PARITY REPORT Crude Oil 2012-03-05

WTI Crude Oil April 106.72 +0.02 (Range 106.03 107.42)

ATM Vol J12 29.1 +1.5 \ K12 29.4 unch \ M12 31.0 +0.1
Tomorrow's Expected 1-StdDev Range for J12: +/-$1.95
0900-1200:
Dec'13 $102.00 straddle, traded $28.35 (ref NA)
Apr $105.00 same-day put, paper lifted $0.10 & $0.05 (0845 & 0910 refs NA)
Apr $98.00 put, traded $0.20 (ref NA)
Apr $101.50-$100.00 put spread hedged $107.00, traded $0.17
Apr $107.00-$104.00 1x2 put hedged $106.95, traded $0.05
Apr $107.00-$108.00 call spread hedged $106.25, traded $0.41
Apr $120.00-$130.00 call spread, paper lifted $0.06 (ref NA)
Apr $130.00-$140.00 call spread, traded $0.19 (ref NA)
May $105.00-$102.00 put spread, traded $1.03 (ref NA)
Apr $112.00-$117.00 call spread, traded $1.24 (ref NA)
Jun $95.00 put spread hedged $107.85, paper lifted $0.88
1200-1430:
May $107.00 straddle, traded $8.70 (ref NA)
Apr $102.00-$99.00 1x1.5 put, traded $0.21 (ref NA)
May $72.00 put, traded $0.03 (ref NA)
May $115.00-$120.00 call spread hedged $107.00, traded $0.71
Jun $108.00 call, paper hit $5.84 (ref NA)

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

Crude Oil
4.30
8.73
11.98
14.14
16.09
17.75
19.26
20.69
21.70
22.77
23.71
24.42
25.04
25.76
26.29
26.81
27.25
27.61

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

29.1%
29.4%
31.0%
31.0%
30.7%
30.7%
30.5%
30.5%
30.3%
30.1%
29.7%
29.4%
29.2%
28.9%
28.7%
28.4%
28.1%
27.9%

Months
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13
V13

Crude CSO's
0.21
0.30
0.45
0.48
0.59
0.60
0.65
0.74
0.70
0.62
0.68
0.70
0.76
0.79
0.81
0.83
0.85
0.87

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

0.2511
0.3523
0.4238
0.4953
0.5689
0.6405
0.7158
0.7541
0.7713
0.8104
0.8260
0.8441
0.8413
0.8566
0.8819
0.9037
0.9259
0.9540

Natural Gas
53.3%
47.5%
43.8%
42.0%
42.4%
42.9%
43.7%
40.3%
35.1%
33.6%
32.3%
32.0%
30.9%
30.0%
29.3%
28.8%
28.5%
28.5%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Apr '12

May '12

Jun '12
Dec '12

Strike
100 P
101 P
101.5 P
103 P
104 P
107 C
110 C
120 C
102 P
105 P
112 C
115 C
117 C
120 C
140 C
115 C
120 C
75 P
100 P
115 C

Settle
0.36
0.47
0.54
0.81
1.06
1.93
0.85
0.10
2.31
3.37
2.38
1.60
1.25
0.89
0.20
3.06
1.95
1.87
7.58
7.62

change
-0.05
-0.07
-0.08
-0.12
-0.14
-0.16
-0.14
-0.03
-0.12
-0.13
-0.12
-0.11
-0.10
-0.08
0.00
-0.11
-0.09
-0.02
-0.05
0.04

Parity Value
0.38
0.49
0.57
0.84
1.09
1.95
0.84
0.10
2.31
3.36
2.38
1.62
1.27
0.90
0.20
3.06
1.94
1.87
7.57
7.59

change
-0.05
-0.07
-0.07
-0.11
-0.12
-0.17
-0.16
-0.02
-0.12
-0.14
-0.13
-0.11
-0.09
-0.08
0.00
-0.12
-0.10
-0.04
-0.10
-0.03

Parity Vol
33.9%
33.1%
32.6%
31.5%
30.8%
28.9%
28.6%
38.0%
30.8%
29.9%
29.0%
29.4%
29.9%
31.0%
41.2%
30.4%
30.9%
38.7%
32.1%
29.2%

change
2.7
2.5
2.4
2.1
1.9
1.3
1.1
3.2
0.1
0.0
0.0
0.1
0.2
0.3
1.4
0.0
0.0
0.0
0.0
0.0

Parity Delta
-10.2
-13.3
-15.2
-22.0
-27.6
49.5
24.2
1.5
-30.0
-40.6
30.2
19.8
14.7
9.3
1.2
28.0
16.5
-9.5
-33.0
40.3

Volume
3791
1753
982
1088
2110
2645
1109
1246
1014
1879
1021
1005
1194
1772
977
1842
2081
1020
1270
1250

High Open Interest Option Contracts with Parity Energy Indications

Month
Jun '12

Dec '12

Dec '13

Strike
80 P
85 P
90 P
95 P
100 P
120 C
140 C
60 P
70 P
80 P
85 P
90 P
100 P
110 C
120 C
125 C

Settle
0.37
0.65
1.12
1.88
3.04
1.95
0.51
0.56
1.30
2.59
3.49
4.59
7.58
9.80
5.95
4.63

change
-0.01
-0.03
-0.06
-0.07
-0.09
-0.09
-0.04
-0.01
-0.02
-0.02
-0.03
-0.03
-0.05
0.05
0.01
0.00

Parity Value
0.38
0.66
1.13
1.88
3.04
1.94
0.52
0.58
1.32
2.58
3.47
4.58
7.57
9.76
5.87
4.55

change
-0.01
-0.02
-0.04
-0.06
-0.09
-0.10
0.01
-0.02
-0.03
-0.05
-0.06
-0.07
-0.10
-0.02
-0.03
-0.04

Parity Vol
40.9%
38.6%
36.6%
34.7%
32.9%
30.9%
37.4%
42.6%
40.0%
37.3%
36.0%
34.7%
32.1%
29.9%
28.9%
28.8%

change
0.4
0.3
0.2
0.1
0.0
0.0
0.8
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
-0.1

Parity Delta
-3.5
-6.5
-11.1
-18.1
-28.2
16.5
2.7
-3.3
-6.9
-12.6
-16.5
-21.2
-33.0
49.8
31.4
23.6

Strike OI
37227
37417
42353
31657
34653
25504
30800
25918
24953
61890
26764
38641
66975
29558
38688
25512

130 C

3.62

-0.01

3.57

-0.06

28.9%

-0.1

17.4

37815

150 C

1.62

-0.03

1.62

-0.11

31.3%

-0.4

5.6

51780

100 P

13.03

-0.04

13.08

-0.11

27.3%

0.3

-40.2

25937

Copyright 2012 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