01.10.2012
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
Skew (a) 24M
Skew (b) 30D
Skew (b) 60D
Skew (b) 90D
Skew (b) 6M
Skew (b) 12M 0.000
Skew (b) 18M
Skew (b) 24M
CANOLA FUTR (WCE) Nov12
593.00
17.19
16.50
16.46
16.70
17.10
0.052 -0.054 0.036
0.001
0.020
-0.005 -0.002 -0.001 0.000
CCA Comdty
COCOA FUTURE
2498.00
28.86
28.71
28.40
28.42
28.88
0.011 -0.026 -0.020 0.028
0.070
-0.004 -0.001 -0.001 -0.001 0.000
KCA Comdty
COFFEE 'C' FUTURE Dec12
175.40
31.39
30.68
29.95
29.10
29.02
28.53
0.127
0.126
0.107
0.069
0.059 -0.030
0.000
0.000
0.000
C A Comdty
CORN FUTURE
757.50
26.63
28.12
28.19
27.50
25.47
23.56
22.58
0.127
0.178
0.170
0.124
0.024
0.000
0.000
0.000
0.000
CTA Comdty
COTTON NO.2 FUTR Dec12
70.92
25.21
25.81
25.92
25.68
23.17
21.82
20.32
0.014 -0.017 -0.018 -0.008 -0.020 -0.048 -0.049 -0.002 -0.001 0.000
0.000
0.000
0.000
0.000
JOA Comdty
FCOJ-A FUTURE
113.15
43.24
40.03
41.57
40.23
36.33
32.01
29.02
0.149
0.000
0.000
0.000
0.000
LBA Comdty
LUMBER FUTURE
279.00
26.14
22.96
19.43
15.65
O A Comdty
OAT FUTURE
371.00
25.37
25.30
24.77
23.76
RRA Comdty
ROUGH RICE (CBOT) Nov12
15.44
17.61
16.46
15.74
17.67
S A Comdty
SOYBEAN FUTURE
1584.50
25.02
23.87
23.90
23.37
SMA Comdty
SOYBEAN MEAL FUTR Dec12
482.90
27.06
26.07
24.58
24.19
BOA Comdty
SOYBEAN OIL FUTR Dec12
51.85
20.34
19.74
19.42
SBA Comdty
SUGAR #11 (WORLD) Mar13
20.74
25.90
26.18
0.000
0.000
W A Comdty
WHEAT FUTURE(CBT) Dec12
893.25
33.67
KWA Comdty
WHEAT FUTURE(KCB) Dec12
918.25
FCA Comdty
CATTLE FEEDER FUT Nov12
144.35
LHA Comdty
LEAN HOGS FUTURE Dec12
73.75
15.44
18.00
19.86
18.97
LCA Comdty
LIVE CATTLE FUTR Dec12
124.70
12.19
11.85
11.69
11.62
CLA Comdty
WTI CRUDE FUTURE Nov12
91.77
28.86
30.52
31.00
31.24
28.75
26.82
24.80
-0.151 -0.165 -0.164 -0.177 0.000 -0.079 -0.074 -0.001 0.000
0.000
0.000
0.000
0.000
0.000
COA Comdty
BRENT CRUDE FUTR Nov12
111.75
28.04
27.94
27.94
27.94
27.94
27.94
27.94
-0.065 0.000
0.000
0.000
0.000
0.000
0.001
0.000
0.000
0.000
0.000
0.000
XBA Comdty
GASOLINE RBOB FUT Nov12
291.76
32.77
30.91
30.68
28.90
28.95
28.95
28.95
0.030
0.000 -0.010 0.001
0.001
0.001
0.000 -0.001 0.000
0.000
0.000
0.000
0.000
HOA Comdty
HEATING OIL FUTR Nov12
313.37
24.04
24.86
25.59
26.55
25.35
24.89
24.89
-0.055 -0.020 -0.015 -0.016 0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
QSA Comdty
GAS OIL FUT (ICE) Nov12
972.25
23.67
24.04
24.80
25.26
24.62
22.27
20.65
-0.137 -0.145 -0.129 -0.152 -0.019 -0.070 -0.026 -0.001 -0.001 -0.001 -0.001 0.000
