1. 30.11.2012
Option Implied Volatility Skew Parameters by Terms:
At The Money Implied Volatilities by Terms
IVt = atx + btx2 + ct
Convenienc Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol -
Ticker Name ATM Ref e Yield (% (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) -
30D 60D 90D 6M 12M 18M 24M
p.a.) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
RSA Comdty CANOLA FUTR (WCE) Jan13 594.00 15.81 15.99 15.39 15.38 14.97 0.122 0.128 0.068 0.007 0.003 -0.004 -0.001 -0.002 0.000 0.000
CCA Comdty COCOA FUTURE Mar13 2492.00 24.44 24.95 25.36 25.54 25.99 26.02 0.010 0.073 0.056 0.047 0.026 0.022 -0.004 -0.001 0.000 0.000 0.000 0.000
KCA Comdty COFFEE 'C' FUTURE Mar13 155.30 31.14 30.06 29.79 29.40 28.86 28.08 28.09 0.154 0.113 0.104 0.065 0.045 0.021 0.018 -0.002 -0.001 0.000 0.000 0.000 0.000 0.000
C A Comdty CORN FUTURE Mar13 756.25 17.36 20.02 21.90 23.97 24.24 22.78 21.87 -0.008 0.078 0.065 0.056 0.012 0.016 0.017 -0.003 0.000 0.000 -0.001 0.000 0.000 0.000
CTA Comdty COTTON NO.2 FUTR Mar13 73.40 20.81 20.81 20.81 20.57 20.56 20.03 19.12 -0.014 -0.014 -0.004 -0.024 -0.009 -0.008 -0.008 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Agriculture
JOA Comdty FCOJ-A FUTURE Jan13 124.10 36.66 38.23 38.58 32.88 32.05 32.03 32.09 0.035 0.126 0.151 0.038 0.015 0.013 0.012 -0.001 -0.001 -0.001 -0.001 0.000 0.000 0.000
LBA Comdty LUMBER FUTURE Jan13 342.80 28.73 27.40 25.98 17.93 -0.055 -0.003 0.052 -0.007 -0.004 -0.003 -0.002 -0.001
O A Comdty OAT FUTURE Mar13 372.50 20.68 20.68 20.55 19.07 19.07 0.041 0.041 0.053 0.194 0.194 -0.001 -0.001 -0.001 -0.001 -0.001
RRA Comdty R O U G H R I C E ( C B O T ) J a n 1 3 15.19 12.73 13.85 14.60 12.33 12.33 0.387 0.338 0.285 0.143 0.143 -0.004 -0.003 -0.002 -0.001 -0.001
S A Comdty SOYBEAN FUTURE Jan13 1438.25 17.55 20.68 21.26 20.57 20.34 0.028 0.122 0.139 0.132 0.056 -0.003 -0.001 -0.001 -0.001 0.000
SMA Comdty SOYBEAN MEAL FUTR Jan13 432.50 20.22 21.93 22.46 21.04 19.52 0.064 0.142 0.189 0.131 0.096 -0.006 -0.002 -0.001 -0.001 -0.001
BOA Comdty SOYBEAN OIL FUTR Jan13 49.92 18.43 18.14 18.67 18.14 18.15 0.169 0.244 0.092 0.107 0.007 -0.004 -0.004 -0.001 -0.001 0.000
SBA Comdty SUGAR #11 (WORLD) Mar13 19.29 23.32 23.13 22.99 22.17 20.70 20.69 20.35 0.028 0.098 0.081 0.027 0.012 0.021 -0.001 -0.006 -0.002 -0.001 -0.001 0.000 0.000 0.000
W A Comdty WHEAT FUTURE(CBT) Mar13 877.50 22.06 24.56 25.20 25.53 24.68 0.127 0.107 0.102 0.087 0.044 0.000 0.000 0.000 0.000 0.000
KWA Comdty WHEAT FUTURE(KCB) Mar13 926.00 24.98 24.98 24.94 24.15 24.34 0.073 0.073 0.071 0.053 0.000 -0.001 -0.001 -0.001 0.000 0.000
FCA Comdty CATTLE FEEDER FUT Jan13 146.95 10.59 10.59 10.78 11.28 -0.020 -0.020 -0.040 -0.115 -0.002 -0.002 -0.001 0.000
