PARITY REPORT Crude Oil 2012-02-14

WTI Crude Oil March 100.74 -0.17 (Range 100.28 101.84)

ATM Vol H12 25.5 -2.3 \ J12 28.6 -0.1 \ M12 29.6 -0.1
0900-1200:
Apr $102.00 straddle, traded $6.85
Mar-Apr $101.50 straddle spread, traded $5.10
May-Jun $102.50 straddle spread, traded $2.55
Mar $101.00 put, paper lifted $0.77 ref $101.20
Mar $100.50-$100.00 put spread hedged $101.50, traded $0.11
Mar $100.50-$101.00 call spread hedged $101.30, paper lifted $0.30
Mar $103.00-$103.50 call spread traded $0.07
Apr $80.00 put, paper lifted $0.10 ref $101.45
Apr $88.00-$80.00 put spread, paper crossed $0.21 ref $102.00
Apr $88.00-$80.00 1x2 put, traded $0.13 ref $101.96
Apr $87.00 put, paper hit $0.25
Apr $100.00-$97.00 1x2 put, traded $0.56
Apr $100.00 put, paper lifted $2.56 ref $101.95
Apr $115.00-$120.00 1x2 call, paper lifted $0.25
May $85.00 put hedged $102.30, traded $0.60 ref $102.10
Jun $85.00-$115.00 fence hedged $102.50, paper hit $0.90
Jun $90.00-$120.00 fence hedged $102.60, traded $0.47
Dec $55.00 put, traded $0.39
Dec'13 $100.00 call, traded $14.20
Mar/Apr $-0.25 call CSO, paper lifted $0.02
1200-1430:
Sep $103.00 straddle, traded $17.50
Apr $96.00 put, traded $1.56
Apr $97.00-$93.00 put spread hedged $101.00, paper lifted $0.88
Apr $140.00 call, traded $0.14
Jun $70.00 put hedged $102.00, traded $0.24
Jul $170.00 call, traded $0.27
Dec'13 $100.00 call, traded $14.00
Dec'13 $105.00-$125.00 call spread hedged $100.40, traded $6.34

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
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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
1.52
6.72
9.76
12.26
14.17
15.95
17.46
18.86
20.12
21.06
22.06
23.01
23.75
24.40
25.10
25.61
26.15
26.59

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

25.5%
28.6%
28.7%
29.6%
29.8%
29.8%
29.8%
29.7%
29.6%
29.5%
29.2%
29.0%
28.8%
28.6%
28.3%
28.1%
27.8%
27.6%

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

Crude CSO's
0.07
0.30
0.43
0.50
0.53
0.58
0.58
0.68
0.72
0.73
0.72
0.74
0.76
0.78
0.80
0.83
0.84
0.86

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

0.1720
0.3378
0.4109
0.4906
0.5719
0.6536
0.7304
0.8100
0.8445
0.8769
0.9119
0.9313
0.9439
0.9424
0.9433
0.9660
0.9951
1.0262

Natural Gas
49.1%
45.8%
41.4%
40.3%
40.0%
40.7%
41.4%
42.3%
39.1%
35.0%
33.4%
32.4%
31.8%
31.0%
29.6%
29.0%
28.7%
28.6%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Mar '12

Apr '12

May '12
Jun '12

Dec '12

Strike
100 P
100.5 P
101 C
101.5 C
80 P
85 P
88 P
90 P
95 P
100 P
120 C
140 C
115 C
130 C
70 P
80 P
90 P
95 P
120 C
130 C

Settle
0.35
0.50
0.49
0.31
0.10
0.22
0.37
0.52
1.25
2.84
0.37
0.13
1.20
0.50
0.22
0.72
2.05
3.28
1.41
2.58

change
-0.22
-0.24
-0.38
-0.34
0.00
0.00
0.01
0.01
0.00
0.02
-0.02
-0.02
-0.04
0.02
0.01
0.01
0.03
0.03
-0.04
-0.11

Parity Value
0.34
0.50
0.54
0.34
0.10
0.21
0.35
0.50
1.21
2.77
0.37
0.20
1.25
0.51
0.21
0.71
2.01
3.23
1.42
2.64

change
-0.39
-0.45
-0.09
-0.11
0.00
-0.02
-0.04
-0.05
-0.15
-0.30
-0.01
-0.01
0.07
0.05
-0.01
-0.04
-0.13
-0.19
0.06
0.02

Parity Vol
26.7%
25.9%
25.3%
25.1%
41.2%
37.1%
34.8%
33.4%
30.7%
28.8%
39.5%
58.0%
30.7%
38.5%
40.4%
36.5%
32.8%
31.2%
31.2%
27.9%

change
-1.5
-1.8
-2.1
-2.5
1.1
1.0
0.8
0.6
0.3
0.0
-0.5
-0.2
0.0
0.4
0.3
0.2
-0.1
-0.1
0.0
-0.2

Parity Delta
-27.4
-39.5
46.4
33.2
-1.3
-3.2
-5.8
-8.6
-21.4
-43.2
2.4
0.7
10.1
2.5
-2.2
-7.2
-18.9
-29.5
9.2
13.3

Volume
7799
3434
3834
4183
6074
3494
3770
2538
3084
3356
2620
4561
3427
5682
4183
2555
3130
2903
2514
2757

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

Settle
0.01
0.01
0.01
0.01
0.01
0.72
1.24
2.05
3.28
5.09
0.49
1.66
3.19
4.26
5.53
8.94

change
0.00
0.00
0.00
0.00
0.00
0.01
0.02
0.03
0.03
0.05
-0.03
-0.01
-0.01
0.00
0.00
0.04

Parity Value
0.00
0.00
0.00
0.01
0.09
0.71
1.22
2.01
3.23
5.04
0.50
1.49
2.99
4.05
5.35
8.84

change
0.00
0.00
-0.01
0.00
0.07
-0.04
-0.07
-0.13
-0.19
-0.24
-0.01
-0.13
-0.15
-0.17
-0.19
-0.23

Parity Vol
169.7%
121.0%
96.7%
72.3%
244.0%
36.5%
34.7%
32.8%
31.2%
30.0%
38.2%
37.5%
35.1%
33.9%
32.7%
30.2%

change
43.3
28.9
21.7
14.5
89.9
0.2
0.1
-0.1
-0.1
0.0
-0.4
-0.6
-0.4
-0.3
-0.3
-0.2

Parity Delta
0.0
0.0
0.0
-0.1
0.3
-7.2
-11.9
-18.9
-29.5
-43.4
2.1
-8.5
-15.6
-20.2
-25.6
-39.2

Strike OI
28346
26639
37269
29754
28820
36087
40695
36554
30250
30553
28913
26992
57524
26937
38500
65650

120 C

4.40

-0.16

4.44

0.07

27.7%

-0.1

25.0

38492

130 C

2.58

-0.11

2.64

0.02

27.9%

-0.2

13.3

36224

150 C

1.17

-0.05

1.18

-0.02

30.3%

-0.3

4.0

50243

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