0.000
0.000
NGA Comdty
NATURAL GAS FUTR Nov12
3.39
39.44
35.42
34.16
31.54
31.44
25.26
24.03
-0.136 -0.089 -0.002 -0.021 -0.019 0.000
0.000 -0.001 -0.001 0.000
0.000
0.000
0.000
0.000
GCA Comdty
GOLD 100 OZ FUTR Dec12
1771.70
15.49
16.01
16.57
18.20
20.62
21.73
22.33
0.036
0.031
0.015
0.006
0.000
0.000
0.000
0.000
SIA Comdty
SILVER FUTURE
34.48
27.62
28.29
28.35
29.93
31.82
32.57
32.96
0.033
0.027
0.035 -0.051 -0.027 -0.005 -0.004 -0.002 0.000 -0.001 0.000
0.000
0.000
0.000
PLA Comdty
PLATINUM FUTURE Jan13
1667.90
22.67
22.84
23.28
23.93
-0.003 0.009
0.032
0.019
PAA Comdty
PALLADIUM FUTURE Dec12
637.90
25.58
24.62
25.57
27.32
0.074
0.165
0.107
0.000
LAA Comdty
LME PRI ALUM FUTR Oct12
2089.25
23.05
22.43
22.34
22.43
22.55
22.86
22.86
0.102
0.000
0.000
0.000
0.000 -0.079 -0.079 0.000
0.000
0.000
0.000
0.000
0.001
0.001
LPA Comdty
LME COPPER FUTURE Oct12
8213.00
24.00
25.63
26.06
26.06
26.06
26.06
26.06
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
LLA Comdty
LME LEAD FUTURE Oct12
2275.75
28.98
28.63
28.50
28.50
28.50
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
LNA Comdty
LME NICKEL FUTURE Oct12
18439.00
26.85
26.85
26.85
26.85
26.85
26.85
26.85
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
LXA Comdty
LME ZINC FUTURE Oct12
2071.50
26.46
26.48
26.52
26.53
26.53
26.53
26.53
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
Energy
Live stock
Agriculture
RSA Comdty
Precious Metals
Name
Industrial Metals
Ticker
Dec12
Dec12
Nov12 Nov12 Dec12
Nov12
Dec12
0.070
0.088
0.046
0.002
0.015
0.002
-0.003 -0.001 0.000 0.020 -0.001 0.000
0.002 -0.002 0.000
0.006 -0.010 -0.027 -0.008 23.76
0.001
-0.004 -0.003 -0.002 -0.002
0.004
0.012
0.074
0.192
0.223
0.204
0.171
0.000
22.34
0.162
0.147
0.155
0.182
0.095
-0.002 -0.001 -0.001 -0.001 0.000
22.66
0.183
0.152
0.180
0.150
0.067
-0.003 -0.002 -0.001 0.000 -0.001
20.06
19.99
0.202
0.096
0.088
0.091
0.000
26.08
25.13
22.01
-0.008 0.048
0.063
0.027
0.004
30.68
30.39
29.14
26.68
0.165
0.191
0.154
0.125
0.029
31.98
31.90
31.06
28.62
0.159
0.153
0.101
0.015
9.30
10.81
11.23
20.91
20.71
0.192
0.001
0.001
0.001
0.000
0.000
-0.002 -0.002 -0.002 0.000
-0.002 -0.002 -0.001 0.000
0.000
0.042 -0.019 -0.006 -0.002 -0.002 -0.001 0.000 0.001
0.000
0.000 -0.001 0.000
0.000
0.000
0.000
0.000
-0.273 -0.216 -0.185
-0.007 -0.004 -0.003
16.38
-0.117 -0.056 -0.020 -0.082 -0.091
-0.008 -0.004 -0.001 0.000
0.000
10.94
-0.222 -0.206 -0.180 -0.144 -0.125
-0.005 -0.002 -0.001 0.000
0.000
0.074
