PARITY REPORT Crude Oil 2012-01-13

WTI Crude Oil February 98.70 -0.40 (Range 97.70 99.02)

ATM Vol G12 22.0 -3.6 \ H12 31.7 -1.0 \ M12 35.2 +0.1
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.37
Pre-0900-1200: approx ranges: G12 Fut 97.70 (L) 99.02 (H) \
G12 vol 23.7 25.2 \ H12 vol 32.3 32.5 \ M12 vol 35.1 35.4
Feb $98.00 same-day put, traded $0.16 (1155 ref NA)
Feb $95.00 put, paper hit $0.33 (1030ref NA)
Feb $98.00-$97.00 put spread hedged $98.50, traded $0.32
Mar $105.00 call, traded $1.36 (1030 ref NA)
Mar $115.00 call, traded $0.39 (0900 ref NA)
Apr-Jun $75.00 put strip, paper lifted $1.04 (1115 avg ref NA)
Apr-Jun $100.00 call strip, paper lifted $0.05 (1030 avg ref NA)
1200-1430-Post: approx ranges: G12 Fut 98.06 98.95 \
G12 vol 22.0 24.6 H12 vol 31.7 32.9 \ M12 vol 35.2 35.6
Mar/Apr $-0.25 CSO straddle, traded $0.16 (1500 ref NA)
Mar/Apr-May/Jun $-0.25-$+0.00-$+0.25 CSO call butterfly strip, traded $0.04 (1415 avg ref $-0.26)
Feb $98.50 same-day put, traded $0.03 (1425 ref NA)
Feb $99.00 same-day call, traded $0.08 (1420 ref NA)
Feb $95.00-$102.00 fence hedged $98.50, traded $0.13
Mar $140.00 call, traded $0.11 (1330 NA)

160%

Front Month Implied Volatility

140%
120%
100%
2012-01-13

80%

2012-01-12

60%
40%
6500
6900
7300
7700
8100
8500
8900
9300
9700
10100
10500
10900
11300
11700
12100
12500

20%
Strike

Disclaimer: This report, its data and opinions are provided as is and as available and are provided for
general informational and educational purposes only. This report, its data and opinions are not intended to
be a personalized recommendation to buy, hold or sell investments. The report, data and opinions do not
take into account the particular investment objectives, financial situations or needs of individual clients.
Clients should consider whether any advice or recommendation in this research is suitable for their
particular circumstances and, if appropriate, seek professional advice. This is not a solicitation to buy or
sell securities, commodities, options, futures or other derivatives and should not be construed as an
endorsement or recommendation to invest in any such instruments. Prices and information contained in
this report have been obtained from sources, both internal and external, that we consider to be reliable,
but Parity Energy, Inc. has not verified this information and makes no representation or warranty express
or implied as to the completeness, accuracy or correctness of this report or the data and opinions
contained herein. No implied warranty of merchantability or fitness for a particular purpose shall apply.
The price and value of investments referred to in this research may fluctuate rapidly and past
performance is not a guide to future performance. Any statements that are non-factual in nature constitute
only current options, which are subject to change. Clients should verify all claims and do their own
research before investing in any instrument referenced in this publication. Investing in securities and
commodities and in options, futures and other derivatives, is speculative and carries a high degree of risk.
Clients may lose money trading and investing in such investments. Parity Energy Inc. does not accept or
assume any responsibility or liability for itself or any of its employees or agents for any errors or
omissions contained in this report or the data or opinions contained herein or for any losses or damages
incurred or suffered which are claimed to result from this report or the data or opinions contained herein.

The smile wilted on the news of downgrades in Europe

Kiplin Perkins - Market Data - Parity Energy, Inc.

tel: +1-646-867-1983 / kiplin.perkins@parityenergy.com \ AIM: kiplinparity \ Yahoo: kiplinparity
33 Whitehall Street, 17th Floor, New York, NY 10004

Parity Energy Straddle Values in Dollars with Volatility as of Today's Close

Month
G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

Crude Oil
2.03
7.64
11.17
14.09
16.40
18.17
19.87
21.32
22.55
23.81
24.50
25.31
26.02
26.51
26.92
27.43
27.87
28.32

G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

22.0%
31.7%
34.0%
34.6%
35.2%
35.1%
34.9%
34.8%
34.4%
34.6%
33.8%
33.6%
33.0%
32.5%
32.0%
31.5%
31.2%
30.8%

Months
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13

Crude CSO's
0.07
0.22
0.33
0.41
0.45
0.60
0.69
0.72
0.76
0.79
0.80
0.81
0.82
0.83
0.85
0.86
0.88
0.89

Month
G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

0.1794
0.3369
0.4296
0.4945
0.5485
0.6344
0.6974
0.7626
0.8295
0.8647
0.8904
0.9373
0.9587
0.9786
0.9361
0.9175
0.9186
0.9372

