PARITY REPORT Crude Oil 2012-02-13

WTI Crude Oil March 100.91 +2.24 (Range 99.34 100.95)

ATM Vol H12 27.8 +3.7 \ J12 28.7 unch \ M12 29.7 -0.8
Tomorrow's Expected 1-StdDev Range for H12: +/-$1.77
0900-1200:
Mar/Apr $-0.35 CSO straddle, traded $0.12 (1015 ref NA)
Mar $99.00 same-day put, traded $0.07 (1145 ref NA)
Apr $100.00 straddle, traded $6.75 (ref NA)
Mar $97.00-$95.00 put spread hedged $99.50, traded $0.16
Mar $97.00 put, paper lifted $0.20 (ref $99.90)
Mar $99.00 put, traded $0.50 (ref NA)
Apr $75.00 put, traded $0.05 (ref NA)
Apr $95.00-$85.00 put spread, traded $1.41 (ref NA)
Apr $98.00-$102.00 fence hedged $100.00, traded $0.04
Apr $108.00-$115.00 call spread, paper hit $0.53 (ref $100.43)
Apr $112.00 call, traded
$0.65 (0905 ref NA) &
$0.66 (ref $100.86)
Apr $114.00 call, traded $0.12 (ref NA)
May $98.50-$101.50 fence hedged $101.20, traded $1.63
Jun $85.00-$110.00 fence hedged $101.50, traded $1.63
Dec $105.00 call, paper lifted $9.75 (ref NA)
1200-1430:
Apr $100.50 straddle, traded $6.75 (ref NA)
Nov $103.50 straddle, traded
$20.30 & $20.25 (refs NA)
Apr $87.00 put, paper hit $0.33 (ref $100.66)
Apr $97.00-$95.00 put spread, traded $0.54 (ref NA)
Apr $100.00 put hedged $100.60, traded $3.11
Apr $115.00-$120.00 call 1x2, traded $0.24 (ref NA)
May $120.00-$125.00 call spread hegdged $101.00, paper lifted $0.20
May $135.00-$150.00 call 1x2, traded
$0.02 (ref NA) &
$0.03 (ref $100.91)
Jun $95.00-$80.00 put spread, paper hit $2.66 (ref $101.81)
Jun $85.00-$130.00 hedged $101.50, traded $0.56
Jun $90.00-$130.00 fence hedged $101.50, paper hit $1.44
Dec $140.00-$150.00 call spread hedged $103.50, traded $0.55

160%

Front Month Implied Volatility

140%
120%
100%
2012-02-13

80%

2012-02-10

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
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The price and value of investments referred to in this research may fluctuate rapidly and past
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incurred or suffered which are claimed to result from this report or the data or opinions contained herein.

The skews were bid up as the futures traded up through $100 -- there looks to be
uncertainty out there about staying above this level

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
2.01
6.82
9.82
12.28
14.24
16.05
17.60
18.94
20.26
21.25
22.32
23.28
23.98
24.66
25.35
25.87
26.38
26.81

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

27.8%
28.7%
28.9%
29.7%
30.0%
30.0%
30.1%
29.8%
29.9%
29.7%
29.6%
29.4%
29.1%
28.9%
28.6%
28.4%
28.1%
27.8%

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

Crude CSO's
0.09
0.37
0.43
0.51
0.53
0.58
0.58
0.68
0.72
0.73
0.72
0.74
0.76
0.78
0.81
0.83
0.85
0.86

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

0.1857
0.3398
0.4177
0.4944
0.5768
0.6511
0.7300
0.8069
0.8557
0.8726
0.9069
0.9255
0.9359
0.9337
0.9338
0.9553
0.9832
1.0136

Natural Gas
52.9%
46.9%
42.7%
41.2%
40.8%
41.1%
42.0%
42.8%
40.2%
35.3%
33.6%
32.6%
31.9%
31.0%
29.7%
29.0%
28.7%
28.6%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Mar '12

