Commodities (PM&BM) - Term Structures & Implied Volatilities - Futures & ETFs PDF

30.11.
2012
Option Implied Volatility Skew Parameters by Terms:

IVt = atx + btx2 + ct
At The Money Implied Volatilities by Terms
ATM Ref
Convenienc
Skew
ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol e Yield (%
(a) 30D
60D
90D
6M
12M
18M
24M
p.a.)
30D
Skew
(a) 60D
Skew
(a) 90D
Skew
(a) 6M
Skew
(a) 12M
Skew
(a) 18M
0.122
0.128
0.068
0.007
0.003
0.010
0.073
0.056
0.047
0.026
0.022
Skew
(a) 24M
Skew
(b) 30D
Skew
(b) 60D
Skew
(b) 90D
Skew
(b) 6M
Skew
(b) 12M
Skew
(b) 18M
Skew
(b) 24M
-0.004 -0.001 -0.002 0.000
0.000
-0.004 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.012 -0.001 -0.001 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
CANOLA FUTR (WCE) Jan13
594.00
15.81
15.99
15.39
15.38
14.97
CCA Comdty
COCOA FUTURE
2492.00
24.44
24.95
25.36
25.54
25.99
26.02
KCA Comdty
COFFEE 'C' FUTURE Mar13
155.30
31.14
30.06
29.79
29.40
28.86
28.08
28.09
0.154
0.113
0.104
0.065
0.045
0.021
0.018 -0.002 -0.001 0.000
C A Comdty
CORN FUTURE
756.25
17.36
20.02
21.90
23.97
24.24
22.78
21.87
-0.008 0.078
0.065
0.056
0.012
0.016
0.017 -0.003 0.000
CTA Comdty
COTTON NO.2 FUTR Mar13
73.40
20.81
20.81
20.81
20.57
20.56
20.03
19.12
-0.014 -0.014 -0.004 -0.024 -0.009 -0.008 -0.008 0.000
JOA Comdty
FCOJ-A FUTURE
124.10
36.66
38.23
38.58
32.88
32.05
32.03
32.09
0.035
LBA Comdty
LUMBER FUTURE
342.80
28.73
27.40
25.98
17.93
O A Comdty
OAT FUTURE
372.50
20.68
20.68
20.55
19.07
19.07
0.041
0.041
0.053
0.194
0.194
-0.001 -0.001 -0.001 -0.001 -0.001
RRA Comdty
R O U G H R I C E ( C B O T ) J a n 1 3 15.19
12.73
13.85
14.60
12.33
12.33
0.387
0.338
0.285
0.143
0.143
-0.004 -0.003 -0.002 -0.001 -0.001
S A Comdty
SOYBEAN FUTURE
1438.25
17.55
20.68
21.26
20.57
20.34
0.028
0.122
0.139
0.132
0.056
-0.003 -0.001 -0.001 -0.001 0.000
SMA Comdty
SOYBEAN MEAL FUTR Jan13
432.50
20.22
21.93
22.46
21.04
19.52
0.064
0.142
0.189
0.131
0.096
-0.006 -0.002 -0.001 -0.001 -0.001
BOA Comdty
SOYBEAN OIL FUTR Jan13
49.92
18.43
18.14
18.67
18.14
18.15
0.169
0.244
0.092
0.107
0.007
-0.004 -0.004 -0.001 -0.001 0.000
SBA Comdty
SUGAR #11 (WORLD) Mar13
19.29
23.32
23.13
22.99
22.17
20.70
0.028
0.098
0.081
0.027
0.012
0.021 -0.001 -0.006 -0.002 -0.001 -0.001 0.000
W A Comdty
WHEAT FUTURE(CBT) Mar13
877.50
22.06
24.56
25.20
25.53
24.68
0.127
0.107
0.102
0.087
0.044
0.000
0.000
0.000
KWA Comdty
WHEAT FUTURE(KCB) Mar13
926.00
24.98
24.98
24.94
24.15
24.34
0.073
0.073
0.071
0.053
0.000
-0.001 -0.001 -0.001 0.000
0.000
FCA Comdty
CATTLE FEEDER FUT Jan13
146.95
10.59
10.59
10.78
11.28
LHA Comdty
LEAN HOGS FUTURE Feb13
86.83
12.71
14.25
15.35
14.29
LCA Comdty
LIVE CATTLE FUTR Feb13
