PARITY REPORT Crude Oil 2012-01-27

WTI Crude Oil March 99.56 -0.14 (Range 99.13 100.63)

ATM Vol H12 26.8 -0.1 \ J12 29.6 -0.3 \ M12 32.3 +0.2
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.68
0900-1200: approx ranges: H12 Fut 99.30 100.63 (H) \
H12 vol 26.3 27.1 \ J12 vol 29.3 29.9 \ M12 vol 31.9 32.2
Apr/May $-0.50 CSO put, paper crossed $0.09 (ref NA)
Mar $99.00 straddle, traded $5.00 (ref NA)
Mar $89.00-$88.00 put spread, paper lifted $0.04 (ref NA)
Apr $98.00-$90.00 put spread hedged $100.50, traded $2.02
Apr $90.00-$120.00 fence hedged $100.40, paper lifted $0.80 then $0.81
May $90.00-$120.00 fence hedged $100.25, traded $1.50 then $1.49
Jun $98.00-$90.00 put spread hedged $100.50, paper lifted $2.60
Jun $101.00 put, paper lifted $7.13 then $7.08 (ref NA)
Sep $90.00 put hedged $100.80, paper hit $5.63 then $5.63
Sep $100.00-$80.00 put 1x2 hedged $101.30, traded $2.96

Iran is now threatening to cut off Europe before Europe cuts off Iran. Will
futures go ripping up on Monday in response? Maybe. It appears that the
threat of Greece defaulting in March, when a EUR 14bn bond is due, is
pulling futures down as much as Iran's threats can pull them up. As we've
been seeing, vol has these diametric tensions priced in. If we were to
predict futures' movement on Monday, we'd note that the 10-delta call skew
vol spread fell 40bps relative to the similar puts. This would usually be a
moderately bearish signal for futures. But lately, the only reliable prediction
any one can make is that volatility is not at all volatile these days.
All numbers are approximate and are intended to be indicative.
0900: $92.00 put

11 delta tv=$0.51 vol=31.3 ATM vol=27.1

$106.00 call 11 delta tv=$0.51 vol=27.2 H12 ref=$99.42

1200-1430: approx ranges: H12 Fut 99.13 (L) 100.07 \

H12 vol 26.6 26.8 J12 vol 29.6 29.9 \ M12 vol 32.2 32.3
Dec $101.50 straddle, paper crossed $23.10 and $23.15 (ref NA)
Apr-Jul $99.50-$101.50 straddle spread, traded $7.60 (ref NA)

10 delta put skew = +4.2

1030: $92.00 put

10 delta tv=$0.42 vol=31.2 ATM vol=26.3

$106.00 call 13 delta tv=$0.57 vol=26.2 H12 ref=$100.21

10 delta put skew = +4.9

Mar $97.00-$95.00 put spread, traded $0.53 (ref NA)

Mar $99.00-$96.00 put 1x2, traded $0.12 (ref NA)

1200: $92.00 put

Jun $90.00-$105.00 fence hedged $100.60, traded $1.65 then $1.64

Sep $100.00-$80.00 put 1x2 hedged $101.30, paper lifted $2.96
Mar $100.50-$101.50-102.50 call butterfly, traded $0.08 (ref NA)
Dec'12-Dec'13 $120.00 horizontal call spread hedged $101.30-$97.90,
paper lifted $1.44 then $1.50

10 delta call skew = +0.1

10 delta call skew = -0.1

11 delta tv=$0.50 vol=31.7 ATM vol=26.8

$106.00 call 11 delta tv=$0.53 vol=26.9 H12 ref=$99.64

10 delta put skew = +4.9
1330: $92.00 put

10 delta call skew = +0.1

11 delta tv=$0.49 vol=31.7 ATM vol=26.7

$106.00 call 11 delta tv=$0.52 vol=26.6 H12 ref=$99.54

10 delta put skew = +5.0
1430: $92.00 put

10 delta call skew = -0.1

11 delta tv=$0.49 vol=31.4 ATM vol=26.8

$106.00 call 11 delta tv=$0.51 vol=26.9 H12 ref=$99.53

Front Month Implied Volatility with Change Plotted

65.0%

2.5%

60.0%

2.0%

55.0%

1.5%

50.0%

2012-01-27

1.0%

45.0%

2012-01-26

0.5%

40.0%

change

0.0%

35.0%

-0.5%

25.0%

-1.0%
6500
6950
7400
7850
8300
8750
9200
9650
10100
10550
11000
11450
11900
12350

30.0%

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
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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 10d calls weakened 40bps relative to the 10d puts -- still not much smile movement

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

Crude Oil
4.98
8.63
11.78
14.33
16.26
18.00
19.66
21.03
22.15
23.17
23.85
24.48
25.16
25.60
25.95
26.21
26.85
27.25