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.000
0.001
0.000
0.006
0.006
0.000
0.000
0.000
0.000
0.000
0.000
-0.001 -0.001 -0.001 0.000 -0.001 -0.001 -0.001 0.000
0.000
0.000
01.10.2012
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 40.19
40.64
41.26
Skew (a) 60D
Skew (a) 90D
Skew (a) 6M
Skew (a) 12M
Skew (b) 90D
Skew (b) 6M
Skew (b) 12M
Skew (b) 18M
Skew (b) 24M
0.015 -0.011 -0.002 -0.001 0.000
0.000
0.000
0.000
0.000
-0.012 -0.025 -0.027 -0.069 -0.081 -0.071 -0.072 -0.005 -0.002 -0.002 -0.001 0.000
0.000
0.000
0.000
0.000
0.000 -0.001 -0.002 -0.001 -0.001 0.000
0.000
-0.103 -0.054 -0.030 -0.024 0.014
Skew (a) 18M
Skew (a) 24M
Skew (b) 30D
Skew (b) 60D
UNG US Equity
US NATURAL GAS FUND LP
21.34
39.36
39.36
39.67
40.00
HNU CN Equity
HORIZONS BETA NYMEX NAT BULL
15.48
74.82
78.48
82.16
80.38
SLV US Equity
ISHARES SILVER TRUST
33.48
28.04
28.60
28.90
30.17
HND CN Equity
HORIZONS BETA NYMEX NAT BEAR
3.82
92.86
101.11
99.60
98.84
GLD US Equity
SPDR GOLD TRUST
171.89
15.90
16.49
16.84
18.37
20.76
USO US Equity
UNITED STATES OIL FUND LP
34.12
29.36
30.84
31.26
32.16
32.55
HOU CN Equity
HORIZONS BETA NYMEX CRUDE BU
4.69
66.67
62.52
65.28
64.79
IAU US Equity
ISHARES GOLD TRUST
17.27
15.88
16.71
16.91
18.27
HOD CN Equity
HORIZONS BETA NYMEX CRUDE BE
5.76
60.88
58.80
58.99
63.78
ZSL US Equity
PROSHARES ULTRASHORT SILVER
40.14
37.61
138.90
262.22
70.74
76.17
UCO US Equity
PROSHRE ULT DJ-UBS CRUDE OIL
31.21
58.11
57.47
53.29
59.90
61.42
60.61
60.09
-0.222 -0.145 -0.036 -0.137 -0.133 -0.112 -0.108 -0.002 -0.001 0.000
0.000
0.000
DBA US Equity
POWERSHARES DB AGRICULTURE F
29.41
14.54
14.94
15.22
17.12
18.87
19.50
19.78
-0.041 -0.010 -0.038 -0.016 -0.007 -0.010 -0.012 -0.001 -0.002 -0.002 -0.001 0.000
0.000
0.000
DBC US Equity
POWERSHARES DB COMMODITY IND
28.68
16.35
17.77
17.99
18.76
19.84
20.42
20.78
-0.416 -0.389 -0.350 -0.251 -0.167 -0.136 -0.120 -0.003 -0.002 -0.001 -0.001 -0.001 0.000
0.000
SCO US Equity
PROSHRE U/S DJ-UBS CRUDE OIL
40.72
57.63
60.94
63.00
62.55
64.90
66.54
67.28
0.185
0.000
AGQ US Equity
PROSHARES ULTRA SILVER
58.35
56.77
57.82
58.81
61.20
64.35
GSG US Equity
ISHARES S&P GSCI COMMODITY I
33.80
18.83
19.62
19.80
20.81
GAS CN Equity
ISHARES NATURAL GAS COMMODIT
11.79
258.23
222.78
65.22
89.36
OIL US Equity
IPATH GOLDMAN SACHS CRUDE
22.32
30.75
32.37
33.04
RJA US Equity
ELEMENTS ROGERS AGRI TOT RET
9.62
20.98
20.55
20.04
0.000 -0.047 -0.102
0.000
DJP US Equity
IPATH DOW JONES-UBS COMMDTY
44.21
15.02
