PARITY REPORT Crude Oil 2012-02-29

WTI Crude Oil April 107.07 +0.52 (Range 104.84 107.36)

ATM Vol J12 26.5 -2.5 \ K12 29.4 -0.5 \ M12 31.2 +0.6
Tomorrow's Expected 1-StdDev Range for J12: +/-$1.78
0900-1200:
Apr $1.60.00 same-day put, paper lifted $0.20 and $0.18
Apr $107.00-$104.00 put spread hedged $106.90, traded $1.15
Apr $103.00-$110.00 fence hedged $106.60, traded $0.07
Apr $106.50-$109.00 call spread hedged $106.60, traded $1.11
Apr $115.00 call, paper hit $0.33
May $92.00 put, traded $0.77
May $94.00-$92.00-$90.00 put tree, traded $0.20
May $85.00-$125.00 fence hedged $105.80, traded $0.21 and $0.22
Jun $80.00-$70.00 put spread hedged $107.50, traded $0.30
Jun $93.50-$84.50 put spread hedged $107.60, traded $1.04
Jun $107.00-$110.00 call spread hedged $107.55, paper lifted $1.44
Jun $110.00-$115.00 call spread hedged $107.80, traded $1.81
Jun $110.00-$120.00 1x2m 110/120 1x2 cs vs 10740 trades 81
Jun $110.00-$125.00 1x2 call hedged $106.60, traded $2.03
Jun $110.00-$130.00 1x2 call hedged $106.50, traded $2.76
Sep $95.00-$125.00 fence hedged $107.80, traded $1.04
Dec $98.00-$125.00 fence hedged $107.50, traded $2.52
Apr-May $125.00 call spread, traded $0.59
Aug-Dec $108.00-$107.50 straddle spread, paper hit $5.45
Dec-Jan $107.50 straddle spread, traded $0.96
Dec '12-Dec '14 $108.00 call spread traded $0.30
Dec '12-Dec '14 $110.00 call spread, traded $0.55
1200-1430:
May $106.00 straddle, traded $9.30
Apr $109.00-$110.00 call spread hedged $105.90, traded $0.26
Apr $125.00 call, traded $0.07
Jun-Jul $95.00 put spread hedged $106.50 and $106.80, traded $0.77
Dec '12-Dec '14 $100.00 call spread, traded $0.56
Dec '12-Dec '14 $105.00 call spread, traded $0.30

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.

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
4.74
9.16
12.31
14.44
16.32
17.99
19.50
20.80
21.88
22.82
23.71
24.36
24.97
25.62
26.10
26.57
26.97
27.32

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

26.5%
29.4%
31.1%
31.3%
30.9%
30.9%
30.9%
30.7%
30.6%
29.8%
29.5%
29.1%
28.8%
28.5%
28.2%
27.9%
27.6%
27.3%

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

Crude CSO's
0.23
0.34
0.47
0.51
0.60
0.61
0.66
0.75
0.71
0.62
0.69
0.71
0.77
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

0.2558
0.3462
0.4211
0.5079
0.5840
0.6704
0.7429
0.8140
0.8170
0.8257
0.8454
0.8694
0.8564
0.8751
0.9002
0.9256
0.9511
0.9832

Natural Gas
44.3%
40.6%
38.9%
39.2%
39.9%
41.4%
41.9%
40.6%
35.0%
32.4%
31.4%
31.2%
30.0%
29.3%
28.6%
28.3%
28.1%
28.2%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Apr '12

May '12

Jun '12

Sep '12
Dec '14

Strike
95 P
98 P
100 P
102 P
105 P
107 P
110 C
115 C
120 C
125 C
85 P
100 P
125 C
95 P
100 P
110 C
120 C
135 C
65 P
100 C

Settle
0.16
0.31
0.50
0.78
1.55
2.34
1.15
0.31
0.10
0.07
0.27
1.92
0.62
1.97
3.12
5.16
2.11
0.73
0.43
14.39

change
-0.07
-0.11
-0.17
-0.25
-0.37
-0.47
-0.04
-0.05
-0.04
-0.02
-0.05
-0.26
-0.06
-0.14
-0.22
0.13
0.00
-0.03
0.00
0.42

Parity Value
0.16
0.31
0.49
0.79
1.55
2.34
1.16
0.32
0.13
0.07
0.29
1.95
0.60
1.99
3.13
5.18
2.12
0.71
0.40
14.44

change
-0.07
-0.12
-0.18
-0.25
-0.37
-0.47
-0.05
-0.04
-0.02
0.00
-0.05
-0.24
-0.08
-0.14
-0.21
0.15
-0.02
-0.07
-0.01
0.44

Parity Vol
35.0%
32.3%
30.8%
29.4%
27.6%
26.5%
25.8%
27.2%
31.6%
36.3%
39.0%
31.7%
31.5%
34.7%
32.9%
30.4%
30.5%
34.4%
42.8%
24.1%

change
-1.1
-1.3
-1.4
-1.5
-1.7
-2.0
-2.4
-1.9
-1.4
-1.0
-0.6
-0.7
-1.6
-0.2
-0.3
-0.3
-0.8
-1.3
0.0
0.2

Parity Delta
-3.1
-7.0
-11.7
-18.5
-33.1
-47.0
29.9
7.0
2.0
0.8
-2.9
-23.6
5.4
-17.9
-27.5
44.0
18.2
3.9
-2.8
48.9

Volume
9336
5497
13236
2332
3985
2518
3403
4168
2690
2224
2279
5592
3402
3285
2275
3014
6168
9597
2148
3000

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

Settle
0.42
0.72
1.21
1.97
3.12
0.54
0.57
1.32
2.61
3.52
4.62
5.96
7.61
9.84
5.99
4.66

change
-0.05
-0.08
-0.10
-0.14
-0.22
-0.04
-0.03
-0.05
-0.09
-0.11
-0.13
-0.15
-0.19
0.10
0.04
0.02

Parity Value
0.43
0.74
1.23
1.99
3.13
0.55
0.56
1.31
2.61
3.52
4.63
5.99
7.63
9.88
6.01
4.66

change
-0.04
-0.06
-0.10
-0.14
-0.21
-0.06
-0.01
-0.03
-0.06
-0.07
-0.08
-0.10
-0.13
0.17
0.12
0.07

Parity Vol
40.8%
38.7%
36.7%
34.7%
32.9%
36.2%
41.8%
39.6%
37.1%
35.8%
34.5%
33.2%
32.0%
29.9%
28.9%
28.8%

change
-0.3
-0.2
-0.2
-0.2
-0.3
-1.2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
-0.1

Parity Delta
-3.9
-7.0
-11.4
-17.9
-27.5
2.7
-3.4
-7.3
-12.9
-16.7
-21.2
-26.7
-33.3
49.5
31.8
24.4

Strike OI
36905
37896
42194
30425
33835
30283
25494
25070
61669
26747
38504
24869
66359
28168
38580
25505

130 C

3.65

0.00

3.64

0.02

28.8%

-0.2

18.4

37554

150 C

1.65

-0.02

1.58

-0.12

30.8%

-0.8

5.4

50500

100 P

12.85

-0.06

12.75

-0.15

26.9%

0.0

-40.0

25936

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