Parity Energy Report 7/31
PARITY REPORT – Crude Oil: 2012-07-30
WTI Crude Oil – September 89.78 -0.35 (Range 89.33 – 90.34)
ATM Vol – U12 30.0 -0.1\ V12 30.7 -0.2 \ X12 31.6 -0.3
Next Session’s Expected 1-StdDev Range for U12: +/-$1.70
Futures ended slightly lower and vol held relatively firm. Again the prompt 85.00 and 80.00 puts were some of the heaviest traded strikes, going 3,900 and 2,100 times, respectively. The ECB and Fed will both hold meetings this week. The market seems to be waiting for more details to emerge with respect to Europe and QE3. If the market continues to stay around these level it will be on track for its first monthly gain since April.