16.24
16.57
17.11
-0.311 -0.314 -0.293 -0.248
-0.001 -0.001 0.000 -0.001
DBB US Equity
POWERSHARES DB BASE METALS F
19.80
22.45
22.68
23.28
24.52
-0.141 -0.199 -0.162 -0.111
-0.002 -0.002 -0.002 -0.001
SIVR US Equity
ETFS PHYSICAL SILVER SHARES
34.20
27.78
28.34
28.77
0.012 -0.015 0.006
-0.005 -0.002 -0.001
RJI US Equity
ELEMENTS ROGERS TOTAL RETURN
8.91
17.35
17.35
17.44
0.000
0.000
0.000
0.000
0.000
GAZ US Equity
IPATH DJ-UBS NAT GAS SUBINDX
3.06
42.55
43.83
45.90
0.000 -0.004 0.003
0.000
0.000
0.000
JJC US Equity
IPATH DJ-UBS COPPER SUBINDX
47.59
23.61
24.94
25.30
-0.255 -0.277 -0.220
-0.001 0.000
0.000
GLL US Equity
PROSHARES ULTRASHORT GOLD
14.12
31.21
32.70
34.04
36.63
0.070
0.013 -0.037
-0.003 -0.003 -0.002 0.000
DBO US Equity
POWERSHARES DB OIL FUND
26.11
27.73
28.13
28.18
28.29
-0.179 -0.287 -0.248 -0.182
-0.004 -0.002 -0.002 -0.001
UGL US Equity
PROSHARES ULTRA GOLD
96.92
31.39
32.83
33.67
35.72
0.030
-0.003 -0.001 -0.001 -0.001
USL US Equity
UNITED STATES 12 MONTH OIL
40.32
27.20
28.18
28.40
29.45
CGL CN Equity
ISHARES GOLD BULLION FUND
15.86
20.23
18.59
20.22
22.28
SGOL US Equity
ETFS GOLD TRUST
175.29
15.88
16.37
16.73
DBE US Equity
POWERSHARES DB ENERGY FUND
28.43
23.05
24.21
24.39
BAL US Equity
IPATH DJ-UBS COTTON SUBINDX
46.53
25.52
25.87
25.66
DBP US Equity
POWERSHARES DB PREC METALS F
61.66
17.58
18.20
18.37
20.01
0.070
0.080
0.054
RJN US Equity
ELEMENTS ROGERS ENERGY TR
6.62
27.59
27.59
27.59
28.67
0.000
0.000
0.000 -0.111
DBS US Equity
POWERSHARES DB SILVER FUND
59.76
28.83
29.13
29.19
30.83
0.004 -0.060 -0.095 -0.094
-0.004 -0.002 -0.001 -0.001
CORN US Equity
TEUCRIUM CORN FUND
48.42
26.48
26.46
26.29
26.20
0.050
0.029
-0.002 -0.001 -0.001 0.000
UGA US Equity
UNITED STATES GAS FUND LP
60.52
27.96
28.24
28.11
28.13
-0.297 -0.213 -0.152 -0.133
-0.003 -0.002 -0.001 -0.001
DGL US Equity
POWERSHARES DB GOLD FUND
61.08
16.01
16.66
16.80
18.22
0.058
0.062
0.050
0.032
-0.001 -0.001 -0.001 -0.001
COW US Equity
IPATH DJ-UBS LIVESTOCK SUB
27.20
14.61
15.24
15.58
17.08
0.026
0.056
0.062 -0.060
-0.001 -0.001 -0.001 0.000
UNL US Equity DNO US Equity
UNITED STATES 12 MONTH NATUR UNITED STATES SHORT OIL FUND
18.68 37.93
22.58 30.11
22.56 31.14
23.06 31.46
-0.336 -0.595 -0.779 -0.275 32.01
33.37
34.11
0.071
0.145 -0.095 0.023
-0.053 0.019 32.25
31.78
-0.005 -0.003 -0.001 0.000
0.038
0.029
0.000 0.029
22.38
23.09
0.082
0.103
0.038
0.015
-0.004 -0.001 -0.001 0.000 0.001
29.06
0.041
-0.004 -0.003 -0.001 0.002
