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PARITY REPORT Crude Oil 2012-03-19

WTI Crude Oil April 108.09 +1.03 (Range 107.36 108.24)


ATM Vol K12 23.7 -0.4 \ M12 26.1 -0.8 \ N12 26.9 -0.6
Tomorrow's Expected 1-StdDev Range for J12: +/-$1.61
0900-1200:
Apr/May $-0.50 straddle CSO, paper hit $0.06 (ref NA)
Jun/Jul $-1.00 put CSO, paper hit $0.07 (ref NA)
May $108.00 straddle, traded $5.85 (ref NA)
May $108.50 straddle, traded $6.05 (ref NA)
May $95.00 put, traded $0.26 (ref NA)
May $102.00 put, traded $1.01 (ref NA)
May $102.00-$100.00 put spread hedged $108.25, traded $0.31
May $106.50-$104.50 put spread hedged $108.00, traded$0.69
May $106.00-$105.00 put spread hedged $108.10, traded $0.33
May $105.00-$112.00 fence hedged $108.00, traded $0.38
May $130.00 call, paper hit $0.18 (ref $108.38)
May-Jul $110.00 horizontal call spread, traded $3.23 (ref NA)
Jun $120.00 call hedged $108.80, traded $1.25 (ref NA)
Jun $130.00-$140.00 call spread, paper lifted $0.21 and $0.22 (ref $108.58)
Jul $65.00 put, traded $0.05 (ref NA)
Oct $80.00-$75.00 1x3 put, traded $1.20 (ref NA)
Dec $75.00-$55.00 1x2 put, traded $0.94 (ref NA)
Dec $95.00-$90.00 put spread hedged $109.50, paper hit $1.17
Dec $105.00-$100.00 put spread hedged $109.75, traded $1.78

1200-1430:
May/Jun $-0.45 straddle CSO, paper hit $0.25 (ref NA)
Dec $109.50 straddle, traded $19.95(ref NA)
May $95.00 put, paper hit $0.22 (ref NA)
May-Jul $110.00 call spread, traded $3.23 (ref NA)
Jun $125.00-$130.00 call spread hedged $108.70, paper hit $0.22
Oct $95.00-$85.00 put spread hedged $109.50, traded $1.79
Dec $65.00 put, paper hit $0.56 then $0.55 (ref NA)
Dec $85.00 put, paper hit $2.60 (1350 ref $109.50)

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.

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

Crude Oil
5.87
9.20
11.59
13.75
15.64
17.27
18.78
19.92
21.07
22.04
22.79
23.48
24.22
24.75
25.26
25.66
26.01
26.41

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

23.6%
26.1%
26.9%
27.3%
27.8%
27.9%
28.1%
28.1%
28.0%
27.7%
27.5%
27.3%
27.0%
26.8%
26.5%
26.2%
25.9%
25.6%

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

Crude CSO's
0.06
0.26
0.38
0.44
0.54
0.58
0.63
0.72
0.68
0.60
0.67
0.69
0.75
0.77
0.79
0.82
0.84
0.85

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

0.1321
0.2829
0.3744
0.4616
0.5341
0.6123
0.6932
0.7445
0.7767
0.8256
0.8465
0.8650
0.8661
0.8892
0.9295
0.9618
0.9967
1.0400

Natural Gas
44.9%
44.6%
42.4%
41.5%
41.3%
42.0%
42.9%
39.7%
34.8%
33.7%
32.7%
32.2%
31.4%
30.6%
30.4%
30.1%
30.2%
30.5%

Previous Day's Active Option Contracts with Parity Energy Indications


Month
May '12

Jun '12

Jul '12
Sep '12
Dec '12
Dec '13

Strike
95 P
99 P
100 P
107 P
108 P
110 C
112 C
115 C
120 C
125 C
140 C
150 C
85 P
130 C
140 C
65 P
85 P
109.5 P
125 C
105 P

Settle
0.21
0.47
0.58
2.22
2.64
2.22
1.51
0.83
0.36
0.24
0.13
0.08
0.24
0.48
0.28
0.05
1.35
9.78
4.27
13.64

change
-0.13
-0.24
-0.27
-0.60
-0.65
0.21
0.14
0.04
-0.03
-0.02
0.01
0.01
-0.08
-0.02
0.00
-0.02
-0.13
-0.45
-0.01
-0.19

Parity Value
0.22
0.50
0.60
2.28
2.71
2.22
1.51
0.82
0.37
0.25
0.14
0.13
0.24
0.51
0.30
0.05
1.34
9.70
4.35
13.08

change
-0.14
-0.23
-0.27
-0.56
-0.61
0.19
0.12
0.03
-0.02
-0.01
-0.01
0.00
-0.09
0.00
0.01
-0.01
-0.16
-0.56
0.08
-0.64

Parity Vol
29.8%
27.4%
26.9%
24.0%
23.8%
23.4%
23.4%
23.8%
26.5%
31.1%
44.8%
54.0%
35.6%
30.5%
35.7%
44.0%
34.8%
28.2%
26.7%
25.0%

change
-0.4
-0.4
-0.4
-0.3
-0.3
-0.3
-0.3
-0.5
-0.7
-0.4
0.6
1.2
-0.6
-0.4
0.2
0.1
-0.2
-0.3
-0.4
-0.4

Parity Delta
-4.1
-9.8
-11.9
-40.2
-46.2
41.3
29.7
16.0
3.8
1.8
0.5
0.4
-2.6
3.3
1.5
-0.4
-9.1
-45.0
25.2
-42.4

Volume
4920
1505
2269
2172
1565
2273
2682
1789
3828
4487
6253
1896
1939
3533
1595
1882
2008
2902
1650
2001

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
80 P
85 P
90 P
95 P
100 P
110 C
120 C
125 C

Settle
0.12
0.24
0.46
0.85
1.61
1.19
0.28
0.34
1.86
2.59
3.52
4.65
6.08
9.80
5.65
4.27

change
-0.05
-0.08
-0.14
-0.25
-0.36
0.02
0.00
-0.04
-0.14
-0.18
-0.22
-0.28
-0.34
0.15
0.02
-0.01

Parity Value
0.13
0.24
0.45
0.87
1.63
1.20
0.30
0.37
1.83
2.53
3.44
4.58
6.01
9.99
5.77
4.35

change
-0.06
-0.09
-0.16
-0.25
-0.37
0.01
0.01
-0.04
-0.20
-0.26
-0.30
-0.36
-0.42
0.32
0.15
0.08

Parity Vol
38.3%
35.6%
33.0%
30.7%
28.7%
26.2%
35.7%
41.2%
35.6%
34.2%
32.9%
31.6%
30.3%
28.1%
26.8%
26.7%

change
-0.7
-0.6
-0.7
-0.6
-0.5
-0.6
0.2
-0.2
-0.4
-0.4
-0.3
-0.3
-0.3
-0.3
-0.4
-0.4

Parity Delta
-1.3
-2.6
-5.4
-10.7
-19.8
13.4
1.5
-2.1
-9.6
-13.1
-17.4
-22.7
-29.0
54.0
33.9
25.2

Strike OI
36825
36417
33727
30983
44451
26001
30709
26567
61748
27415
38605
26135
68724
29777
39924
25373

130 C

3.25

-0.06

150 C

1.42

-0.16

3.32

0.04

26.9%

-0.5

18.1

38248

1.39

-0.01

29.4%

-0.5

5.2

100 P

11.43

-0.18

56397

10.92

-0.56

26.0%

-0.4

-34.9

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

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