Natural Gas
43.0%
45.4%
42.6%
40.7%
39.0%
39.8%
40.0%
40.5%
41.1%
38.4%
34.4%
33.4%
32.7%
32.5%
30.5%
28.7%
27.6%
27.1%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Feb '12

Mar '12

Apr '12
Jun '12
Dec '12
Dec '13

Strike
94 P
95 P
96 P
97 P
97.5 P
98 P
99 C
99.5 C
100 C
85 P
90 P
94 P
95 P
100 C
105 C
115 C
120 C
100 C
130 C
150 C

Settle
0.11
0.17
0.27
0.42
0.54
0.70
0.82
0.60
0.42
0.53
1.14
2.02
2.32
3.23
1.45
0.38
0.68
8.03
2.98
2.51

change
-0.06
-0.08
-0.10
-0.13
-0.14
-0.14
-0.51
-0.48
-0.45
-0.02
0.00
0.05
0.07
-0.30
-0.18
-0.03
-0.04
-0.07
-0.08
-0.11

Parity Value
0.09
0.14
0.23
0.37
0.48
0.63
0.86
0.63
0.44
0.53
1.13
2.00
2.29
3.25
1.46
0.37
0.68
8.03
3.00
2.33

change
-0.11
-0.14
-0.16
-0.20
-0.20
-0.19
-0.43
-0.40
-0.36
-0.07
-0.08
-0.06
-0.05
-0.35
-0.25
-0.08
-0.11
-0.19
-0.02
0.02

Parity Vol
30.5%
28.2%
26.2%
24.4%
23.6%
22.9%
21.8%
21.2%
20.7%
39.6%
36.5%
34.3%
33.7%
31.3%
30.4%
34.5%
34.8%
35.1%
31.0%
26.7%

change
-3.9
-4.2
-4.4
-4.4
-4.3
-4.1
-3.9
-4.0
-4.2
-1.3
-1.2
-1.1
-1.0
-1.1
-1.1
-0.5
-0.7
0.0
-0.1
0.0

Parity Delta
-3.6
-6.3
-11.0
-19.2
-25.3
-32.8
51.7
42.7
32.6
-7.9
-16.7
-27.8
-31.1
46.7
23.6
2.5
4.9
52.2
13.0
7.0

Volume
3524
5404
2355
3866
1914
6780
3065
2858
6170
2148
6106
2091
3658
2954
2503
4076
1964
2378
3100
2100

High Open Interest Option Contracts with Parity Energy Indications

Month
Mar '12

Jun '12

Dec '12

Strike
70 P
80 P
85 P
90 P
95 P
140 C
70 P
80 P
85 P
90 P
100 C
140 C
70 P
80 P
90 P
100 C

Settle
0.05
0.24
0.53
1.14
2.32
0.10
1.02
2.31
3.28
4.58
8.03
0.66
2.99
5.23
8.33
11.98

change
0.00
-0.01
-0.02
0.00
0.07
0.02
0.09
0.17
0.19
0.23
-0.07
0.02
-0.05
-0.06
-0.07
-0.12

Parity Value
0.05
0.25
0.53
1.13
2.29
0.16
1.03
2.30
3.28
4.56
8.03
0.65
3.10
5.29
8.31
12.02

change
-0.01
-0.03
-0.07
-0.08
-0.05
0.00
0.02
0.05
0.07
0.09
-0.19
-0.05
0.01
-0.03
-0.08
-0.01

Parity Vol
50.0%
42.9%
39.6%
36.5%
33.7%
56.6%
46.4%
42.6%
40.7%
38.7%
35.1%
37.1%
42.1%
39.3%
36.4%
33.8%

change
-0.7
-1.1
-1.3
-1.2
-1.0
1.0
0.1
0.2
0.3
0.2
0.0
-0.1
0.2
0.0
-0.1
-0.1

Parity Delta
-0.6
-3.5
-7.9
-16.7
-31.1
0.5
-7.5
-15.4
-21.1
-28.2
52.2
2.6
-13.7
-21.3
-31.4
54.4

Strike OI
27160
29155
25788
30308
28509
27281
26898
44648
35990
32103
27483
27183
25975
53250
38037
63157

120 C

4.73

-0.10

4.71

-0.03

31.0%

-0.1

23.0

37594

130 C

2.98

-0.08

3.00

-0.02

31.0%

-0.1

13.0

33455

150 C

1.47

-0.04

1.41

-0.02

32.6%

-0.1

4.7

49007

Copyright 2011 Parity Energy, Inc. All Rights Reserved

Kiplin Perkins - Market Data - Parity Energy, Inc.

tel: +1-646-867-1983 / kiplin.perkins@parityenergy.com \ AIM: kiplinparity \ Yahoo: kiplinparity
33 Whitehall Street, 17th Floor, New York, NY 10004