132.10
9.51
9.93
10.08
9.75
CLA Comdty
WTI CRUDE FUTURE Jan13
87.95
27.55
27.58
28.23
29.31
27.62
25.35
23.76
-0.163 -0.147 -0.145 -0.095 -0.097 -0.053 -0.073 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
COA Comdty
BRENT CRUDE FUTR Jan13
110.49
23.55
24.53
25.96
26.72
26.56
24.65
23.54
0.046 -0.014 -0.032 -0.066 -0.050 -0.095 -0.058 0.000
0.000
0.000
0.000
0.000
0.000
0.000
XBA Comdty
GASOLINE RBOB FUT Dec12
277.30
23.30
25.77
25.53
25.39
26.20
26.20
26.20
0.108
0.000 -0.001 0.001
0.000
0.000
0.000
0.000
0.000
HOA Comdty
HEATING OIL FUTR Dec12
303.33
20.82
21.80
22.25
23.28
21.38
21.38
21.38
-0.126 -0.076 -0.043 -0.036 -0.019 -0.019 -0.019 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
QSA Comdty
GAS OIL FUT (ICE) Jan13
947.75
20.94
21.27
21.88
23.32
22.11
20.57
19.36
-0.021 -0.053 -0.079 -0.060 -0.010 -0.053 -0.009 -0.001 -0.001 -0.001 0.000
0.000
0.000
0.000
NGA Comdty
NATURAL GAS FUTR Jan13
3.63
37.17
35.36
35.55
30.95
27.34
24.66
23.15
0.058
GCA Comdty
GOLD 100 OZ FUTR Feb13
1731.40
10.60
11.82
12.52
14.56
16.88
18.38
18.85
-0.073 -0.006 0.003
SIA Comdty
SILVER FUTURE
34.33
20.61
21.60
22.18
23.88
25.93
26.14
26.49
PLA Comdty
PLATINUM FUTURE Jan13
1621.00
18.06
19.66
19.80
19.90
PAA Comdty
PALLADIUM FUTURE Mar13
692.05
33.03
29.46
26.73
26.73
LAA Comdty
LME PRI ALUM FUTR Dec12
2073.00
17.80
17.56
18.27
18.43
18.43
18.43
18.43
0.000
0.000
LPA Comdty
LME COPPER FUTURE Dec12
7890.25
15.64
19.18
20.11
20.11
20.11
20.11
20.11
-0.053 -0.049 -0.045 -0.045 -0.045 -0.045 -0.045 -0.001 0.001
0.001
LLA Comdty
LME LEAD FUTURE Dec12
2216.50
25.97
26.39
26.87
27.88
27.88
0.000
0.000
LNA Comdty
LME NICKEL FUTURE Dec12
16963.00
26.31
26.85
27.03
27.03
27.03
27.03
27.03
0.000
LXA Comdty
LME ZINC FUTURE Dec12
2020.00
21.58
19.94
19.94
19.94
19.94
19.94
19.94
Energy
Live
stock
Agriculture
RSA Comdty
Precious
Metals
Name
Industrial
Metals
Ticker
Mar13
Mar13
Jan13
Jan13
Mar13
Jan13
Mar13
0.126
0.151
0.038
0.015
0.013
-0.055 -0.003 0.052 -0.007
20.69
20.35
13.87
www.qmsadv.com
0.000
0.000
-0.004 -0.003 -0.002 -0.001
0.000
0.000
-0.020 -0.020 -0.040 -0.115
-0.002 -0.002 -0.001 0.000
-0.135 -0.120 -0.108 -0.106 -0.100
-0.009 -0.004 -0.001 0.000
-0.072 -0.149 -0.142 -0.105
-0.006 -0.002 -0.001 -0.001
0.078 -0.026 -0.022 0.000
0.062
0.000
0.046 -0.018 -0.024 -0.007 0.000
0.000
0.001 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
-0.064 -0.062 -0.072 -0.079 -0.007 -0.006 -0.003 -0.002 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.001
0.001
0.001
0.001
0.012
-0.057 0.036
0.074
0.101
0.011
0.045
0.070
0.070
-0.055 0.000
0.000
0.000
0.009
0.007
0.005
0.000
0.000
-0.005 -0.001 -0.001 -0.002

