PARITY REPORT Crude Oil 2011-12-23

WTI Crude Oil February 99.68 +0.15 (Range 99.56 100.22) ATM Vol - G12 32.7 \ H12 35.4 \ M12 36.7
Please note that Parity Energy modified our method of calculating options' implied volatility at the end of trading on Friday. Because of this, we have not shown changes in vol from Thursday to Friday, as the method has changed. Also, our values on the data page may be a bit off compared to the settlements. The report for Tuesday's trading, which you'll receive tomorrow, will have everything back to normal. Thank you for your patience.

0900-1100: Feb $99.50 straddle, paper hit $6.15 (1055 ref NA) Feb $89.00-$85.00, traded $0.25 (0920 ref NA) Feb $104.00-$106.00 call spread, traded $0.48 (0915 ref NA) Mar $100.00-$90.00 put spread hedged $100.00, traded $3.27 Mar $108.00 call hedged $100.00, traded $2.22 Jun $60.00-$150.00 strangle, traded $1.02 (0915 ref NA) 1100-1330: Feb $$89.00-$77.00 put spread, traded $0.42 & $0.41 (1235 refs NA)

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 research before investing in any instrument referenced in this publication. Investing in securities and commodities and in options, futures and other derivatives, is speculative and carries a high degree of risk. Clients may lose money trading and investing in such investments. Parity Energy Inc. does not accept or assume any responsibility or liability for itself or any of its employees or agents for any errors or omissions contained in this report or the data or opinions contained herein or for any losses or damages incurred or suffered which are claimed to result from this report or the data or opinions contained herein.

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 G12 H12 J12 K12 M12 N12 Q12 U12 V12 X12 Z12 F13 G13 H13 J13 K13 M13 N13 Crude Oil 6.95 10.96 13.96 16.58 18.53 20.03 21.53 22.63 23.69 24.47 24.95 25.33 25.62 25.90 26.23 26.75 27.36 27.89 32.7% 35.4% 36.5% 36.7% 36.7% 36.4% 36.1% 35.6% 35.1% 34.5% 33.8% 32.9% 32.0% 31.3% 30.8% 30.5% 30.4% 30.2% G12 G12 H12 J12 K12 M12 N12 Q12 U12 V12 X12 Z12 F13 G13 H13 J13 K13 M13 Months H12 H12 J12 K12 M12 N12 Q12 U12 V12 X12 Z12 F13 G13 H13 J13 K13 M13 N13 Crude CSO's 0.21 0.21 0.21 0.34 0.42 0.49 0.58 0.69 0.78 0.81 0.82 0.82 0.83 0.84 0.85 0.85 0.87 0.88 Month F12 G12 H12 J12 K12 M12 N12 Q12 U12 V12 X12 Z12 F13 H13 J13 K13 M13 N13 0.1448 0.3321 0.4345 0.5121 0.5615 0.6097 0.6763 0.7375 0.7968 0.8546 0.8689 0.8816 0.9037 0.9492 0.9422 0.9379 0.9378 0.9524 Natural Gas 49.8% 42.8% 41.0% 38.7% 36.6% 35.2% 35.0% 35.2% 35.4% 35.7% 33.2% 29.7% 28.4% 27.9% 27.3% 26.2% 25.2% 24.7%

Previous Day's Active Option Contracts with Parity Energy Indications

Month Feb '12 Strike 77 P 85 P 89 P 95 P 99.5 P 100 C 102 C 104 C 105 C 106 C 110 C 165 C 90 P 100 C 120 C 125 C 130 C 85 P 115 C 98.5 C Settle 0.09 0.27 0.53 1.47 3.04 2.96 2.08 1.42 1.18 0.99 0.52 0.01 2.07 5.21 0.67 0.48 0.37 5.40 4.37 12.38 change -0.01 -0.06 -0.09 -0.16 -0.21 -0.06 -0.06 -0.07 -0.07 -0.06 -0.05 -0.01 -0.08 -0.03 -0.05 -0.03 -0.02 -0.06 0.00 0.03 Parity Value 0.11 0.36 0.69 1.76 3.39 3.23 2.34 1.67 1.41 1.20 0.66 0.06 2.19 5.36 0.72 0.52 0.39 5.42 4.52 12.32 change 0.02 0.03 0.07 0.14 0.16 0.25 0.23 0.20 0.18 0.17 0.09 -0.01 0.02 0.18 0.00 0.02 0.03 0.01 0.10 -0.03 Parity Vol 50.0% 42.3% 39.2% 35.1% 32.8% 32.7% 32.2% 32.1% 32.2% 32.4% 34.4% 77.6% 40.0% 35.4% 36.9% 39.3% 41.7% 40.5% 32.9% 33.7% change -1.4 -1.7 -1.2 -0.5 -0.1 -0.1 0.0 -0.1 -0.2 -0.3 -0.9 -7.2 -0.1 0.0 -0.9 -0.6 -0.3 0.0 0.0 -0.2 Parity Delta -1.3 -5.5 -11.1 -27.5 -48.8 48.4 37.4 27.0 22.4 18.4 8.1 0.2 -22.1 50.8 4.7 2.8 1.8 -26.4 26.0 55.1 Volume 620 805 1359 837 556 1857 824 541 880 566 510 1053 1079 707 495 525 550 600 600 450

Mar '12

Aug '12 Dec '12

High Open Interest Option Contracts with Parity Energy Indications

Month Mar '12 Strike 70 P 80 P 85 P 90 P 70 P 80 P 85 P 90 P 100 C 60 P 70 P 80 P 85 P 90 P 100 C 120 C 130 C 150 C Dec '13 100 C Settle 0.19 0.68 1.21 2.07 1.35 2.88 4.00 5.40 9.11 1.75 3.36 5.75 7.27 9.02 11.60 4.45 2.68 1.19 11.98 change -0.02 -0.04 -0.06 -0.08 -0.05 -0.08 -0.08 -0.09 -0.03 0.00 0.00 -0.01 -0.01 -0.01 0.03 -0.01 -0.02 -0.02 -0.04 Parity Value 0.22 0.75 1.31 2.19 1.39 2.91 4.03 5.44 9.20 1.71 3.31 5.76 7.30 9.04 11.55 4.52 2.85 1.31 11.98 change 0.01 0.03 0.03 0.02 -0.01 -0.02 -0.04 -0.05 0.10 -0.03 -0.04 -0.06 -0.07 -0.08 -0.04 -0.05 -0.05 -0.02 -0.26 Parity Vol 50.4% 45.1% 42.5% 40.0% 46.9% 43.5% 41.8% 40.1% 36.7% 43.2% 40.8% 38.6% 37.4% 36.1% 33.4% 30.6% 30.5% 31.8% 27.9% change -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 Parity Delta -2.4 -8.2 -13.8 -22.1 -9.0 -18.1 -23.9 -30.4 52.6 -8.3 -15.6 -24.2 -28.5 -33.2 52.6 22.1 12.6 4.4 47.8 Strike OI 26838 26978 25564 25128 25341 38093 35242 29332 26849 25556 27055 52691 24589 38834 60679 36127 31951 50125 24618

Jun '12

Dec '12

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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