |  | Price |  |  | Vol |  |  | Price |  |  | Vol
Nov | 45 | dc |  | 1.3 | 2.3 |  | 0.83 | 1.03
[NAME]
 | Strike | Option |  | Price |  |  | Vol |  |  | Price |  |  | Vol
Nov | 40 | dc |  | 1 | 2 |  | 0.65 | 0.95
NY Zone A
Term | Strike | Option |  | Price |  |  | Vol |  |  | Price |  |  | Vol |  |  | Price |  |  | Vol
Nov | 30 | dp |  | 2 | 3 |  | 0.75 | 1.05 |  | 2.5 | 3 |  | 0.65 | 0.85
COMED
Term | Strike | Option |  | Price |  |  | Vol |  |  | Price |  |  | Vol |  |  | Price |  |  | Vol
Nov | 25 | dp |  | 4 | 5 |  | 0.85 | 1 |  | 4.1 | 5 |  | 0.8 | 0.95
Market Summary
- Low liquidity in prompt month