0.000 -0.001 -0.001 -0.001
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
-0.171 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
30.11.2012
Option Implied Volatility Skew Parameters by Terms:

2
IVt = atx + btx + ct
At The Money Implied Volatilities by Terms
Main Commodity ETFs
Ticker
Name
ATM Ref
Convenienc
Skew
ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol e Yield (%
(a) 30D
60D
90D
6M
12M
18M
24M
p.a.)
30D
36.54
37.29
38.05
Skew
(a) 60D
Skew
(a) 90D
Skew
(a) 6M
Skew
(a) 12M
Skew
(b) 6M
Skew
(b) 12M
Skew
(b) 18M
Skew
(b) 24M
0.019 -0.001 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
-0.091 -0.067 -0.069 -0.069 -0.076 -0.085 -0.092 -0.007 -0.003 -0.002 -0.001 -0.001 0.000
0.000
-0.007 -0.020 -0.030 -0.026 0.019
Skew
(a) 18M
Skew
(a) 24M
Skew
(b) 30D
Skew
(b) 60D
Skew
(b) 90D
UNG US Equity
US NATURAL GAS FUND LP
20.81
36.31
36.09
36.24
36.27
HNU CN Equity
HORIZONS BETA NYMEX NAT BULL
14.45
64.57
67.69
70.43
71.24
SLV US Equity
ISHARES SILVER TRUST
33.13
22.04
22.31
22.76
24.25
HND CN Equity
HORIZONS BETA NYMEX NAT BEAR
3.65
73.86
95.52
101.99
88.61
GLD US Equity
SPDR GOLD TRUST
167.18
11.56
12.08
12.80
14.51
17.07
19.20
20.46
-0.098 -0.035 -0.010 0.013
USO US Equity
UNITED STATES OIL FUND LP
32.17
26.26
27.09
28.23
29.99
30.98
31.23
31.25
-0.174 -0.151 -0.143 -0.124 -0.102 -0.103 -0.111 -0.004 -0.002 -0.001 0.000
HOU CN Equity
HORIZONS BETA NYMEX CRUDE BU
4.10
61.10
59.79
59.31
62.11
IAU US Equity
ISHARES GOLD TRUST
16.79
12.26
12.75
13.31
14.63
HOD CN Equity
HORIZONS BETA NYMEX CRUDE BE
6.19
67.29
88.30
124.62
133.52
ZSL US Equity
PROSHARES ULTRASHORT SILVER
39.86
39.47
41.18
45.89
49.01
72.94
UCO US Equity
PROSHRE ULT DJ-UBS CRUDE OIL
27.37
46.41
46.89
51.19
55.85
57.65
58.59
58.97
0.057
0.000
0.000
0.000
DBA US Equity
P O W E R S H A R E S D B A G R I C U L T U R E F 29.08
12.94
13.75
14.71
16.09
17.71
18.37
18.61
-0.033 -0.049 -0.028 -0.011 -0.017 -0.013 -0.007 0.000 -0.001 -0.001 -0.001 0.000
0.000
0.000
DBC US Equity
POWERSHARES DB COMMODITY IND
28.08
15.10
16.13
16.96
18.43
19.96
20.39
20.47
-0.324 -0.390 -0.318 -0.226 -0.182 -0.150 -0.120 -0.004 -0.005 -0.003 -0.001 0.000
0.000 -0.001
SCO US Equity
PROSHRE U/S DJ-UBS CRUDE OIL
43.75
52.63
54.70
56.41
59.00
61.45
63.27
64.83
0.152
0.000
0.000
0.000
AGQ US Equity
PROSHARES ULTRA SILVER
56.60
44.08
44.71
45.83
48.07
51.52
53.69
55.24
-0.083 -0.061 -0.066 -0.043 -0.014 -0.038 -0.078 -0.003 -0.001 -0.001 -0.001 0.000
0.000
0.000
GSG US Equity
ISHARES S&P GSCI COMMODITY I
32.87
16.73
17.65
18.32
19.52
GAS CN Equity
ISHARES NATURAL GAS COMMODIT
12.83
129.11
57.15
115.87
87.40
51.50
OIL US Equity
IPATH GOLDMAN SACHS CRUDE
21.01
26.85
28.71
29.81
31.29
32.41
0.000
0.000
RJA US Equity
ELEMENTS ROGERS AGRI TOT RET
9.44
19.04
19.04
19.05
19.39
-0.042 -0.042 -0.042 0.051