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

26.8%
29.6%
31.1%
32.3%
32.6%
32.6%
32.8%
32.7%
32.4%
32.3%
31.7%
31.0%
30.8%
30.3%
29.6%
29.1%
29.0%
28.7%

Months
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13

Crude CSO's
0.17
0.28
0.34
0.43
0.55
0.60
0.64
0.63
0.68
0.71
0.75
0.79
0.80
0.82
0.84
0.85
0.87
0.89

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

0.3741
0.4628
0.5339
0.5970
0.6540
0.7148
0.7845
0.8777
0.8908
0.8993
0.9403
0.9408
0.9727
0.9269
0.9397
0.9591
1.0185
1.0434

Natural Gas
60.5%
49.6%
45.9%
43.6%
41.7%
41.4%
41.8%
43.4%
39.6%
34.9%
33.8%
32.3%
32.5%
30.3%
29.5%
28.9%
29.5%
29.3%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Mar '12

Apr '12

Jun '12
Sep '12

Dec '12

Dec '13

Strike
88 P
90 P
92 P
95 P
100 C
105 C
110 C
115 C
90 P
105 C
120 C
90 P
80 P
90 P
100 P
75 P
100 P
102 C
120 C
120 C

Settle
0.20
0.31
0.49
0.97
2.24
0.67
0.25
0.13
1.32
2.20
0.43
3.40
3.18
5.63
9.39
3.28
11.12
11.03
4.57
5.99

change
-0.02
-0.02
-0.02
-0.02
-0.14
-0.08
-0.03
-0.02
-0.05
-0.11
-0.02
0.05
0.07
0.05
0.08
0.05
0.13
-0.04
-0.07
-0.05

Parity Value
0.18
0.28
0.44
0.89
2.12
0.60
0.22
0.11
1.29
2.09
0.40
3.39
3.19
5.65
9.38
3.35
11.12
10.99
4.53
5.94

change
-0.03
-0.04
-0.06
-0.09
-0.26
-0.16
-0.07
-0.04
-0.06
-0.22
-0.05
0.04
0.05
0.03
0.09
0.09
0.16
-0.04
-0.12
-0.09

Parity Vol
35.3%
33.4%
31.6%
29.5%
26.6%
26.5%
30.4%
35.4%
34.2%
28.5%
34.2%
36.1%
39.5%
36.2%
33.1%
39.4%
32.5%
32.1%
29.9%
25.0%

change
1.0
0.6
0.2
0.0
-0.2
-0.3
0.1
0.3
-0.2
-0.4
0.2
0.4
0.3
0.1
0.2
0.4
0.3
0.3
-0.1
0.0

Parity Delta
-3.7
-6.1
-10.2
-20.9
48.6
14.4
3.3
1.3
-16.4
28.8
3.0
-24.3
-17.0
-27.9
-44.4
-15.5
-43.3
53.1
22.9
25.8

Volume
1520
1649
1042
4031
2448
2422
1509
1353
2188
1272
2151
1519
4210
1400
2350
1800
1504
1100
1904
1800

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 P
140 C
80 P
90 P
100 P
120 C

Settle
0.01
0.05
0.11
0.31
0.97
0.02
0.62
1.55
2.32
3.40
6.86
0.52
4.37
7.21
11.12
4.57

change
0.00
0.00
-0.01
-0.02
-0.02
0.00
0.02
0.03
0.02
0.05
0.06
-0.03
0.07
0.10
0.13
-0.07

Parity Value
0.00
0.04
0.10
0.28
0.89
0.03
0.62
1.54
2.31
3.39
6.84
0.49
4.43
7.23
11.12
4.53

change
-0.01
0.00
-0.01
-0.04
-0.09
-0.01
0.01
0.01
0.02
0.04
0.02
-0.04
0.10
0.11
0.16
-0.12

Parity Vol
53.6%
43.5%
38.4%
33.4%
29.5%
60.3%
44.5%
40.3%
38.2%
36.1%
32.5%
36.5%
38.0%
35.3%
32.5%
29.9%

change
2.0
1.4
1.2
0.6
0.0
1.2
0.5
0.4
0.4
0.4
0.1
-0.1
0.4
0.3
0.3
-0.1

Parity Delta
-0.1
-0.6
-1.9
-6.1
-20.9
0.2
-4.9
-11.6
-17.0
-24.3
-45.9
2.0
-19.5
-29.2
-43.3
22.9

Strike OI
28350
27419
33639
31164
27459
28996
27965
36202
37774
39672
28315
27359
55660
38165
63645
37607

130 C

2.85

-0.05

2.86

-0.09

30.2%

-0.1

12.4

35849

140 C

1.97

-0.04

1.94

-0.05

31.2%

0.0

6.9

26217

150 C

1.42

-0.03

1.40

-0.03

32.5%

0.1

4.3

49155

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