-0.432 -1.311 -3.003 -0.277 -0.436
0.000
0.169
0.139
0.140
0.083
0.043
0.015 -0.011 -0.033
6.289 -6.368 0.101
0.741
0.000
0.030 0.055
0.062
0.000
0.002
0.018 -0.002 -0.001 0.000
0.000 -0.001 0.000
0.000
0.000
-0.002 -0.001 -0.001 0.000
0.000
0.135
0.051
0.143
0.009
0.024
0.003
-0.004 -0.003 -0.001
0.033
0.000
0.000
-0.285 -0.159 -0.156 -0.151 -0.124
-0.006 -0.003 -0.002 -0.001 0.000
-0.275 -0.194 -0.189 -0.123
-0.041 -0.021 -0.010 -0.002
0.057
-0.005 -0.003 -0.002
0.040
0.048
-0.330 -0.257 -0.198 -0.153
-0.001 -0.001 -0.001 -0.001
0.074 -0.015 -0.067
-0.001 -0.001 -0.002
0.056
0.055
-0.067 -0.117 -0.100 0.215 0.202 0.166
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.035
0.000
-0.003 -0.003 -0.002 -0.001 0.126
-0.174 -0.222 -0.172
25.02
0.012
0.131 -0.005 -0.005 -0.004
-0.039 0.008 47.36
0.002
-0.006 -0.003 -0.002 -0.001 -0.001
-0.343 -0.302 -0.280 -0.200 50.24
0.002
-0.200 -0.191 -0.160 -0.150 -0.124 -0.110 -0.112 -0.004 -0.002 -0.001 -0.001 0.000 0.158 -0.038 -0.214 -0.017
21.00
0.003
-0.001 -0.002 -0.001 -0.001 0.000
0.000
0.000
0.000 -0.001 -0.001 -0.002 -0.001 -0.001
0.000
0.002
0.000
01.10.2012
WTI Crude Futures Term Structures & Implied Volatilities WTI Crude Oil - Forward Curve (Fair Value)
WTI Crude Oil - Historical 12-Months Implied Volatilities
96
3.0%
94
2.0%
60%
115 110
50%
105
1.0%
92
0.0%
90
-1.0%
40%
100 95
30%
88
-2.0%
90
86
-3.0% 20%
85
-4.0%
80
84
10%
75
-5.0%
Term Structure - Slope (% p.a.)
6MTH_IMPVOL_90.0%MNY_DF 6MTH_IMPVOL_110.0%MNY_DF
GOLD 100 OZ FUTR Dec12
WTI Crude Oil - 30 Days Implied VS Historical Volatility
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Nov-11
70 Oct-11
0% Sep-11
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
Nov-13
Feb-13
Feb-14
-7.0% Aug-13
80 May-13
-6.0% Nov-12
82
6MTH_IMPVOL_100.0%MNY_DF PX_LAST
WTI Crude Oil - Implied Volatility Surface
60% 34%
50%
32% 30%
40%
28%
30%
26% 24%
20%
22%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 110%
IV 102.5%
IV 97.5%
Sep-12
Sep-12
Aug-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Nov-11
Oct-11
Sep-11
0%
3MTH
24MTH
10%
12MTH
20%
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
01.10.2012
Brent Crude Oil Futures Term Structures & Implied Volatilities Brent Crude Oil - Forward Curve (Fair Value)
120
100
Brent Crude Oil - Historical 12-Months Implied Volatilities
0.0%
55%
-2.0%
50%
120
45%
110
40%
100
-10.0%
35%
90
-12.0%
30%
80
25%
70
20%
60
-4.0%
130
-6.0%
80
-8.0% 60
40
-14.0%
Term Structure - Slope (% p.a.)