0.000
DJP US Equity
IPATH DOW JONES-UBS COMMDTY
42.59
14.72
15.51
16.04
17.12
-0.155 -0.212 -0.224 -0.213
-0.001 -0.001 -0.001 -0.001
DBB US Equity
POWERSHARES DB BASE METALS F
18.94
21.59
22.17
23.02
24.19
-0.077 -0.188 -0.232 -0.211
0.000
S I V R U S E q u i t y ETFS PHYSICAL SILVER SHARES
33.91
21.89
22.16
22.79
24.23
-0.125 -0.031 -0.062 -0.077
-0.005 -0.003 -0.002 -0.001
RJI US Equity
ELEMENTS ROGERS TOTAL RETURN
8.69
17.85
17.85
17.85
17.85
0.000
0.000
0.000
0.000
0.000
GAZ US Equity
IPATH DJ-UBS NAT GAS SUBINDX
3.12
45.74
46.47
48.00
47.01
0.000
0.153
0.363
0.186
0.000 -0.001 -0.003 -0.001
JJC US Equity
IPATH DJ-UBS COPPER SUBINDX
45.37
21.59
22.86
23.69
24.91
-0.133 -0.201 -0.174 -0.167
-0.002 -0.001 -0.001 0.000
GLL US Equity
PROSHARES ULTRASHORT GOLD
59.10
23.45
24.93
26.06
28.88
0.014 -0.008 0.022
-0.006 -0.003 -0.001 0.000
DBO US Equity
POWERSHARES DB OIL FUND
25.09
23.77
24.14
24.71
25.81
-0.159 -0.205 -0.175 -0.134
-0.001 -0.001 -0.001 -0.001
UGL US Equity
PROSHARES ULTRA GOLD
91.05
23.15
24.73
25.93
28.59
-0.151 -0.021 0.012
-0.006 -0.003 -0.002 -0.001
USL US Equity
U N I T E D S T A T E S 1 2 M O N T H O I L 38.65
24.88
25.81
26.87
27.74
-0.136 -0.191 -0.167 -0.175 0.092
-0.002 -0.001 -0.001 -0.001 0.001
CGL CN Equity
ISHARES GOLD BULLION FUND
15.44
22.41
21.37
20.32
23.08
-0.397 -0.261 -0.286 -0.181
-0.040 -0.018 -0.011 -0.003
SGOL US Equity
ETFS GOLD TRUST
170.44
11.54
12.22
13.02
14.70
-0.117 -0.044 -0.004 0.003
-0.002 -0.002 -0.003 -0.002
DBE US Equity
POWERSHARES DB ENERGY FUND
27.99
21.31
21.42
21.89
23.06
-0.096 -0.132 -0.139 -0.139
-0.001 -0.002 -0.002 -0.001
BAL US Equity
IPATH DJ-UBS COTTON SUBINDX
47.78
26.24
27.70
29.19
30.84
-0.001 -0.063 -0.059 -0.053
-0.002 -0.001 -0.001 0.000
DBP US Equity
POWERSHARES DB PREC METALS F
60.09
13.66
14.42
15.19
16.91
0.009
0.007
-0.001 -0.001 -0.002 -0.001
RJN US Equity
ELEMENTS ROGERS ENERGY TR
6.42
30.04
30.04
30.05
-0.092 -0.092 -0.092
0.000
DBS US Equity
POWERSHARES DB SILVER FUND
59.09
22.56
22.74
23.44
24.84
-0.125 -0.142 -0.112 -0.089
-0.003 -0.002 -0.002 -0.001
CORN US Equity
TEUCRIUM CORN FUND
48.07
19.02
19.78
20.51
22.59
0.000
0.000
UGA US Equity
UNITED STATES GAS FUND LP
57.55
25.14
25.74
26.22
26.74
-0.236 -0.171 -0.154 -0.139
-0.002 -0.001 -0.001 -0.001
DGL US Equity
POWERSHARES DB GOLD FUND
59.28
11.69
12.27
13.00
14.62
-0.032 0.025
0.006 -0.002
-0.001 -0.001 -0.002 -0.002
COW US Equity
IPATH DJ-UBS LIVESTOCK SUB
28.64
15.80
16.01
16.95
18.12
-0.078 -0.076 -0.041 -0.018
0.000 -0.001 -0.001 0.000
UNL US Equity
UNITED STATES 12 MONTH NATUR
18.29
21.21
21.43
21.68
21.13
-0.030 0.120
0.276
0.052
0.000 -0.001 -0.003 -0.001
DNO US Equity
UNITED STATES SHORT OIL FUND
39.51
27.28
28.33
29.50
30.79
0.149
0.133
0.121
-0.002 -0.001 -0.001 0.000
-0.318 -0.138 -0.108 -0.165

