PARITY REPORT – Crude Oil: 2012-07-20
WTI Crude Oil – August 91.83 -0.83 (Range 90.92 – 92.63)
ATM Vol – U12 32.0 unch \ V12 32.1 +0.6 \ X12 32.3 +0.6
Next Session’s Expected 1-StdDev Range for U12: +/-$1.85
Futures indeed came off Friday, as we thought they might based on the decrease in the call skew at 10-delta. That skew spread came back modestly over the session, but not enough for us to now call a rise in the underlying. ATM vol for the front three months was unch to modestly bid. The most-traded option on the day was the Sep 120.00 call at 5k lots, which had a delta smaller than one.
To see the day’s volume, open interest, observed trades, & vol info, please follow the link: