PARITY REPORT Crude Oil 2012-01-31

WTI Crude Oil March 98.48 -0.30 (Range 97.86 101.29)

ATM Vol H12 27.5 +0.7 \ J12 29.3 +0.1 \ M12 32.1 unch
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.71
0900-1200: approx ranges: H12 Fut 98.29 101.29 (H) \
H12 vol 26.7 28.0 \ J12 vol 28.5 29.2 \ M12 vol 31.4 31.9
Mar $101.00 same-day call,
paper lifted $0.09 & $0.20 (0835 & 0905 refs NA)
Mar $102.00 same-day call, paper hit $0.07 (0925 & 0935 ref NA)
Mar $99.00 straddle, traded $4.55 (ref NA)
Mar $92.00-$91.00-$90.00 put butterfly, traded $0.02 (ref NA)
Mar $94.00-$90.00 put spread hedged $98.75, traded $0.49
Mar $100.00-$95.00 put spread hedged $100.65, traded $1.33 & $1.34
Mar $103.00 call, traded $1.15 & $1.28 (refs NA)
Mar $104.00-$106.00 call 1x1.5 hedged $100.40, traded $0.09 & $0.10
Mar $112.00-$119.00-$126.00 call butterfly, traded $0.06 (ref $100.69)
Apr $82.00 put, traded $0.30 (ref NA)
Apr $85.00-$80.00 put spread, traded $0.35 (ref NA)
Apr $102.00 put, traded $4.65 (ref NA)
Apr $118.00 call, traded $0.35 (ref NA)
Apr $140.00 call, traded $0.12 (ref $101.22)
Dec $90.00-$75.00 put 1x2 , traded $0.60 (ref $101.77)
Jul-Dec $60.00 put strip, traded $0.67 (avg ref NA)
1200-1430: approx ranges: H12 Fut 97.86 (L) 98.96 \
H12 vol 27.5 28.0 \ J12 vol 29.0 29.3 \ M12 vol 31.8 32.1
Mar $85.00 put hedged $98.20, traded $0.11
Mar $98.00-$101.00 fence hedged $98.80, traded $0.59
Mar $99.00-$100.00 call spread hedged $98.75, traded $0.46
Dec $90.00-$75.00 1x2 put, paper lifted $0.58 (ref NA)

Front Month Implied Volatility

65%
60%
55%
50%
45%

2012-01-31

40%

2012-01-30

35%
30%
25%
12500

11300
11700
12100

10500
10900

8900
9300
9700
10100

8100
8500

6500
6900
7300
7700

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
be a personalized recommendation to buy, hold or sell investments. The report, data and opinions do not
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Clients should consider whether any advice or recommendation in this research is suitable for their
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but Parity Energy, Inc. has not verified this information and makes no representation or warranty express
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The price and value of investments referred to in this research may fluctuate rapidly and past
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Vol finally moved, coming up about 1%, and the puts weakened against the calls

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
4.53
8.11
11.29
13.86
15.78
17.56
19.22
20.59
21.84
22.78
23.72
24.52
25.04
25.53
26.06
26.52
26.81
27.21

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

27.5%
29.3%
30.9%
32.1%
32.3%
32.3%
32.1%
32.4%
32.4%
32.1%
31.9%
31.4%
30.9%
30.4%
30.0%
29.6%
29.1%
28.8%

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

Crude CSO's
0.15
0.27
0.33
0.42
0.54
0.59
0.63
0.62
0.68
0.70
0.74
0.78
0.80
0.81
0.83
0.85
0.87
0.88

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

0.3326
0.4335
0.4935
0.5589
0.6172
0.6795
0.7464
0.8105
0.8278
0.8877
0.9151
0.9226
0.9351
0.9041
0.9142
0.9362
0.9696
1.0072

Natural Gas
63.8%
52.3%
46.8%
44.5%
42.7%
42.6%
42.9%
43.1%
39.4%
36.7%
34.9%
33.5%
33.0%
31.2%
30.3%
29.7%
29.6%
29.7%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Mar '12