26.11
27.15
27.84
-1.713 -1.463 -0.962 -1.384
19.27
20.60
0.016
0.022
0.018 -0.008 -0.004 -0.003 -0.002 -0.001 -0.001 0.000
27.39
23.24
www.qmsadv.com
23.42
23.48
0.000
0.000
-0.067 -0.103 -0.044 0.016 -0.004 0.002
0.015
0.000 -0.001 -0.001 -0.001 -0.001 0.000
0.000
-0.530 0.583 -0.552 -0.768
0.000
0.076 -0.013 0.026
-0.002 0.000 -0.001 0.000 -0.002
0.236
0.125
-2.516 0.047
32.86
0.000
-0.006 -0.003 -0.001 0.000
0.092 -0.896
0.001 -0.007 -0.001
0.059 -0.101 -0.084 -0.065 -0.035 -0.003 -0.002 -0.001 0.000
0.112
0.107
0.083
0.070
-0.274 -0.273 -0.207 -0.135

32.74
0.001
-0.013 -0.005 -0.007 -0.009
-0.354 -0.064 -0.266 -0.149

17.42
0.001
-0.003 -0.002 -0.002 -0.001

0.005
0.001
0.000
0.067
0.065
0.144
0.030
0.023
0.088
0.000
-0.128 -0.121 -0.144 -0.128 -0.109 -0.099 -0.091 -0.004 -0.001 -0.001 0.000
0.045
0.224
0.067 -0.002 -0.001 0.000
0.162
-0.002 0.003
0.008
0.024
0.025
0.038
0.024
0.000
0.000
0.000
0.000
0.013
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.005 -0.001 -0.001 -0.001 0.000
0.000
30.11.2012
WTI Crude Futures Term Structures & Implied Volatilities

WTI Crude Oil - Forward Curve (Fair Value)
WTI Crude Oil - Historical 12-Months Implied Volatilities
92
4.0%
90
3.0%
2.0%
88
1.0%
50%
115
45%
110
40%
105
35%
100
30%
95
25%
Term Structure - Slope (% p.a.)
WTI Crude Oil - 30 Days Implied VS Historical Volatility
6MTH_IMPVOL_100.0%MNY_DF
PX_LAST
Nov-12
Oct-12
Nov-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
70
Apr-12
75
0%
Mar-12
5%
Mar-12
80
Feb-12
Oct-17
Jul-17
Apr-17
Jan-17
Oct-16
Jul-16
Apr-16
Jan-16
Oct-15
Jul-15
Apr-15
Jan-15
Oct-14
Jul-14
Apr-14
Jan-14
Oct-13
Jul-13
Apr-13
-3.0%
Jan-13
80
10%
Feb-12
-2.0%
Jan-12
82
85
15%
Jan-12
-1.0%
Dec-11
84
90
20%
Dec-11
0.0%
Nov-11
86
WTI Crude Oil - Implied Volatility Surface
50%
45%
32%
40%
30%
35%
28%
30%
26%
25%
24%
20%
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
Nov-12
Nov-12
Oct-12
30DAY_IMPVOL_100.0%MNY_DF
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
May-12
May-12
Historical Volatility (30 Days)
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
0%
30DAY
IV 90%
5%
3MTH
20%
12MTH
22%
10%
24MTH
15%
0.300-0.320
0.280-0.300
0.260-0.280
0.240-0.260
0.220-0.240
0.200-0.220
30.11.2012
Brent Crude Oil Futures Term Structures & Implied Volatilities

