26.03.2013
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
Skew (a) 24M
Skew (b) 60D
Skew (b) 90D
Skew (b) 6M
Skew (b) 12M
-0.002 -0.001 -0.001 0.000
0.000
CANOLA FUTR (WCE) May13
631.90
15.12
14.45
13.82
13.91
13.86
CCA Comdty
COCOA FUTURE
2146.00
21.98
22.81
23.29
23.77
23.70
23.72
KCA Comdty
COFFEE 'C' FUTURE May13
135.80
24.99
23.79
24.10
26.28
24.85
24.42
C A Comdty
CORN FUTURE
732.75
23.05
24.01
25.39
28.11
24.17
21.91
CTA Comdty
COTTON NO.2 FUTR May13
87.87
25.12
24.86
24.58
23.41
20.32
18.29
16.53
JOA Comdty
FCOJ-A FUTURE
139.40
33.69
29.74
30.17
30.45
26.83
26.52
26.55
LBA Comdty
LUMBER FUTURE
382.80
30.26
27.01
25.18
20.39
O A Comdty
OAT FUTURE
399.75
25.24
23.53
21.82
21.51
21.29
-0.447 -0.385 -0.318 -0.149 -0.033
-0.005 -0.003 -0.001 0.000
RRA Comdty
ROUGH RICE (CBOT) May13
14.94
11.77
12.62
13.43
11.19
10.35
0.319
0.299
0.271
0.058
0.070
-0.003 -0.002 -0.002 -0.001 0.000
S A Comdty
SOYBEAN FUTURE
1438.50
19.12
18.69
19.17
20.50
19.26
-0.022 0.013
0.015
0.052
0.022
-0.001 -0.001 0.000 -0.001 0.000
SMA Comdty
SOYBEAN MEAL FUTR May13
418.40
23.32
23.24
23.14
22.54
20.98
-0.024 0.002
0.032
0.076
0.053
-0.004 -0.003 -0.002 -0.001 -0.001
BOA Comdty
SOYBEAN OIL FUTR May13
50.37
16.76
16.76
16.87
17.37
17.89
0.005
0.009
0.070
0.050
0.028
SBA Comdty
SUGAR #11 (WORLD) May13
17.99
19.89
18.59
19.42
18.91
18.88
0.141
0.058
0.026
0.068
0.044
W A Comdty
WHEAT FUTURE(CBT) May13
728.25
27.81
28.29
28.43
27.65
24.79
0.057
0.050
0.043
0.045
0.009
KWA Comdty
WHEAT FUTURE(KCB) May13
761.75
24.95
25.44
25.98
26.24
0.111
0.093
0.074
0.039
FCA Comdty
CATTLE FEEDER FUT May13
140.23
12.34
12.81
12.75
11.46
-0.050 -0.039 -0.043 -0.101
-0.005 -0.004 -0.003 -0.001
LHA Comdty
LEAN HOGS FUTURE Jun13
91.23
15.80
17.82
17.50
15.79
14.14
-0.044 0.016
-0.005 -0.001 -0.001 0.000
LCA Comdty
LIVE CATTLE FUTR Jun13
121.50
11.85
11.55
11.42
10.45
8.85
-0.086 -0.092 -0.096 -0.100 -0.111
CLA Comdty
WTI CRUDE FUTURE May13
95.43
17.33
17.92
18.08
19.75
19.47
18.63
19.05
-0.216 -0.189 -0.167 -0.135 -0.040 -0.002 -0.065 -0.001 0.000
0.000
0.000
COA Comdty
BRENT CRUDE FUTR May13
108.35
17.28
17.84
18.33
19.67
19.39
19.17
18.76
-0.095 -0.078 -0.076 -0.133 -0.145 -0.141 -0.106 -0.001 0.000
0.000
0.000
XBA Comdty
GASOLINE RBOB FUT Apr13
307.45
24.66
22.66
21.64
20.63
19.94
19.94
19.94
-0.018 -0.044 -0.004 -0.007 0.000
0.000
0.000
0.000
0.000
0.000
HOA Comdty
HEATING OIL FUTR Apr13
288.22
17.30
16.89
16.77
16.76
16.42
15.56
15.56
-0.028 -0.066 -0.028 -0.015 -0.001 0.000
0.000
0.000
0.000
0.000
QSA Comdty
G A S O I L F U T ( I C E ) M a y 1 3 910.75
16.33
15.93
15.84
17.18
16.63
16.61
NGA Comdty
NATURAL GAS FUTR Apr13
3.91
29.13
28.32
28.04
28.52
26.20
24.50
GCA Comdty
GOLD 100 OZ FUTR Jun13
1599.90
11.21
11.78
12.31
13.23
14.62
15.84
SIA Comdty
SILVER FUTURE
28.80
20.18
20.05