stock
Live
LHA Comdty LEAN HOGS FUTURE Feb13 86.83 12.71 14.25 15.35 14.29 13.87 -0.135 -0.120 -0.108 -0.106 -0.100 -0.009 -0.004 -0.001 0.000 0.000
LCA Comdty LIVE CATTLE FUTR Feb13 132.10 9.51 9.93 10.08 9.75 -0.072 -0.149 -0.142 -0.105 -0.006 -0.002 -0.001 -0.001
CLA Comdty WTI CRUDE FUTURE Jan13 87.95 27.55 27.58 28.23 29.31 27.62 25.35 23.76 -0.163 -0.147 -0.145 -0.095 -0.097 -0.053 -0.073 -0.001 0.000 0.000 0.000 0.000 0.000 0.000
COA Comdty BRENT CRUDE FUTR Jan13 110.49 23.55 24.53 25.96 26.72 26.56 24.65 23.54 0.046 -0.014 -0.032 -0.066 -0.050 -0.095 -0.058 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Energy
XBA Comdty GASOLINE RBOB FUT Dec12 277.30 23.30 25.77 25.53 25.39 26.20 26.20 26.20 0.108 0.078 -0.026 -0.022 0.000 0.000 0.000 -0.001 0.001 0.000 0.000 0.000 0.000 0.000
HOA Comdty HEATING OIL FUTR Dec12 303.33 20.82 21.80 22.25 23.28 21.38 21.38 21.38 -0.126 -0.076 -0.043 -0.036 -0.019 -0.019 -0.019 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000
QSA Comdty GAS OIL FUT (ICE) Jan13 947.75 20.94 21.27 21.88 23.32 22.11 20.57 19.36 -0.021 -0.053 -0.079 -0.060 -0.010 -0.053 -0.009 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000
NGA Comdty NATURAL GAS FUTR Jan13 3.63 37.17 35.36 35.55 30.95 27.34 24.66 23.15 0.058 0.062 0.046 -0.018 -0.024 -0.007 0.000 0.001 -0.001 0.000 0.000 0.000 0.000 0.000
Precious
GCA Comdty GOLD 100 OZ FUTR Feb13 1731.40 10.60 11.82 12.52 14.56 16.88 18.38 18.85 -0.073 -0.006 0.003 0.012 0.009 0.007 0.005 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Metals
SIA Comdty SILVER FUTURE Mar13 34.33 20.61 21.60 22.18 23.88 25.93 26.14 26.49 -0.064 -0.062 -0.072 -0.079 -0.007 -0.006 -0.003 -0.002 -0.001 -0.001 0.000 0.000 0.000 0.000
PLA Comdty PLATINUM FUTURE Jan13 1621.00 18.06 19.66 19.80 19.90 -0.057 0.036 0.074 0.101 -0.005 -0.001 -0.001 -0.002
PAA Comdty PALLADIUM FUTURE Mar13 692.05 33.03 29.46 26.73 26.73 0.011 0.045 0.070 0.070 0.000 -0.001 -0.001 -0.001
LAA Comdty LME PRI ALUM FUTR Dec12 2073.00 17.80 17.56 18.27 18.43 18.43 18.43 18.43 -0.055 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Industrial
Metals
LPA Comdty LME COPPER FUTURE Dec12 7890.25 15.64 19.18 20.11 20.11 20.11 20.11 20.11 -0.053 -0.049 -0.045 -0.045 -0.045 -0.045 -0.045 -0.001 0.001 0.001 0.001 0.001 0.001 0.001
LLA Comdty LME LEAD FUTURE Dec12 2216.50 25.97 26.39 26.87 27.88 27.88 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LNA Comdty LME NICKEL FUTURE Dec12 16963.00 26.31 26.85 27.03 27.03 27.03 27.03 27.03 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LXA Comdty LME ZINC FUTURE Dec12 2020.00 21.58 19.94 19.94 19.94 19.94 19.94 19.94 -0.171 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