SILVER FUTURE
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF
Dec12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Nov-11
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
Jan-13
-20.0% Oct-12
0
Oct-11
-18.0%
Sep-11
-16.0%
20
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Brent Crude Oil - Implied Volatility Surface
Brent Crude Oil - 30 Days Implied VS Historical Volatility 50%
29%
45%
28%
40%
27%
35%
26%
30%
25% 24% 23% 22% 21% 20%
25% 20% 15%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 110%
IV 102.5%
IV 97.5%
3MTH
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Nov-11
Oct-11
Oct-11
Sep-11
0%
12MTH
5%
24MTH
10%
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
01.10.2012
Gasoline Futures Term Structures & Implied Volatilities Gasoline - Forward Curve (Fair Value)
350
0.0%
300 -5.0%
Gasoline - Historical 12-Months Implied Volatilities
45%
320 300
40%
280
250
35% -10.0%
200
260 30%
150
240
-15.0%
25%
100
220
-20.0%
Term Structure - Slope (% p.a.)
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF
GASOLINE RBOB FUT Nov12
Gasoline - 30 Days Implied VS Historical Volatility
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Nov-11
Oct-11
Aug-15
Jun-15
Apr-15
Feb-15
Dec-14
Oct-14
Aug-14
Jun-14
Apr-14
Feb-14
Dec-13
Oct-13
Aug-13
Jun-13
Apr-13
Feb-13
Dec-12
-25.0% Oct-12
0
200 Sep-11
20%
50
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Gasoline - Implied Volatility Surface
60% 34% 50%
32% 30%
40%
28% 30%
26% 24%
20%
22%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 102.5%
IV 97.5%
3MTH
Sep-12
Sep-12
Aug-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Nov-11
Oct-11
Oct-11
Sep-11
0%
20%
12MTH
24MTH
10%
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
01.10.2012
Heating Oil Futures Term Structures & Implied Volatilities Heating Oil - Forward Curve (Fair Value)
315
Heating Oil - Historical 12-Months Implied Volatilities
30.0% 38%
340
36% 310
25.0%
305
20.0%
300
320
34% 300
32% 30%
280
15.0% 28%
260
26% 295
10.0% 24%
290
5.0%
285
0.0%
240 220
Term Structure - Slope (% p.a.)
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF
HEATING OIL FUTR Nov12
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Nov-11
200 Oct-11
20% Sep-11
Oct-13
Sep-13
Aug-13
Jul-13
Jun-13
May-13
Apr-13
Mar-13
Feb-13
Jan-13
Dec-12
Nov-12
Oct-12
22%
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Heating Oil - Implied Volatility Surface
Heating Oil - 30 Days Implied VS Historical Volatility 40%
27% 35%
26%
30%
25%
25%
24%
20%
23%
15%
22% 21%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 102.5%
IV 100%
IV 97.5%
IV 95%
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Nov-11
Oct-11
Oct-11
Sep-11
0%
3MTH
5%
20%
12MTH
24MTH
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
01.10.2012
Gas Oil Futures Term Structures & Implied Volatilities Gas Oil - Historical 12-Months Implied Volatilities
Gas Oil - Forward Curve (Fair Value) 1200
0.0%
45%
1100 1000
-1.0% 1000
-2.0% -3.0%
800
40%
900 800
35%
700
-4.0% 600
-5.0%
600
30%
500
-6.0% 400
-7.0%
400
25%
300
-8.0%
Term Structure - Slope (% p.a.)
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF
GAS OIL FUT (ICE) Nov12
Gas Oil - 30 Days Implied VS Historical Volatility
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Nov-11
Jun-15
Apr-15
Feb-15
Dec-14
Oct-14
Aug-14
Jun-14
Apr-14
Feb-14
Dec-13
Oct-13
Aug-13
Jun-13
Apr-13
Feb-13
Dec-12
-10.0% Oct-12
0
200 Oct-11
-9.0%
20% Sep-11
200
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Gas Oil - Implied Volatility Surface
45% 28%
40%
27%
35%
26%
30%
25%
25%
24%
20%
23%
15%
22%
10%
21%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 110%
IV 102.5%
IV 97.5%
3MTH
12MTH
Sep-12
Sep-12
Aug-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Nov-11
Oct-11
Sep-11
0%
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
01.10.2012
Natural Gas Futures Term Structures & Implied Volatilities Natural Gas - Forward Curve (Fair Value)
5.5
5
50.0%
55%
45.0%
50%
40.0%
Natural Gas - Historical 12-Months Implied Volatilities
5 4.5
45%
4
35.0%
35%
20.0%
30%
Term Structure - Slope (% p.a.)
