Spreadsheet: john_griffith__15579__VolSkew050101_oct
Sheet: VolSkew

 | Volatility Skew Calculator
 |  |  |  |  |  |  |  |  | ATM calc. |  |  |  |  |  |  |  |  |  |  |  |  | Second
 | Date | 2001-05-01 00:00:00 |  | Polynomial Order |  |  |  |  | ENA ATM | 0.525 |  |  |  |  |  |  |  |  |  |  |  | Third
 | Expiration |  |  |  |  |  |  |  | Commodity | NG |  |  |  |  |  |  |  |  |  |  |  | Fourth
 | Underlying | 4.845 |  |  |  |  |  |  | Contract | 2001-10-01 00:00:00 |  |  |  |  |  |  |  |  |  |  |  | Fifth
 | Int Rate | 0.0431 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2
 | Yield | 0.0431
 | Skew Fit |  |  |  |  |  |  |  | Premium | Strike | Put/Call (0/1) | Money-ness | Implied Vol
 | -0.3 | -0.2 | -0.1 | 0.1 | 0.2 | 0.3 |  |  | 0.508 | 5.15 | 1 |  |  |  |  | 0.044 | 3 |  |  |  |  | Vol Fit | 2 | 3 | 4 | 5 |  | pdf Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  |  | 0.431 | 5.4 | 1 |  |  |  |  | 0.244 | 4 |  |  |  |  | A |  |  |  |  |  | A
 |  |  |  |  |  |  |  |  | 0.404 | 5.5 | 1 |  |  |  |  | 0.440 | 4.5 |  |  |  |  | B |  |  |  |  |  | B
 |  |  |  |  |  |  |  |  | 0.344 | 5.75 | 1 |  |  |  |  | 0.567 | 4.75 |  |  |  |  | C |  |  |  |  |  | C
 |  |  |  |  |  |  |  |  | 0.292 | 6 | 1 |  |  |  |  | 0.715 | 5 |  |  |  |  | D |  |  |  |  |  | D
 |  |  |  |  |  |  |  |  | 0.249 | 6.25 | 1 |  |  |  |  | 0.979 | 5.4 |  |  |  |  | E
 |  |  |  |  |  |  |  |  | 0.213 | 6.5 | 1 |  |  |  |  |  |  |  |  |  |  | F
 |  |  |  |  |  |  |  |  | 0.044 | 3 | 0
 |  |  |  |  |  |  |  |  | 0.244 | 4 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | 0.19762 | 2 | + | 0.035609 | + | 0.51782
 |  |  |  |  |  |  |  |  | 0.44 | 4.5 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | -0.16861 | 3 | + | 0.19312 | 2 | + | 0.051138 | + | 0.51745
 |  |  |  |  |  |  |  |  | 0.567 | 4.75 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | -0.87119 | 4 | - | 0.22323 | 3 | + | 0.30319 | 2 | + | 0.053054 | + | 0.51602
 |  |  |  |  |  |  |  |  | 0.715 | 5 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | 2.1486 | 5 | - | 0.71981 | 4 | - | 0.56625 | 3 | + | 0.29443 | 2 | + | 0.063214 | + | 0.51589
 |  |  |  |  |  |  |  |  | 0.979 | 5.4 | 0
 |  |  |  |  |  |  |  |  | 0.116 | 3.5 | 0 |  |  |  |  | 0.116 | 3.5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | [NAME] |  |  |  |  |  | ENA Vol Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ from ATM |  | 37012 |  | ENA vol | slope |  |  | A
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 14 |  |  | Curve |  |  |  |  |  | -8 |  | 3 |  |  |  |  |  | B
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Fit | Diff |  | Money. | ImpVol |  |  |  |  | -6.26 |  | 3 |  |  |  |  |  | C
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -5 |  | 3 |  |  |  |  |  | D
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -4 |  | 3 |  |  |  |  |  | E
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -3 |  | 1.5 |  |  |  |  |  | F
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2.5 |  | 0.5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2 |  | -0.25 |  |  |  |  |  | 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 |  | -0.5 |  |  |  |  |  | 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 |  | 1.2
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 |  | 2.371416
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.5 |  | 3.4602555888
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2 |  | 4.45
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.5 |  | 5.401213969681151
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3 |  | 6.265044390711902
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4 |  | 7.809781548785235
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5 |  | 9.21831431646745
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10 |  | 16.26097815487853
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40 |  | 58.40363507180268