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2. 30.11.2012
Option Implied Volatility Skew Parameters by Terms:
At The Money Implied Volatilities by Terms 2
IVt = atx + btx + ct
Convenienc Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol -
Ticker Name ATM Ref e Yield (% (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) -
30D 60D 90D 6M 12M 18M 24M
p.a.) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
UNG US Equity US NATURAL GAS FUND LP 20.81 36.31 36.09 36.24 36.27 36.54 37.29 38.05 -0.007 -0.020 -0.030 -0.026 0.019 0.019 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000
HNU CN Equity HORIZONS BETA NYMEX NAT BULL 14.45 64.57 67.69 70.43 71.24 -0.318 -0.138 -0.108 -0.165 0.000 0.001 0.001 0.000
SLV US Equity ISHARES SILVER TRUST 33.13 22.04 22.31 22.76 24.25 26.11 27.15 27.84 -0.091 -0.067 -0.069 -0.069 -0.076 -0.085 -0.092 -0.007 -0.003 -0.002 -0.001 -0.001 0.000 0.000
HND CN Equity HORIZONS BETA NYMEX NAT BEAR 3.65 73.86 95.52 101.99 88.61 -1.713 -1.463 -0.962 -1.384 -0.013 -0.005 -0.007 -0.009
GLD US Equity SPDR GOLD TRUST 167.18 11.56 12.08 12.80 14.51 17.07 19.20 20.46 -0.098 -0.035 -0.010 0.013 0.016 0.022 0.018 -0.008 -0.004 -0.003 -0.002 -0.001 -0.001 0.000
USO US Equity UNITED STATES OIL FUND LP 32.17 26.26 27.09 28.23 29.99 30.98 31.23 31.25 -0.174 -0.151 -0.143 -0.124 -0.102 -0.103 -0.111 -0.004 -0.002 -0.001 0.000 0.000 0.000 0.000
HOU CN Equity HORIZONS BETA NYMEX CRUDE BU 4.10 61.10 59.79 59.31 62.11 -0.354 -0.064 -0.266 -0.149 -0.006 -0.003 -0.001 0.000
IAU US Equity ISHARES GOLD TRUST 16.79 12.26 12.75 13.31 14.63 17.42 19.27 20.60 -0.067 -0.103 -0.044 0.016 -0.004 0.002 0.015 0.000 -0.001 -0.001 -0.001 -0.001 0.000 0.000
HOD CN Equity HORIZONS BETA NYMEX CRUDE BE 6.19 67.29 88.30 124.62 133.52 -0.530 0.583 -0.552 -0.768 0.000 0.001 -0.007 -0.001
ZSL US Equity PROSHARES ULTRASHORT SILVER 39.86 39.47 41.18 45.89 49.01 72.94 0.076 -0.013 0.026 0.092 -0.896 -0.002 0.000 -0.001 0.000 -0.002
UCO US Equity PROSHRE ULT DJ-UBS CRUDE OIL 27.37 46.41 46.89 51.19 55.85 57.65 58.59 58.97 0.057 0.236 0.059 -0.101 -0.084 -0.065 -0.035 -0.003 -0.002 -0.001 0.000 0.000 0.000 0.000
DBA US Equity P O W E R S H A R E S D B A G R I C U L T U R E F 29.08 12.94 13.75 14.71 16.09 17.71 18.37 18.61 -0.033 -0.049 -0.028 -0.011 -0.017 -0.013 -0.007 0.000 -0.001 -0.001 -0.001 0.000 0.000 0.000
DBC US Equity POWERSHARES DB COMMODITY IND 28.08 15.10 16.13 16.96 18.43 19.96 20.39 20.47 -0.324 -0.390 -0.318 -0.226 -0.182 -0.150 -0.120 -0.004 -0.005 -0.003 -0.001 0.000 0.000 -0.001
SCO US Equity PROSHRE U/S DJ-UBS CRUDE OIL 43.75 52.63 54.70 56.41 59.00 61.45 63.27 64.83 0.152 0.125 0.112 0.107 0.083 0.070 0.067 -0.002 -0.001 0.000 0.000 0.000 0.000 0.000
AGQ US Equity PROSHARES ULTRA SILVER 56.60 44.08 44.71 45.83 48.07 51.52 53.69 55.24 -0.083 -0.061 -0.066 -0.043 -0.014 -0.038 -0.078 -0.003 -0.001 -0.001 -0.001 0.000 0.000 0.000
GSG US Equity ISHARES S&P GSCI COMMODITY I 32.87 16.73 17.65 18.32 19.52 -0.274 -0.273 -0.207 -0.135 -0.003 -0.002 -0.002 -0.001
Main Commodity ETFs
GAS CN Equity ISHARES NATURAL GAS COMMODIT 12.83 129.11 57.15 115.87 87.40 51.50 -2.516 0.047 0.224 0.088 0.162 -0.002 0.003 0.013 0.005 0.001
OIL US Equity IPATH GOLDMAN SACHS CRUDE 21.01 26.85 28.71 29.81 31.29 32.41 32.74 32.86 -0.128 -0.121 -0.144 -0.128 -0.109 -0.099 -0.091 -0.004 -0.001 -0.001 0.000 0.000 0.000 0.000
RJA US Equity ELEMENTS ROGERS AGRI TOT RET 9.44 19.04 19.04 19.05 19.39 -0.042 -0.042 -0.042 0.051 0.000 0.000 0.000 0.000
DJP US Equity IPATH DOW JONES-UBS COMMDTY 42.59 14.72 15.51 16.04 17.12 -0.155 -0.212 -0.224 -0.213 -0.001 -0.001 -0.001 -0.001
DBB US Equity POWERSHARES DB BASE METALS F 18.94 21.59 22.17 23.02 24.19 -0.077 -0.188 -0.232 -0.211 0.000 0.000 0.000 0.000
S I V R U S E q u i t y ETFS PHYSICAL SILVER SHARES 33.91 21.89 22.16 22.79 24.23 -0.125 -0.031 -0.062 -0.077 -0.005 -0.003 -0.002 -0.001
RJI US Equity ELEMENTS ROGERS TOTAL RETURN 8.69 17.85 17.85 17.85 17.85 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
GAZ US Equity IPATH DJ-UBS NAT GAS SUBINDX 3.12 45.74 46.47 48.00 47.01 0.000 0.153 0.363 0.186 0.000 -0.001 -0.003 -0.001
JJC US Equity IPATH DJ-UBS COPPER SUBINDX 45.37 21.59 22.86 23.69 24.91 -0.133 -0.201 -0.174 -0.167 -0.002 -0.001 -0.001 0.000
GLL US Equity PROSHARES ULTRASHORT GOLD 59.10 23.45 24.93 26.06 28.88 0.014 -0.008 0.022 0.008 -0.006 -0.003 -0.001 0.000
DBO US Equity POWERSHARES DB OIL FUND 25.09 23.77 24.14 24.71 25.81 -0.159 -0.205 -0.175 -0.134 -0.001 -0.001 -0.001 -0.001
UGL US Equity PROSHARES ULTRA GOLD 91.05 23.15 24.73 25.93 28.59 -0.151 -0.021 0.012 0.024 -0.006 -0.003 -0.002 -0.001
USL US Equity U N I T E D S T A T E S 1 2 M O N T H O I L 38.65 24.88 25.81 26.87 27.74 27.39 -0.136 -0.191 -0.167 -0.175 0.092 -0.002 -0.001 -0.001 -0.001 0.001
CGL CN Equity ISHARES GOLD BULLION FUND 15.44 22.41 21.37 20.32 23.08 -0.397 -0.261 -0.286 -0.181 -0.040 -0.018 -0.011 -0.003
SGOL US Equity ETFS GOLD TRUST 170.44 11.54 12.22 13.02 14.70 -0.117 -0.044 -0.004 0.003 -0.002 -0.002 -0.003 -0.002
DBE US Equity POWERSHARES DB ENERGY FUND 27.99 21.31 21.42 21.89 23.06 -0.096 -0.132 -0.139 -0.139 -0.001 -0.002 -0.002 -0.001
BAL US Equity IPATH DJ-UBS COTTON SUBINDX 47.78 26.24 27.70 29.19 30.84 -0.001 -0.063 -0.059 -0.053 -0.002 -0.001 -0.001 0.000