Brent Crude Oil - Forward Curve (Fair Value)
120
0.0%
Brent Crude Oil - Historical 12-Months Implied Volatilities
45%
125
-2.0%
100
-4.0%
120
40%
115
-6.0%
80
-8.0%
60
110
35%
105
-10.0%
-12.0%
40
100
30%
95
-14.0%
-16.0%
20
90
25%
85
-18.0%
SILVER FUTURE
Mar13
Brent Crude Oil - 30 Days Implied VS Historical Volatility
Nov-12
Oct-12
PX_LAST
Nov-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Dec-11
Dec-11
80
Nov-11
Apr-17
20%
Jun-17
Feb-17
Oct-16
Dec-16
Aug-16
Apr-16
Jun-16
Feb-16
Oct-15
Dec-15
Aug-15
Apr-15
Jun-15
Feb-15
Oct-14
Dec-14
Aug-14
Apr-14
Jun-14
Feb-14
Oct-13
Dec-13
Aug-13
Apr-13
Jun-13
Feb-13
-20.0%
Dec-12
Brent Crude Oil - Implied Volatility Surface
45%
40%
28%
35%
27%
26%
30%
25%
25%
24%
20%
23%
22%
15%
21%
10%
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY
IV 90%
3MTH
Nov-12
Nov-12
Oct-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
May-12
May-12
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
0%
12MTH
24MTH
20%
5%
0.270-0.280
0.260-0.270
0.250-0.260
0.240-0.250
0.230-0.240
0.220-0.230
0.210-0.220
0.200-0.210
30.11.2012
Natural Gas Futures Term Structures & Implied Volatilities

Natural Gas - Forward Curve (Fair Value)
5
4.8
4.6
55%
4.6
30.0%
50%
4.4
25.0%
4.4
20.0%
4.2
4
Natural Gas - Historical 12-Months Implied Volatilities
35.0%
4.2
45%
4
40%
3.8
15.0%
35%
3.8
3.6
10.0%
3.6
30%
3.4
5.0%
NATURAL GAS FUTR Jan13
Natural Gas - 30 Days Implied VS Historical Volatility
PX_LAST
Nov-12
Oct-12
Sep-12
Jul-12
Jun-12
Aug-12
May-12
Feb-12
Apr-12
Mar-12
20%
Jan-12
3.2
Sep-17
Jun-17
Mar-17
Dec-16
Sep-16
Jun-16
Mar-16
Dec-15
Sep-15
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar-14
Dec-13
Sep-13
Jun-13
Mar-13
-5.0%
Dec-12
25%
Dec-11
0.0%
3.2
Nov-11
3.4
Natural Gas - Implied Volatility Surface
70%
38%
36%
34%
32%
30%
28%
26%
24%
22%
20%
60%
50%
40%
30%
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY
IV 90%
3MTH
Nov-12
Nov-12
Oct-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
May-12
May-12
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
0%
12MTH
10%
24MTH
20%
0.360-0.380
0.340-0.360
0.320-0.340
0.300-0.320
0.280-0.300
0.260-0.280
0.240-0.260
0.220-0.240
0.200-0.220
30.11.2012
Gold Futures Term Structures & Implied Volatilities