21.04
22.03
23.49
24.46
PLA Comdty
PLATINUM FUTURE Jul13
1574.30
14.95
15.21
15.48
15.88
PAA Comdty
PALLADIUM FUTURE Jun13
755.50
25.14
26.72
26.94
27.71
LAA Comdty
LME PRI ALUM FUTR Apr13
1906.25
17.32
18.71
19.45
19.52
19.58
19.58
19.58
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
LPA Comdty
LME COPPER FUTURE Apr13
7599.25
18.33
17.53
17.58
17.73
19.66
19.66
19.66
-0.122 -0.029 -0.032 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
LLA Comdty
LME LEAD FUTURE Apr13
2166.00
18.83
19.93
19.93
19.93
19.93
0.000
0.000
0.000
0.000
0.000
0.000
LNA Comdty
LME NICKEL FUTURE Apr13
16925.50
29.58
29.58
29.58
29.58
29.58
29.58
29.58
0.000
LXA Comdty
LME ZINC FUTURE Apr13
1924.75
73.67
46.72
36.44
24.15
15.49
12.36
12.36
0.000
Energy
Live stock
Agriculture
RSA Comdty
May13
May13
May13 May13 May13
May13
May13
-0.090 -0.032 0.025 -0.003 0.019
Skew (b) 30D
Precious Metals
Name
Industrial Metals
Ticker
0.052
0.042
0.043
0.041
0.038
-0.005 -0.001 -0.001 -0.001 0.000
0.000
0.351
0.275
0.269
0.247
0.109
0.092
0.080 -0.004 -0.001 -0.001 -0.001 0.000
0.000
0.020
0.035
0.027
0.036
0.004
0.007
0.000 -0.001 0.000
0.000
0.000
0.000
-0.064 0.007
0.051 -0.001 0.005
0.002
0.002 -0.006 -0.002 0.000
0.000
0.000
0.000
0.000
0.139
0.075
0.042
0.036 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
-0.123 -0.106 -0.113 -0.094 -0.031 -0.036
-0.002 -0.001 -0.001 0.000
0.000
0.000
22.10
0.006 -0.008 -0.005 -0.039 -0.008 -0.002 0.000
0.000
16.28
-0.064 -0.037 -0.030 0.002
24.75
24.35
18.36
0.090
0.086
0.049
0.003
0.000
-0.005 -0.002 -0.002 -0.002 0.000
-0.004 -0.001 -0.001 -0.001 0.000 0.033
0.004 -0.005 -0.003 -0.001 -0.001 0.000 -0.001 -0.001 0.000
0.000
0.000
-0.001 -0.001 -0.001 -0.001
0.007 -0.038
0.000
-0.004 -0.002 -0.002 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000 -0.003 -0.003 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
-0.138 -0.113 -0.034 -0.074 -0.070 -0.020 -0.018 -0.004 -0.002 0.000 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.022
0.003
0.012
0.051
0.000
-0.017 -0.037 -0.015 0.018
www.qmsadv.com
Skew (b) 24M
0.020
-0.040 -0.023 -0.044 -0.090
18.01
Skew (b) 18M
0.000
0.000
0.000
0.000 -0.001 -0.001
-0.002 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
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
26.03.2013
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 31.86
Skew (a) 90D
Skew (a) 6M
Skew (a) 12M
Skew (a) 18M
Skew (a) 24M
Skew (b) 30D
Skew (b) 60D
Skew (b) 90D
Skew (b) 6M
Skew (b) 12M
Skew (b) 18M
0.000
0.000
0.000
0.000
UNG US Equity
US NATURAL GAS FUND LP
21.20
30.05
30.55
30.66
30.97
HNU CN Equity
HORIZONS BETA NYMEX NAT BULL
14.50
62.62
63.76
63.06
63.90
SLV US Equity
ISHARES SILVER TRUST
27.84
20.02
20.44
20.92
22.06
HND CN Equity
HORIZONS BETA NYMEX NAT BEAR
3.14
68.77
76.93
77.75
76.94
