Spreadsheet: john_griffith__15997__VolSkew050901
Sheet: VolSkew

 | Volatility Skew Calculator
 |  |  |  |  |  |  |  |  | ATM calc. |  |  |  |  |  |  |  |  |  |  |  |  | Second
 | Date | 2001-05-09 00:00:00 |  | Polynomial Order |  |  |  |  | ENA ATM | 0.53 |  |  |  |  |  |  |  |  |  |  |  | Third
 | Expiration |  |  |  |  |  |  |  | Commodity | NG |  |  |  |  |  |  |  |  |  |  |  | Fourth
 | Underlying | 4.202 |  |  |  |  |  |  | Contract | 2001-06-01 00:00:00 |  |  |  |  |  |  |  |  |  |  |  | Fifth
 | Int Rate | 0.0439 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 | 2 | 1
 | Yield
 | Skew Fit |  |  |  |  |  |  | Premium | Strike | Put/Call (0/1) | Underlying | Money-ness | Implied Vol |  |  | [NAME]. | diff
 | -0.3 | -0.2 | -0.1 | 0.1 | 0.2 | 0.3 |  | 0.163 | 4.25 | 1 |  |  |  |  |  |  |  |  |  |  |  | Vol Fit | 2 | 3 | 4 | 5 |  | pdf Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  | 0.142 | 4.3 | 1 |  |  |  |  |  |  |  |  |  |  |  | A |  |  |  |  |  | A
 |  |  |  |  |  |  |  | 0.124 | 4.35 | 1 |  |  |  |  |  |  |  |  |  |  |  | B |  |  |  |  |  | B
 |  |  |  |  |  |  |  | 0.107 | 4.4 | 1 |  |  |  |  |  |  |  |  |  |  |  | C |  |  |  |  |  | C
 |  |  |  |  |  |  |  | 0.08 | 4.5 | 1 |  |  |  |  |  |  |  |  |  |  |  | D |  |  |  |  |  | D
 |  |  |  |  |  |  |  | 0.035 | 4.75 | 1 |  |  |  |  |  |  |  |  |  |  |  | E
 |  |  |  |  |  |  |  | 0.03 | 4.8 | 1 |  |  |  |  |  |  |  |  |  |  |  | F
 |  |  |  |  |  |  |  | 0.025 | 4.85 | 1
 |  |  |  |  |  |  |  | 0.021 | 4.9 | 1 |  |  |  |  |  |  |  |  |  |  |  | y | = | 0.66686 | 2 | - | 0.04965 | + | 0.53093
 |  |  |  |  |  |  |  | 0.014 | 5 | 1 |  |  |  |  |  |  |  |  |  |  |  | y | = | -1.2191 | 3 | + | 0.75302 | 2 | - | 0.021861 | + | 0.53018
 |  |  |  |  |  |  |  | 0.01 | 5.1 | 1 |  |  |  |  |  |  |  |  |  |  |  | y | = | 0.67274 | 4 | - | 1.2883 | 3 | + | 0.73334 | 2 | - | 0.020561 | + | 0.53023
 |  |  |  |  |  |  |  | 0.012 | 3.5 | 0 |  |  |  |  |  |  |  |  |  |  |  | y | = | -343.32 | 5 | + | 44.101 | 4 | + | 12.743 | 3 | - | 0.50773 | 2 | - | 0.13954 | + | 0.53377
 |  |  |  |  |  |  |  | 0.027 | 3.75 | 0
 |  |  |  |  |  |  |  | 0.057 | 3.8 | 0
 |  |  |  |  |  |  |  | 0.103 | 4 | 0
 |  |  |  |  |  |  |  | 0.182 | 4.2 | 0
 |  |  |  |  |  |  |  | 0.211 | 4.25 | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | [NAME] |  |  |  |  |  | ENA Vol Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ from ATM |  | 37012 |  | ENA vol | slope |  |  | A
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 17 |  |  | Curve |  |  |  |  |  | -5 |  |  |  |  |  |  |  | B
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Fit | Diff |  | Money. | ImpVol |  |  |  |  | -4 |  |  |  |  |  |  |  | C
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -3 |  |  |  |  |  |  |  | D
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2.5 |  |  |  |  |  |  |  | E
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2 |  |  |  |  |  |  |  | F
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -1.5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -0.5 |  |  |  |  |  |  |  | y | = | 0.14289 | 2 | + | 0.023084 | + | 0.49276
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  | y | = | -0.10293 | 3 | + | 0.15935 | 2 | + | 0.038129 | + | 0.49163
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.5 |  |  |  |  |  |  |  | y | = | 0.41872 | 4 | - | 0.20403 | 3 | + | 0.083157 | 2 | + | 0.049613 | + | 0.49295
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 |  |  |  |  |  |  |  | y | = | 0.80901 | 5 | + | 0.21973 | 4 | - | 0.39491 | 3 | + | 0.11314 | 2 | + | 0.05858 | + | 0.49245
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40