DBP US Equity POWERSHARES DB PREC METALS F 60.09 13.66 14.42 15.19 16.91 0.009 0.045 0.030 0.007 -0.001 -0.001 -0.002 -0.001
RJN US Equity ELEMENTS ROGERS ENERGY TR 6.42 30.04 30.04 30.05 -0.092 -0.092 -0.092 0.000 0.000 0.000
DBS US Equity POWERSHARES DB SILVER FUND 59.09 22.56 22.74 23.44 24.84 -0.125 -0.142 -0.112 -0.089 -0.003 -0.002 -0.002 -0.001
CORN US Equity TEUCRIUM CORN FUND 48.07 19.02 19.78 20.51 22.59 23.24 23.42 23.48 0.067 0.065 0.023 0.025 0.038 0.024 0.005 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000
UGA US Equity UNITED STATES GAS FUND LP 57.55 25.14 25.74 26.22 26.74 -0.236 -0.171 -0.154 -0.139 -0.002 -0.001 -0.001 -0.001
DGL US Equity POWERSHARES DB GOLD FUND 59.28 11.69 12.27 13.00 14.62 -0.032 0.025 0.006 -0.002 -0.001 -0.001 -0.002 -0.002
COW US Equity IPATH DJ-UBS LIVESTOCK SUB 28.64 15.80 16.01 16.95 18.12 -0.078 -0.076 -0.041 -0.018 0.000 -0.001 -0.001 0.000
UNL US Equity UNITED STATES 12 MONTH NATUR 18.29 21.21 21.43 21.68 21.13 -0.030 0.120 0.276 0.052 0.000 -0.001 -0.003 -0.001
DNO US Equity UNITED STATES SHORT OIL FUND 39.51 27.28 28.33 29.50 30.79 0.149 0.144 0.133 0.121 -0.002 -0.001 -0.001 0.000
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3. 30.11.2012
WTI Crude Futures Term Structures & Implied Volatilities
WTI Crude Oil - Forward Curve (Fair Value) WTI Crude Oil - Historical 12-Months Implied Volatilities
92 4.0% 50% 115
45% 110
90 3.0%
40% 105
2.0% 35%
88 100
30%
1.0% 95
86 25%
90
0.0% 20%
84 85
15%
-1.0%
10% 80
82 -2.0%
5% 75
80 -3.0% 0% 70
May-12
May-12
Aug-12
Aug-12
Sep-12
Sep-12
Apr-12
Apr-12
Apr-12
Oct-12
Oct-12
Oct-12
Feb-12
Feb-12
Mar-12
Mar-12
Jul-12
Jul-12
Jan-12
Jan-12
Jun-12
Jun-12
Nov-11
Dec-11
Dec-11
Nov-12
Nov-12
Apr-13
Apr-14
Apr-15
Apr-16
Apr-17
Jan-13
Jan-14
Jan-15
Jan-16
Jan-17
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Oct-13
Oct-14
Oct-15
Oct-16
Oct-17
6MTH_IMPVOL_90.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF
Term Structure - Slope (% p.a.) GOLD 100 OZ FUTR Feb13 6MTH_IMPVOL_110.0%MNY_DF PX_LAST
WTI Crude Oil - 30 Days Implied VS Historical Volatility WTI Crude Oil - Implied Volatility Surface
50%
45% 32%
40%
30%
35%
28%
30%
26%
25%
20% 24%
15% 22%
10% 20%
0.300-0.320
24MTH
IV 110%
5%
IV 102.5%
12MTH
0.280-0.300
IV 97.5%
3MTH
0% 0.260-0.280
IV 90%
Mar-12
Mar-12
May-12
May-12
May-12
Dec-11
Dec-11
Jan-12
Jan-12
Jun-12
Jun-12
Aug-12
Aug-12
Sep-12
Sep-12
Jul-12
Jul-12
Feb-12
Feb-12
Apr-12
Apr-12
Oct-12
Oct-12
Oct-12
Nov-11
Nov-12
Nov-12
30DAY
0.240-0.260
0.220-0.240
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
0.200-0.220
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