GLD US Equity
SPDR GOLD TRUST
155.24
11.65
12.15
12.49
13.51
14.71
16.09
USO US Equity
UNITED STATES OIL FUND LP
33.85
17.73
18.21
18.37
19.60
22.49
23.11
HOU CN Equity
HORIZONS BETA NYMEX CRUDE BU
4.46
43.53
43.06
44.31
42.21
IAU US Equity
ISHARES GOLD TRUST
15.60
12.67
12.47
12.85
13.71
HOD CN Equity
HORIZONS BETA NYMEX CRUDE BE
5.42
45.46
49.51
40.90
46.67
ZSL US Equity
PROSHARES ULTRASHORT SILVER
53.48
39.71
41.67
43.24
46.73
UCO US Equity
PROSHRE ULT DJ-UBS CRUDE OIL
29.93
33.39
34.76
35.61
38.65
41.23
43.61
-0.441 -0.338 -0.284 -0.197 -0.184 -0.123
-0.004 -0.002 -0.001 -0.001 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 26.10
10.83
11.55
11.37
12.40
13.93
14.74
-0.041 -0.074 0.000
0.000 -0.001 -0.001 -0.001 0.000
0.000
DBC US Equity
POWERSHARES DB COMMODITY IND
27.18
11.98
12.16
12.45
13.90
14.84
15.37
-0.061 -0.153 -0.215 -0.258 -0.186 -0.154
0.000 -0.001 -0.004 -0.001 -0.001 -0.001
SCO US Equity
PROSHRE U/S DJ-UBS CRUDE OIL
38.64
34.37
35.91
36.39
39.37
43.03
46.22
0.346
-0.003 -0.002 -0.001 0.000
0.000
0.000
AGQ US Equity
PROSHARES ULTRA SILVER
38.98
39.40
40.53
41.69
43.90
47.33
49.23
-0.204 -0.150 -0.121 -0.072 -0.022 -0.028
-0.004 -0.002 -0.001 -0.001 0.000
0.000
GSG US Equity
ISHARES S&P GSCI COMMODITY I
32.49
14.37
14.64
14.81
15.71
-0.093 -0.200 -0.232 -0.213
0.000 -0.001 -0.001 -0.001
OIL US Equity
IPATH GOLDMAN SACHS CRUDE
22.12
17.75
18.85
19.33
20.72
-0.077 -0.155 -0.295 -0.148 -0.114 -0.079
-0.004 -0.006 -0.002 -0.001 0.000
RJA US Equity
ELEMENTS ROGERS AGRI TOT RET
9.07
13.66
13.09
11.85
13.27
0.000
0.000
DJP US Equity
IPATH DOW JONES-UBS COMMDTY
40.71
11.46
11.39
11.79
12.74
-0.113 -0.209 -0.257 -0.259
DBB US Equity
POWERSHARES DB BASE METALS F
17.81
18.99
19.77
20.53
20.28
-0.015 -0.071 -0.122 -0.121
0.000
S I V R U S E q u i t y ETFS PHYSICAL SILVER SHARES
28.49
20.45
20.83
20.78
22.46
-0.154 -0.167 -0.111 -0.096
-0.003 -0.004 -0.002 -0.001
RJI US Equity
ELEMENTS ROGERS TOTAL RETURN
8.60
14.01
14.01
14.01
14.01
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
GAZ US Equity
IPATH DJ-UBS NAT GAS SUBINDX
2.76
51.02
42.97
42.55
46.69
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
JJC US Equity
IPATH DJ-UBS COPPER SUBINDX
43.07
15.45
17.91
19.44
20.25
-0.155 -0.168 -0.111 -0.166
-0.002 -0.001 0.000
0.000
GLL US Equity
PROSHARES ULTRASHORT GOLD
67.35
23.53
24.30
25.10
27.05
0.117
0.024
-0.005 -0.003 -0.002 -0.001
DBO US Equity
POWERSHARES DB OIL FUND
26.30
16.85
17.68
18.29
19.21
-0.254 -0.325 -0.338 -0.253
-0.002 -0.002 -0.001 -0.001
UGL US Equity
PROSHARES ULTRA GOLD
77.80
22.37
24.21
25.05
26.74
-0.157 -0.126 -0.107 -0.029
-0.006 -0.002 -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 39.97
17.59
18.08
18.25
19.86
-0.112 -0.213 -0.194 -0.236
-0.002 -0.004 -0.004 -0.002
CGL CN Equity
ISHARES GOLD BULLION FUND
14.30
24.18
18.93
16.80
19.43
-0.208 -0.218 -0.218 -0.177
-0.037 -0.022 -0.016 0.000
SGOL US Equity
ETFS GOLD TRUST
158.27
11.75
12.16
12.45
13.70
-0.120 -0.115 -0.095 -0.016
-0.002 -0.003 -0.004 -0.002
DBE US Equity
POWERSHARES DB ENERGY FUND
28.41
14.95
15.08
15.17
16.12
-0.050 -0.144 -0.137 -0.181
0.000 -0.001 -0.001 0.000
BAL US Equity
IPATH DJ-UBS COTTON SUBINDX
55.88
21.89
21.34
20.48
18.73
-0.028 -0.020 0.006 -0.047
0.001
DBP US Equity
POWERSHARES DB PREC METALS F
54.37
12.94
13.48
13.99
14.71
-0.127 -0.157 -0.078 -0.018
-0.001 -0.002 -0.002 -0.002
RJN US Equity
ELEMENTS ROGERS ENERGY TR
6.65
21.91
21.91
21.91
23.08
0.000
0.000 -0.034
0.000
0.000
0.000
0.000
DBS US Equity
POWERSHARES DB SILVER FUND
49.29
20.93
21.21
21.89
22.54
0.000 -0.006 -0.019 -0.032
0.000
0.000
0.000
0.000
CORN US Equity
TEUCRIUM CORN FUND
43.99
22.25
23.73
24.96
26.12
0.011
-0.001 -0.002 -0.001 0.000
UGA US Equity
UNITED STATES GAS FUND LP
60.34
21.96
22.26
22.06
22.07
-0.261 -0.265 -0.244 -0.195
-0.003 -0.002 -0.001 0.000
DGL US Equity
POWERSHARES DB GOLD FUND
54.73
12.10
12.42
12.62
13.36
-0.029 -0.102 -0.091 -0.044
0.000 -0.001 -0.002 -0.002
COW US Equity
IPATH DJ-UBS LIVESTOCK SUB
26.14
16.43
15.94
15.64
15.83
-0.059 -0.159 -0.091 -0.058
0.000
0.000
UNL US Equity
UNITED STATES 12 MONTH NATUR
18.75
22.17
21.75
21.68
22.85
-0.039 -0.093 -0.068 -0.024
0.000
0.000 -0.001 0.000
DNO US Equity
UNITED STATES SHORT OIL FUND
37.10
21.34
21.81
21.74
23.38
0.195
-0.001 -0.005 -0.004 -0.002
24.04
15.14
22.68
25.01
www.qmsadv.com
31.82
Skew (a) 60D
25.23
16.49
23.70
24.32
-0.065 -0.021 -0.019 -0.021 -0.001 0.002
-0.001 0.000
-0.400 -0.506 -0.537 -0.522
-0.005 -0.002 -0.001 0.000
-0.173 -0.139 -0.125 -0.091 -0.061 -0.052
-0.007 -0.003 -0.002 -0.001 -0.001 0.000
0.196 -0.216 -0.060 -0.417
-0.002 0.001
-0.120 -0.087 -0.065 -0.030 -0.006 0.000
-0.009 -0.005 -0.004 -0.002 -0.001 -0.001
-0.254 -0.255 -0.223 -0.167 -0.132 -0.117
-0.005 -0.003 -0.002 -0.001 0.000
-0.603 -0.505 -0.173 -0.409
-0.008 -0.004 -0.002 -0.002
-0.034 -0.126 -0.150 -0.061 0.021
0.017
0.000
0.000
0.003
0.000 -0.002 -0.002 -0.001 -0.001
-0.060 -0.207 -0.005 -0.222
-0.007 -0.001 -0.004 0.001
0.138
-0.004 -0.001 -0.001 0.000
0.125
0.248
0.000
0.071
0.000 0.017
0.220
0.119
0.228
0.000
0.050
0.094 0.007 -0.003 -0.013 0.182
0.124
0.096
0.000
0.012 -0.002 0.015 -0.003
0.029
0.079
0.000
0.000
0.000
0.000
0.000
0.000 -0.001 -0.002 -0.002 0.000
0.000 -0.002
0.000 -0.001 0.000
0.000 -0.001
0.000
0.000
Skew (b) 24M
26.03.2013
WTI Crude Futures Term Structures & Implied Volatilities WTI Crude Oil - Forward Curve (Fair Value)
WTI Crude Oil - Historical 12-Months Implied Volatilities
98
2.0%
96
0.0%
39%
115 110
34%
94
105
-2.0%
100
92
-4.0%
29%
95
90 -6.0% 88 -8.0%
86
-10.0%
84
90
24%
85 80
19%
Term Structure - Slope (% p.a.)
WTI Crude Oil - 30 Days Implied VS Historical Volatility
Mar-13
Mar-13
Feb-13
Feb-13
Jan-13
Jan-13
Dec-12
Dec-12
Nov-12
Oct-12
6MTH_IMPVOL_90.0%MNY_DF 6MTH_IMPVOL_110.0%MNY_DF
GOLD 100 OZ FUTR Jun13
Nov-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Feb-18
Nov-17
Aug-17
May-17
Feb-17
Nov-16
Aug-16
May-16
Feb-16
Nov-15
Aug-15
May-15
Feb-15
Nov-14
Aug-14
May-14
70
Feb-14
80
Nov-13
75
-14.0% 14%
Aug-13
-12.0%
May-13
82
6MTH_IMPVOL_100.0%MNY_DF PX_LAST
WTI Crude Oil - Implied Volatility Surface
45% 40%
21%
35%
20%
30%
19%
25%
18% 17%
20%
16%
15%
15%
10%
Historical Volatility (30 Days)
30DAY_IMPVOL_100.0%MNY_DF
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY IV 90%
Mar-13
Mar-13
Feb-13
Feb-13
Jan-13
Jan-13
Dec-12
Dec-12
Nov-12
Nov-12
Nov-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
0%
3MTH
5%
12MTH
24MTH
14%
0.200-0.210 0.190-0.200 0.180-0.190 0.170-0.180 0.160-0.170 0.150-0.160 0.140-0.150
26.03.2013
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
41%
120
-2.0% 100 -4.0% 80
115 36% 110
-6.0%
105
31% -8.0%
100
60 -10.0% 40
26%
95
-12.0% 90 -14.0%
21%
20
85
-16.0%
Term Structure - Slope (% p.a.)
SILVER FUTURE
Brent Crude Oil - 30 Days Implied VS Historical Volatility
Mar-13
Mar-13
Feb-13
Jan-13
Feb-13
Jan-13
Dec-12
Dec-12
Oct-12
Nov-12
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF
May13
Nov-12
Oct-12
Oct-12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
May-12
Apr-12
80
Mar-12
16%
Oct-17
Aug-17
Apr-17
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
-18.0%
Jun-13
0
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Brent Crude Oil - Implied Volatility Surface
40% 21% 21% 20% 20% 19% 19% 18% 18% 17% 17% 16%
35% 30% 25% 20% 15%
Historical Volatility (30 Days)
30DAY_IMPVOL_100.0%MNY_DF
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY IV 90%
Mar-13
Mar-13
Feb-13
Feb-13
Jan-13
Jan-13
Dec-12
Dec-12
Nov-12
Nov-12
Nov-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
0%
3MTH
5%
12MTH
24MTH
10%
0.205-0.210 0.200-0.205 0.195-0.200 0.190-0.195 0.185-0.190 0.180-0.185 0.175-0.180 0.170-0.175 0.165-0.170 0.160-0.165
26.03.2013
Natural Gas Futures Term Structures & Implied Volatilities Natural Gas - Forward Curve (Fair Value)
5.5
5
Natural Gas - Historical 12-Months Implied Volatilities
30.0%
55%
25.0%
50%
4.2 4
45%
3.8
20.0% 4.5
40% 3.6
15.0% 35%
Term Structure - Slope (% p.a.)