Gold - Forward Curve (Fair Value)
Gold - Historical 12-Months Implied Volatilities
1850
1.2%
1800
1.0%
1750
0.8%
32%
1900
30%
1800
1700
28%
1600
26%
1300
Gold - 30 Days Implied VS Historical Volatility
Nov-12
Oct-12
PX_LAST
Nov-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Apr-12
1000
Mar-12
16%
Mar-12
1100
Feb-12
18%
Jan-12
1200
Feb-12
20%
Jun-14
May-14
Apr-14
Mar-14
Feb-14
Jan-14
Dec-13
Nov-13
Oct-13
Sep-13
Aug-13
Jul-13
Jun-13
Mar-13
Dec-12
May-13
0.0%
Apr-13
1550
Feb-13
0.2%
Jan-13
1600
1400
22%
Jan-12
0.4%
Dec-11
1650
1500
24%
Dec-11
0.6%
Nov-11
1700
Gold - Implied Volatility Surface
30%
19%
18%
25%
17%
16%
15%
14%
13%
12%
11%
10%
20%
15%
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY
IV 90%
Nov-12
Nov-12
Oct-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
0%
3MTH
24MTH
5%
12MTH
10%
0.180-0.190
0.170-0.180
0.160-0.170
0.150-0.160
0.140-0.150
0.130-0.140
0.120-0.130
0.110-0.120
0.100-0.110
30.11.2012
Silver Futures Term Structures & Implied Volatilities

Silver - Forward Curve (Fair Value)
35
1.0%
Silver - Historical 12-Months Implied Volatilities

50%
40
45%
35
40%
30
35%
25
30%
20
25%
15
34.5
0.8%
34
33.5
0.6%
33
32.5
0.4%
32
0.2%
31.5
31
0.0%
SILVER FUTURE
Mar13
Silver - 30 Days Implied VS Historical Volatility
Nov-12
Oct-12
PX_LAST
Nov-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Dec-11
Dec-11
May-14
Apr-14
Mar-14
Feb-14
Jan-14
Dec-13
Nov-13
Oct-13
Sep-13
Aug-13
Jul-13
Jun-13
May-13
Apr-13
Mar-13
Dec-12
Feb-13
-0.2%
Jan-13
30
Nov-11
30.5
Silver - Implied Volatility Surface
60%
27%
50%
26%
25%
40%
24%
30%
23%
22%
20%
21%
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY
IV 90%
Nov-12
Nov-12
Oct-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
May-12
May-12
Apr-12
May-12
Jun-12
3MTH
24MTH
Apr-12
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
0%
12MTH
20%
10%
0.260-0.270
0.250-0.260
0.240-0.250
0.230-0.240
0.220-0.230
0.210-0.220
0.200-0.210
30.11.2012
Platinum Futures Term Structures & Implied Volatilities

Platinum - Forward Curve (Fair Value)
Platinum - Historical 12-Months Implied Volatilities
1630
0.8%
40%
1800
1750
0.7%
1625
0.6%
1620
0.5%
1615
35%
1700
1650
30%
1600
1550
0.4%
25%
1500
0.3%
1610
0.2%
1605
1450
20%
1400
1350
0.1%
PLATINUM FUTURE Jan13
Platinum - 30 Days Implied VS Historical Volatility
Nov-12
Oct-12
Nov-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Dec-11
1300
Dec-11
May-13
Apr-13
Feb-13
Dec-12
Mar-13
0.0%
Jan-13
1600
Nov-11
15%
PX_LAST
Platinum - Implied Volatility Surface
70%
23%
60%
22%
50%
21%
40%
20%
30%
19%
18%
www.qmsadv.com
IV 100%
IV 97.5%
IV 95%
60DAY
3MTH
Nov-12
Nov-12
Oct-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
May-12
May-12
Apr-12
Jun-12
30DAY
IV 90%
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
0%
6MTH
10%
24MTH
18MTH
12MTH
20%
17%
0.220-0.230
16%
0.210-0.220
0.200-0.210
0.190-0.200
0.180-0.190
0.170-0.180
0.160-0.170
30.11.2012
Palladium Futures Term Structures & Implied Volatilities