Apr '12

Jun '12
Dec '12

Strike
95 P
97 P
98 P
99 P
100 P
101 C
101.5 C
102 C
80 P
85 P
95 P
100.5 P
105 C
115 C
120 C
140 C
85 P
95 P
120 C
140 C

Settle
0.05
0.11
0.18
0.31
0.57
0.87
0.65
0.47
0.10
0.22
1.25
3.04
1.92
0.55
0.39
0.15
1.22
3.25
4.56
1.75

change
-0.23
-0.48
-0.71
-1.02
-1.36
0.53
0.38
0.27
-0.04
-0.12
-0.65
-1.21
0.55
0.11
0.07
0.04
-0.39
-0.84
0.35
0.04

Parity Value
0.06
0.14
0.24
0.42
0.73
0.63
0.45
0.33
0.10
0.23
1.36
3.30
1.71
0.53
0.38
0.21
1.29
3.42
4.37
1.71

change
-0.22
-0.45
-0.64
-0.90
-1.20
0.29
0.19
0.13
-0.04
-0.10
-0.54
-0.95
0.34
0.09
0.07
0.05
-0.32
-0.64
0.18
0.03

Parity Vol
40.6%
34.1%
31.6%
29.8%
28.2%
27.5%
27.6%
27.9%
40.1%
36.1%
30.5%
28.8%
28.7%
35.4%
40.0%
58.2%
34.6%
31.3%
27.8%
29.2%

change
10.5
7.7
6.7
5.8
4.6
3.7
3.5
3.4
2.1
1.4
0.5
0.4
0.0
0.1
0.6
2.4
-0.3
-0.3
-0.5
-0.6

Parity Delta
-2.1
-6.7
-13.4
-24.2
-39.6
39.0
29.5
21.7
-1.4
-3.6
-23.9
-49.3
26.4
4.1
2.4
0.7
-12.8
-30.6
24.5
6.7

Volume
3128
1588
1892
2740
6531
2009
2092
1625
5581
5145
3367
1579
1629
2183
4032
2330
2206
1645
2002
2000

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

Settle
0.01
0.01
0.01
0.01
0.01
0.71
1.22
2.02
3.25
5.04
0.52
1.67
3.20
4.26
5.53
8.90

change
0.00
0.00
-0.01
-0.06
0.00
-0.24
-0.39
-0.59
-0.84
-1.12
0.05
-0.18
-0.31
-0.38
-0.48
-0.82

Parity Value
0.00
0.00
0.01
0.01
0.02
0.75
1.29
2.14
3.42
5.28
0.51
1.62
3.14
4.22
5.54
9.07

change
0.00
-0.01
-0.01
-0.06
0.00
-0.20
-0.32
-0.46
-0.64
-0.87
0.07
-0.18
-0.32
-0.39
-0.47
-0.63

Parity Vol
126.4%
92.1%
74.9%
57.8%
154.1%
36.3%
34.6%
32.9%
31.3%
30.0%
38.6%
38.1%
35.5%
34.2%
33.0%
30.5%

change
36.5
26.2
21.1
16.0
44.1
-0.3
-0.3
-0.3
-0.3
-0.5
0.2
-0.3
-0.3
-0.3
-0.3
-0.2

Parity Delta
0.0
0.0
-0.1
-0.3
0.1
-7.7
-12.8
-20.3
-30.6
-44.1
2.0
-8.5
-15.8
-20.6
-26.0
-39.6

Strike OI
28346
26639
37267
29751
28820
36051
40211
35959
30062
30471
28415
26992
57524
26937
38500
65425

120 C

4.56

0.35

4.37

0.18

27.8%

-0.5

24.5

38317

130 C

2.69

0.15

2.62

0.07

28.1%

-0.6

12.8

36148

150 C

1.22

0.02

1.20

0.00

30.6%

-0.6

4.0

50192

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