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF
NATURAL GAS FUTR Nov12
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
2
Jan-12
20%
May-12
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
Jan-13
0.0%
Oct-12
3
2.5
Dec-11
5.0%
25%
Dec-11
10.0%
Nov-11
3.5
Oct-11
15.0%
3
Nov-11
4
3.5
25.0%
Oct-11
30.0%
Sep-11
4.5
40%
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Natural Gas - Implied Volatility Surface
Natural Gas - 30 Days Implied VS Historical Volatility 70%
45%
60% 40%
50%
35%
40%
Historical Volatility (30 Days)
30DAY_IMPVOL_100.0%MNY_DF
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 110%
Sep-12
Sep-12
Aug-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
Apr-12
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Feb-12
Jan-12
Dec-11
Dec-11
Nov-11
Nov-11
Oct-11
Oct-11
Sep-11
0%
IV 102.5%
20%
IV 97.5%
10%
30DAY IV 90%
25%
3MTH
20%
12MTH
30%
24MTH
30%
0.400-0.450 0.350-0.400 0.300-0.350 0.250-0.300 0.200-0.250
01.10.2012
Gold Futures Term Structures & Implied Volatilities Gold - Forward Curve (Fair Value)
1880
Gold - Historical 12-Months Implied Volatilities
1.2% 34%
1900
Term Structure - Slope (% p.a.)
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
Feb-13
Jan-13
Dec-12
Nov-12
12MTH_IMPVOL_100.0%MNY_DF 12MTH_IMPVOL_110.0%MNY_DF
GOLD 100 OZ FUTR Dec12
Gold - 30 Days Implied VS Historical Volatility
45%
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
0.0% Oct-12
1700
Mar-12
1000
1720
Mar-12
1100 Feb-12
18% 0.2% 16%
1740
Jan-12
1200
Feb-12
1760
Jan-12
1300
0.4% 20%
Jan-12
22%
0.6%
Dec-11
1400
1780
Dec-11
1500
24%
1800
Nov-11
26%
0.8%
Oct-11
1600
1820
Nov-11
1700
28%
1840
Oct-11
1800
Sep-11
32% 1.0% 30%
1860
12MTH_IMPVOL_90.0%MNY_DF PX_LAST
Gold - Implied Volatility Surface
40%
23%
35%
22% 21%
30%
20%
25%
19%
20%
18%
15%
17%
10%
16%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 110%
IV 102.5%
IV 97.5%
3MTH
12MTH
Sep-12
Sep-12
Aug-12
Aug-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Nov-11
Oct-11
Sep-11
0%
24MTH
15%
5%
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 0.150-0.160
01.10.2012
Silver Futures Term Structures & Implied Volatilities Silver - Forward Curve (Fair Value)
37
1.0% 0.8%
35
0.6% 33
Silver - Historical 12-Months Implied Volatilities
55%
40
50%
35
45% 30
0.4%
40% 31
0.2%
25 35%
0.0%
29
20
30% -0.2%
Term Structure - Slope (% p.a.)