NATURAL GAS FUTR Apr13
Natural Gas - 30 Days Implied VS Historical Volatility
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Mar-13
Feb-13
Jan-13
Dec-12
Oct-12
Nov-12
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF
Sep-12
3
Aug-12
20%
Jul-12
3.2
Jan-18
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
Jul-13
Oct-13
0.0%
Apr-13
3
25%
Jun-12
5.0%
May-12
3.5
3.4
30%
Apr-12
10.0%
Mar-12
4
Natural Gas - Implied Volatility Surface
70% 30% 29% 28% 27% 26% 25% 24% 23% 22% 21% 20%
60% 50% 40% 30%
Historical Volatility (30 Days)
30DAY_IMPVOL_100.0%MNY_DF
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY IV 90%
3MTH
Mar-13
Mar-13
Feb-13
Feb-13
Jan-13
Jan-13
Dec-12
Dec-12
Nov-12
Nov-12
Nov-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
0%
12MTH
10%
24MTH
20%
0.290-0.300 0.280-0.290 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
26.03.2013
Gold Futures Term Structures & Implied Volatilities Gold - Forward Curve (Fair Value)
Gold - Historical 12-Months Implied Volatilities
1.6%
Term Structure - Slope (% p.a.)
GOLD 100 OZ FUTR Jun13
Gold - 30 Days Implied VS Historical Volatility
Mar-13
12MTH_IMPVOL_90.0%MNY_DF PX_LAST
Mar-13
Feb-13
Jan-13
Feb-13
Jan-13
Dec-12
Dec-12
Nov-12
12MTH_IMPVOL_100.0%MNY_DF 12MTH_IMPVOL_110.0%MNY_DF
Oct-12
1000
Nov-12
14%
1100
Oct-12
0.0%
Oct-14
Sep-14
Aug-14
Jul-14
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
Apr-13
May-13
1550
0.2%
Oct-12
1570
1200 16%
Sep-12
1590
1300
18%
Sep-12
0.4%
1400
Aug-12
1610
20%
Jul-12
0.6%
Aug-12
1630
1500
Jul-12
0.8%
Jun-12
1650
1600
22%
Jun-12
1.0%
1670
1700 24%
May-12
1690
1800
26%
May-12
1.2%
1900
Apr-12
1710
28%
May-12
1.4%
Apr-12
1730
Mar-12
1750
Gold - Implied Volatility Surface
30%
17% 16%
25%
15% 20%
14% 13%
15%
12% 10%
11%
Historical Volatility (30 Days)
30DAY_IMPVOL_100.0%MNY_DF
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY IV 90%
Mar-13
Mar-13
Feb-13
Jan-13
Feb-13
Jan-13
Dec-12
Dec-12
Nov-12
Nov-12
Nov-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
0%
3MTH
24MTH
5%
12MTH
10%
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
26.03.2013
Silver Futures Term Structures & Implied Volatilities
Term Structure - Slope (% p.a.)
SILVER FUTURE
May13
Silver - 30 Days Implied VS Historical Volatility
Mar-13
12MTH_IMPVOL_90.0%MNY_DF PX_LAST
Mar-13
Feb-13
Feb-13
Jan-13
Jan-13
Dec-12
Dec-12
Nov-12
Oct-12
Nov-12
Oct-12
Oct-12
Sep-12
12MTH_IMPVOL_100.0%MNY_DF 12MTH_IMPVOL_110.0%MNY_DF
Sep-12
15
Aug-12
16%
Jul-12
20
Aug-12
21%
Jul-12
25
Jun-12
26%
Jun-12
30
Sep-14
Aug-14
Jul-14
Jun-14
May-14
Apr-14
Mar-14
Nov-13
Sep-13
May-13
Feb-14
0.0%
Jan-14
30
Dec-13
0.2%
Oct-13
35
Aug-13
0.4%
Jul-13
40
Jun-13
0.6%
Apr-13
45
31%
May-12
0.8%
35
May-12
50
36%
Apr-12
1.0%
40
May-12
55
Silver - Historical 12-Months Implied Volatilities
41%
Apr-12
1.2%
Mar-12
Silver - Forward Curve (Fair Value)
60
Silver - Implied Volatility Surface
50% 45%
25%
40%
24% 23%
35%
22%
30%
21%
25%
20% 19% 18% 17% 16%
20% 15%
Historical Volatility (30 Days)
30DAY_IMPVOL_100.0%MNY_DF
www.qmsadv.com
IV 110%
IV 102.5%
IV 97.5%
30DAY IV 90%
Mar-13
Mar-13
Feb-13
Feb-13
Jan-13
Jan-13
Dec-12
Dec-12
Nov-12
Nov-12
Nov-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
0%
3MTH
5%
12MTH
24MTH
10%
0.240-0.250 0.230-0.240 0.220-0.230 0.210-0.220 0.200-0.210 0.190-0.200 0.180-0.190 0.170-0.180 0.160-0.170
26.03.2013
Platinum Futures Term Structures & Implied Volatilities Platinum - Forward Curve (Fair Value)
Platinum - Historical 12-Months Implied Volatilities
3200
1.2%
39%
1800 1750
3000
1.0%
2800
34%
1700 1650
0.8%
2600
29%
2400
1600 1550
0.6%
24% 2200
1500 1450
0.4%
2000
19%
1400
0.2%
1800
1350
Term Structure - Slope (% p.a.)
