Spreadsheet: john_griffith__15578__VolSkew050101_dec
Sheet: VolSkew

 | Volatility Skew Calculator
 |  |  |  |  |  |  |  |  | ATM calc. |  |  |  |  |  |  |  |  |  |  |  |  | Second
 | Date | 2001-05-01 00:00:00 |  | Polynomial Order |  |  |  |  | ENA ATM | 0.535 |  |  |  |  |  |  |  |  |  |  |  | Third
 | Expiration |  |  |  |  |  |  |  | Commodity | NG |  |  |  |  |  |  |  |  |  |  |  | Fourth
 | Underlying | 5.179 |  |  |  |  |  |  | Contract | 2001-12-01 00:00:00 |  |  |  |  |  |  |  |  |  |  |  | Fifth
 | Int Rate | 0.0429 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2
 | Yield | 0.0429
 | Skew Fit |  |  |  |  |  |  |  | Premium | Strike | Put/Call (0/1) | Money-ness | Implied Vol
 | -0.3 | -0.2 | -0.1 | 0.1 | 0.2 | 0.3 |  |  | 1.48 | 3.9 | 1 |  |  |  |  | 0.006 | 2.2 |  |  |  |  | Vol Fit | 2 | 3 | 4 | 5 |  | pdf Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  |  | 1.347 | 4.1 | 1 |  |  |  |  | 0.054 | 3 |  |  |  |  | A |  |  |  |  |  | A
 |  |  |  |  |  |  |  |  | 0.979 | 4.75 | 1 |  |  |  |  | 0.261 | 4 |  |  |  |  | B |  |  |  |  |  | B
 |  |  |  |  |  |  |  |  | 0.701 | 5.45 | 1 |  |  |  |  | 0.446 | 4.5 |  |  |  |  | C |  |  |  |  |  | C
 |  |  |  |  |  |  |  |  | 0.668 | 5.55 | 1 |  |  |  |  | 0.694 | 5 |  |  |  |  | D |  |  |  |  |  | D
 |  |  |  |  |  |  |  |  | 0.542 | 6 | 1 |  |  |  |  | 0.965 | 5.45 |  |  |  |  | E
 |  |  |  |  |  |  |  |  | 0.006 | 2.2 | 0 |  |  |  |  | 1.307 | 5.95 |  |  |  |  | F
 |  |  |  |  |  |  |  |  | 0.054 | 3 | 0
 |  |  |  |  |  |  |  |  | 0.261 | 4 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | 0.13508 | 2 | + | 0.08534 | + | 0.52118
 |  |  |  |  |  |  |  |  | 0.446 | 4.5 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | 0.088785 | 3 | + | 0.18809 | 2 | + | 0.086731 | + | 0.52031
 |  |  |  |  |  |  |  |  | 0.694 | 5 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | -0.99318 | 4 | - | 0.6705 | 3 | + | 0.10493 | 2 | + | 0.10537 | + | 0.5214
 |  |  |  |  |  |  |  |  | 0.965 | 5.45 | 0 |  |  |  |  |  |  |  |  |  |  | y | = | 2.296 | 5 | + | 1.2468 | 4 | - | 0.19502 | 3 | + | 0.050276 | 2 | + | 0.092387 | + | 0.52172
 |  |  |  |  |  |  |  |  | 1.307 | 5.95 | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | [NAME] |  |  |  |  |  | ENA Vol Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ from ATM |  | 37012 |  | ENA vol | slope |  |  | A
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 13 |  |  | Curve |  |  |  |  |  | -8 |  | 0.5 |  |  |  |  |  | B
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Fit | Diff |  | Money. | ImpVol |  |  |  |  | -6.26 |  | 0.5 |  |  |  |  |  | C
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -5 |  | 0.5 |  |  |  |  |  | D
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -4 |  | 0.5 |  |  |  |  |  | E
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -3 |  | 0.5 |  |  |  |  |  | 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 |  | -0.75 |  |  |  |  |  | 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 |  | 0.95
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 |  | 1.877371
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.5 |  | 2.34
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2 |  | 3.2
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.5 |  | 4
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3 |  | 4.66
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4 |  | 5.8
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5 |  | 7
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10 |  | 12
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40 |  | 44