SILVER FUTURE
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
Feb-13
Jan-13
Dec-12
Nov-12
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
12MTH_IMPVOL_100.0%MNY_DF 12MTH_IMPVOL_110.0%MNY_DF
Dec12
Silver - 30 Days Implied VS Historical Volatility
100%
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
15 Nov-11
-0.6% Oct-12
25
25% Oct-11
-0.4%
Sep-11
27
12MTH_IMPVOL_90.0%MNY_DF PX_LAST
Silver - Implied Volatility Surface 33% 33% 32% 32% 31% 31% 30% 30% 29% 29% 28%
90% 80% 70% 60% 50% 40% 30%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 110%
IV 102.5%
IV 97.5%
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Feb-12
Jan-12
Dec-11
Dec-11
Nov-11
Nov-11
Oct-11
Oct-11
Sep-11
0%
3MTH
10%
12MTH
24MTH
20%
0.325-0.330 0.320-0.325 0.315-0.320 0.310-0.315 0.305-0.310 0.300-0.305 0.295-0.300 0.290-0.295 0.285-0.290 0.280-0.285
01.10.2012
Platinum Futures Term Structures & Implied Volatilities Platinum - Forward Curve (Fair Value)
1700
Platinum - Historical 12-Months Implied Volatilities
1.2% 36%
1800
1680
34%
1750
1660
1.0% 32%
1700
1640
0.8%
1650
30%
1600
1620
28%
1600
0.6% 26%
1580
24%
1560
0.4% 22%
1400
20%
1350
18%
1300
Term Structure - Slope (% p.a.)
6MTH_IMPVOL_100.0%MNY_DF 6MTH_IMPVOL_110.0%MNY_DF
PLATINUM FUTURE Jan13
Platinum - 30 Days Implied VS Historical Volatility
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Oct-11
Mar-13
Jan-13
Dec-12
Nov-12
Feb-13
0.0%
Oct-12
1500
Nov-11
1520
1450
Oct-11
0.2%
1500
Sep-11
1540
1550
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Platinum - Implied Volatility Surface
70% 25%
60%
24% 23%
50%
22% 21% 20% 19% 18% 17% 16% 15%
40% 30%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 97.5%
IV 95%
60DAY
3MTH
6MTH
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
Nov-11
Oct-11
Oct-11
Sep-11
0%
12MTH
10%
18MTH
24MTH
20%
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 0.150-0.160
01.10.2012
Palladium Futures Term Structures & Implied Volatilities Palladium - Historical 12-Months Implied Volatilities
Palladium - Forward Curve (Fair Value) 645
1.0% 45%
640
0.9%
635
0.8% 40% 0.7%
600
0.5% 30%
550
0.4%
500
610
0.2%
605
0.1%
600
0.0%
450
6MTH_IMPVOL_100.0%MNY_DF 6MTH_IMPVOL_110.0%MNY_DF
PALLADIUM FUTURE Dec12
Palladium - 30 Days Implied VS Historical Volatility
Sep-12
Sep-12
Aug-12
Jul-12
Aug-12
Jul-12
Jul-12
Jun-12
Jun-12
May-12
Apr-12
May-12
Apr-12
Mar-12
Mar-12
Feb-12
Jan-12
Feb-12
Jan-12
Jan-12
Dec-11
Dec-11
Nov-11
400 Oct-11
20% Nov-11
Feb-13
Dec-12
Nov-12
Oct-12
Term Structure - Slope (% p.a.)
Mar-13
0.3% 25%
Jan-13
615
Oct-11
620
650
35%
0.6%
625
700
Sep-11
630
750
6MTH_IMPVOL_90.0%MNY_DF PX_LAST
Palladium - Implied Volatility Surface
70% 60%
27%
50%
26%
40%
24%
25% 23% 22% 21% 20% 19% 18%
30%
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
IV 97.5%
IV 95%
3MTH
60DAY
Sep-12
Sep-12
Aug-12
Aug-12
Jul-12
Aug-12
Jul-12
Jun-12
Jun-12
May-12
May-12
Apr-12
Apr-12
30DAY_IMPVOL_100.0%MNY_DF
30DAY IV 90%
Historical Volatility (30 Days)
Mar-12
Mar-12
Feb-12
Feb-12
Jan-12
Feb-12
Jan-12
Dec-11
Dec-11
Nov-11
Nov-11
Oct-11
Oct-11
Sep-11
0%
6MTH
10%
24MTH 18MTH 12MTH
20%
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 0.190-0.200 0.180-0.190