6MTH_IMPVOL_100.0%MNY_DF 6MTH_IMPVOL_110.0%MNY_DF
PLATINUM FUTURE Jul13
Platinum - 30 Days Implied VS Historical Volatility
Mar-13
Mar-13
Feb-13
Jan-13
Feb-13
Jan-13
Dec-12
Dec-12
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
May-12
Apr-12
May-12
1300
Apr-12
Sep-13
Jul-13
Jun-13
Apr-13
Aug-13
0.0%
May-13
1600
Mar-12
14%
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Platinum - Implied Volatility Surface
35% 17%
30%
17%
25%
16%
20%
16% 15% 15%
www.qmsadv.com
IV 100%
IV 97.5%
IV 95%
60DAY
3MTH
Mar-13
Mar-13
Feb-13
Jan-13
Feb-13
Jan-13
Dec-12
Dec-12
Nov-12
Nov-12
Nov-12
Oct-12
Sep-12
Sep-12
Aug-12
Oct-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
May-12
Apr-12
Mar-12
0%
6MTH
5%
12MTH
24MTH 18MTH
10%
15%
0.165-0.170
14%
0.160-0.165 0.155-0.160 0.150-0.155 0.145-0.150 0.140-0.145
26.03.2013
Palladium Futures Term Structures & Implied Volatilities Palladium - Forward Curve (Fair Value)
Palladium - Historical 12-Months Implied Volatilities
6MTH_IMPVOL_100.0%MNY_DF 6MTH_IMPVOL_110.0%MNY_DF
PALLADIUM FUTURE Jun13
Palladium - 30 Days Implied VS Historical Volatility
Mar-13
Mar-13
Feb-13
Jan-13
Feb-13
Jan-13
Dec-12
Dec-12
Nov-12
Oct-12
400
Nov-12
450
20%
Oct-12
25%
Oct-12
500
Sep-12
30%
Sep-12
550
Mar-12
Jul-13
Jun-13
Apr-13
Term Structure - Slope (% p.a.)
600
35%
Aug-12
0.0%
40%
Jul-12
650
650
Aug-12
0.2%
700
45%
Jul-12
670
50%
Jun-12
0.4%
750
Sep-13
690
Aug-13
0.6%
May-13
710
55%
Jun-12
0.8%
May-12
730
800
May-12
1.0%
850
60%
Apr-12
750
65%
May-12
1.2%
Apr-12
770
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Palladium - Implied Volatility Surface
70% 60% 29% 50%
28% 27%
40%
26% 30%
25% 24%
20%
www.qmsadv.com
IV 100%
IV 97.5%
IV 95%
60DAY
Mar-13
Mar-13
Feb-13
Jan-13
Feb-13
Jan-13
Dec-12
Dec-12
Nov-12
Nov-12
Oct-12
Oct-12
Sep-12
Nov-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
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
0%
22%
3MTH
10%
24MTH 18MTH 12MTH 6MTH
23%
0.280-0.290 0.270-0.280 0.260-0.270 0.250-0.260 0.240-0.250 0.230-0.240 0.220-0.230