Palladium - Forward Curve (Fair Value)
Palladium - Historical 12-Months Implied Volatilities
700
1.4%
695
45%
750
1.2%
690
700
40%
1.0%
685
680
0.8%
650
35%
600
675
0.6%
670
665
550
30%
0.4%
PALLADIUM FUTURE Mar13
Palladium - 30 Days Implied VS Historical Volatility
Nov-12
Oct-12
Nov-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
400
Nov-11
Apr-13
Mar-13
Jan-13
Dec-12
20%
May-13
0.0%
Feb-13
650
450
Dec-11
0.2%
655
500
25%
Dec-11
660
PX_LAST
Palladium - Implied Volatility Surface
70%
60%
34%
50%
32%
40%
30%
30%
28%
26%
20%
www.qmsadv.com
IV 100%
IV 97.5%
IV 95%
60DAY
Nov-12
Nov-12
Oct-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jun-12
Jun-12
May-12
Jul-12
30DAY
IV 90%
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Dec-11
Dec-11
Nov-11
0%
22%
3MTH
10%
24MTH
18MTH
12MTH
6MTH
24%
0.320-0.340
0.300-0.320
0.280-0.300
0.260-0.280
0.240-0.260
0.220-0.240

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30.11.

Option Implied Volatility Skew Parameters by Terms:

At The Money Implied Volatilities by Terms

-0.004 -0.001 -0.002 0.000

-0.004 -0.001 0.000

0.000 -0.001 0.000

0.012 -0.001 -0.001 -0.001 -0.001 0.000

CANOLA FUTR (WCE) Jan13

COFFEE 'C' FUTURE Mar13

0.018 -0.002 -0.001 0.000

0.017 -0.003 0.000

COTTON NO.2 FUTR Mar13

-0.014 -0.014 -0.004 -0.024 -0.009 -0.008 -0.008 0.000

-0.001 -0.001 -0.001 -0.001 -0.001

-0.004 -0.003 -0.002 -0.001 -0.001

-0.003 -0.001 -0.001 -0.001 0.000

SOYBEAN MEAL FUTR Jan13

-0.006 -0.002 -0.001 -0.001 -0.001

SOYBEAN OIL FUTR Jan13

-0.004 -0.004 -0.001 -0.001 0.000

SUGAR #11 (WORLD) Mar13

0.021 -0.001 -0.006 -0.002 -0.001 -0.001 0.000

WHEAT FUTURE(CBT) Mar13

WHEAT FUTURE(KCB) Mar13

-0.001 -0.001 -0.001 0.000

CATTLE FEEDER FUT Jan13

LEAN HOGS FUTURE Feb13

LIVE CATTLE FUTR Feb13

WTI CRUDE FUTURE Jan13

-0.163 -0.147 -0.145 -0.095 -0.097 -0.053 -0.073 -0.001 0.000

BRENT CRUDE FUTR Jan13

0.046 -0.014 -0.032 -0.066 -0.050 -0.095 -0.058 0.000

GASOLINE RBOB FUT Dec12

0.000 -0.001 0.001

HEATING OIL FUTR Dec12

GAS OIL FUT (ICE) Jan13

NATURAL GAS FUTR Jan13

GOLD 100 OZ FUTR Feb13

-0.073 -0.006 0.003

PLATINUM FUTURE Jan13

PALLADIUM FUTURE Mar13

LME PRI ALUM FUTR Dec12

LME COPPER FUTURE Dec12

-0.053 -0.049 -0.045 -0.045 -0.045 -0.045 -0.045 -0.001 0.001

LME LEAD FUTURE Dec12

LME NICKEL FUTURE Dec12

LME ZINC FUTURE Dec12

-0.055 -0.003 0.052 -0.007

-0.004 -0.003 -0.002 -0.001

-0.020 -0.020 -0.040 -0.115

-0.002 -0.002 -0.001 0.000

-0.135 -0.120 -0.108 -0.106 -0.100

-0.009 -0.004 -0.001 0.000

-0.072 -0.149 -0.142 -0.105

-0.006 -0.002 -0.001 -0.001

0.078 -0.026 -0.022 0.000

0.046 -0.018 -0.024 -0.007 0.000

0.001 -0.001 0.000

-0.005 -0.001 -0.001 -0.002

Option Implied Volatility Skew Parameters by Terms:

At The Money Implied Volatilities by Terms

Main Commodity ETFs

0.019 -0.001 -0.001 -0.001 0.000