Apr '12

Jun '12

Dec '12
Dec '13

Strike
85 P
88 P
90 P
95 P
97 P
98 P
100 C
103 C
110 C
115 C
80 P
82 P
85 P
118 C
70 P
80 P
85 P
90 P
85 P
115 C

Settle
0.10
0.19
0.29
1.00
1.60
2.00
1.53
0.68
0.16
0.09
0.33
0.43
0.66
0.35
0.59
1.53
2.33
3.45
5.74
7.36

change
0.00
0.01
0.00
0.04
0.07
0.09
-0.15
-0.07
-0.01
-0.01
0.00
-0.01
-0.01
-0.01
-0.02
-0.01
0.00
0.02
0.02
0.17

Parity Value
0.09
0.17
0.28
1.01
1.61
2.02
1.51
0.67
0.17
0.09
0.33
0.43
0.65
0.35
0.59
1.53
2.33
3.47
5.69
7.19

change
-0.01
-0.01
0.00
0.05
0.09
0.12
-0.15
-0.07
0.00
0.00
-0.02
-0.02
-0.02
-0.02
-0.03
-0.01
0.00
0.04
-0.06
0.11

Parity Vol
38.5%
35.0%
33.2%
29.5%
28.3%
27.7%
27.0%
27.3%
33.8%
39.5%
39.4%
38.0%
36.0%
33.3%
43.7%
39.6%
37.6%
35.6%
36.2%
25.4%

change
-0.1
0.0
0.2
0.4
0.4
0.5
0.6
1.0
1.9
1.9
-0.5
-0.4
-0.4
0.2
-0.5
-0.2
-0.1
0.0
-0.3
0.1

Parity Delta
-1.8
-3.9
-7.3
-24.7
-37.2
-44.8
38.7
17.2
2.5
1.0
-4.0
-5.4
-8.6
2.8
-4.9
-12.2
-18.1
-25.8
-24.6
31.7

Volume
2426
2039
3525
6937
1552
1390
5951
2571
2744
2810
1816
1407
1756
1666
2488
1807
1661
1685
2025
2025

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

Settle
0.01
0.04
0.10
0.29
0.01
0.59
1.53
2.33
3.45
6.72
0.43
4.45
5.74
7.27
11.23
4.27

change
0.00
0.01
0.00
0.00
0.00
-0.02
-0.01
0.00
0.02
-0.16
-0.03
0.02
0.02
0.03
0.05
-0.06

Parity Value
0.00
0.03
0.09
0.28
0.03
0.59
1.53
2.33
3.47
6.71
0.43
4.39
5.69
7.24
11.25
4.26

change
-0.01
-0.01
-0.01
0.00
0.00
-0.03
-0.01
0.00
0.04
-0.18
-0.02
-0.06
-0.06
-0.04
0.03
-0.04

Parity Vol
55.8%
44.2%
38.5%
33.2%
67.7%
43.7%
39.6%
37.6%
35.6%
32.0%
36.9%
37.5%
36.2%
34.8%
32.2%
29.8%

change
-0.5
-0.3
-0.1
0.2
2.2
-0.5
-0.2
-0.1
0.0
-0.1
0.1
-0.3
-0.3
-0.3
-0.1
0.1

Parity Delta
0.0
-0.5
-1.8
-7.3
0.2
-4.9
-12.2
-18.1
-25.8
51.6
1.8
-19.7
-24.6
-30.2
-44.8
21.7

Strike OI
28373
27041
33409
30900
28817
27964
36511
37798
40629
29459
27377
55661
26248
38166
63853
36409

130 C

2.64

-0.04

2.68

-0.03

30.2%

0.0

11.6

36048

140 C

1.81

-0.03

1.82

-0.03

31.3%

0.0

6.4

26217

150 C

1.30

-0.03

1.31

-0.03

32.6%

0.0

4.1

49156

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