PARITY REPORT Crude Oil 2012-01-19

WTI Crude Oil March 100.54 -0.22 (Range 100.25 102.24)

ATM Vol H12 28.7 +0.4 \ J12 30.7 -0.1 \ M12 32.5 -0.2
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.82
0900-1200: approx ranges: H12 Fut 101.03 102.24 (H) \
H12 vol 28.1 28.3 \ J12 vol 30.3 30.5 \ M12 vol 32.2 32.4
Dec $102.00 straddle, traded $23.55 (0905 & 0935 refs NA)
Mar $85.00 put, paper crossed $0.18 (1150 ref NA)
Mar $90.00-$80.00 1x5, traded $0.03 (1150 ref NA) <--Mar $90.00 put, paper hit $0.39 (0900 ref NA)
Mar $97.00-$95.00 put spread, traded $0.44 (0935 ref NA)
Mar $100.00-$95.00 hedged $102.20, traded $1.29

Futures came off despite the draw on stocks. ATM vol was relatively flat on
the day. On the 10-delta lines, the put skew vol spread continued to stay
firm, but the call skew grew by 1% on the session. We typically take this to
be a bullish signal for futures, though it's not been that accurate so far in
2012. As always these days, futures will trade on the news.
All numbers are approximate and are intended to be indicative.
0900: $92.00 put

Mar $93.00-$110.00 strangle, traded $1.40 (1000 ref NA)

12 delta tv=$0.61 vol=32.9 ATM vol=28.3

$110.00 call 11 delta tv=$0.72 vol=29.1 H12 ref=$101.64

Mar $102.50-$105.00 call spread hedged $101.10, traded $0.91

Mar $104.00-$107.00 call spread hedged $101.75, traded $0.90
Mar $107.00-$115.00 call spread, traded $0.77 (1040 ref NA)
Mar $107.00-$115.00 call spread hedged $101.50, traded $0.78
Mar $110.00-$120.00 call 1x2, traded $0.17
Apr $96.00-$110.00 fence hedged $102.30, traded $0.58
May $85.00-$75.00 put 1x2, paper hit $0.038 (0925 ref NA)

10 delta put skew = +4.6

1030: $92.00 put

11 delta tv=$0.60 vol=32.8 ATM vol=28.2

$110.00 call 11 delta tv=$0.70 vol=29.0 H12 ref=$101.55

10 delta put skew = +4.6
1200: $92.00 put
$110.00 call

Mar $95.00-$90.00 put spread hedged $101.25, traded $0.65

1330: $92.00 put

$110.00 call

9 delta tv=$0.61 vol=29.2 H12 ref=$101.05

$110.00 call

10 delta call skew = +1.1

13 delta tv=$0.73 vol=33.4 ATM vol=28.7

9 delta tv=$0.63 vol=29.7 H12 ref=$100.89

10 delta put skew = +4.7

1430: $92.00 put

10 delta call skew = +0.8

13 delta tv=$0.69 vol=32.7 ATM vol=28.1

10 delta put skew = +4.6

1200-1430: approx ranges: H12 Fut 100.25 (L) 101.32 \

H12 vol 28.1 28.7 J12 vol 30.4 30.7 \ M12 vol 32.4 32.5

10 delta call skew = +0.8

10 delta call skew = +1.0

14 delta tv=$0.77 vol=33.2 ATM vol=28.7

9 delta tv=$0.63 vol=30.5 H12 ref=$100.50

10 delta put skew = +4.5

10 delta call skew = +1.8

Front Month Implied Volatility with Change Plotted

62.0%

1.8%
1.6%

57.0%

1.4%

52.0%

1.2%

47.0%

1.0%

42.0%

0.8%

2012-01-19
2012-01-18
change

0.6%

37.0%

0.4%

32.0%

0.2%
0.0%
6500
6950
7400
7850
8300
8750
9200
9650
10100
10550
11000
11450
11900
12350

27.0%

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.

Strike

Calls were bid, which might be signalling a rise in futures for Friday

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
6.38
9.73
12.69
15.03
16.94
18.67
20.21
21.46
22.60
23.45
24.21
24.92
25.43
25.90
26.48
26.96
27.45
27.90

G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

28.7%
30.7%
31.7%
32.5%
32.8%
32.8%
33.0%
32.6%
32.3%
32.2%
31.6%
31.1%
30.7%
30.3%
29.9%
29.6%
29.3%
29.1%

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

Crude CSO's
0.03
0.21
0.31
0.40
0.44
0.59
0.68
0.71
0.75
0.79
0.80
0.81
0.82
0.83
0.84
0.86
0.87
0.89

Month
G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

0.1819
0.3363
0.4335
0.4969
0.5610
0.6346
0.6966
0.7603
0.8374
0.9098
0.9712
0.9976
0.9960
0.9999
1.0156
1.0163
1.0232
1.0326

Natural Gas
66.4%
56.2%
50.5%
47.2%
45.6%
45.3%
45.3%
45.7%
46.7%
45.2%
41.5%
39.1%
37.3%
36.5%
36.4%
35.0%
33.7%
32.7%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Mar '12

Apr '12

May '12
Jun '12

Dec '12

Strike
80 P
85 P
90 P
95 P
100 P
105 C
107 C
110 C
115 C
75 P
101 C
125 C
75 P
80 P
90 P
120 C
100 P
110 C
170 C
200 C

Settle
0.09
0.22
0.53
1.28
2.92
1.44
1.01
0.63
0.38
0.23
4.76
0.50
0.59
1.61
3.51
1.84
11.19
7.67
0.74
0.35

change
-0.02
-0.01
0.01
0.03
0.07
-0.06
-0.02
0.00
0.02
-0.02
-0.16
0.03
-0.03
-0.06
-0.08
-0.03
-0.24
0.03
0.07
0.03

Parity Value
0.10
0.23
0.54
1.30
2.92
1.43
1.01
0.63
0.36
0.24
4.71
0.48
0.61
1.60
3.52
1.78
11.20
7.69
0.75
0.42

change
0.00
0.01
0.02
0.05
0.10
-0.06
-0.02
0.02
0.01
-0.01
-0.20
0.01
-0.01
-0.06
-0.05
-0.06
-0.19
0.06
-0.01
-0.01

Parity Vol
42.7%
38.3%
34.5%
31.4%
28.9%
28.4%
29.0%
30.5%
34.8%
43.0%
30.6%
36.7%
41.9%
40.0%
36.4%
31.0%
32.5%
30.6%
34.0%
37.9%

change
0.7
0.4
0.4
0.3
0.3
0.8
1.1
1.4
1.5
-0.1
-0.2
0.8
-0.3
-0.5
-0.3
-0.1
-0.1
-0.1
-0.2
-0.2

Parity Delta
-1.4
-3.4
-9.5
-22.6
-45.9
24.8
16.6
8.5
3.1
-2.6
50.9
2.7
-5.7
-12.4
-24.6
11.7
-43.0
39.4
1.8
0.6

Volume
3624
2490
6485
5148
3987
2868
2693
1817
4809
2261
2411
6264
2861
18010
12911
4155
1700
1704
2353
2194

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

Settle
0.02
0.09
0.22
0.53
1.28
0.07
0.63
1.61
2.41
3.51
6.90
0.60
2.47
4.46
7.31
11.19

change
0.00
-0.02
-0.01
0.01
0.03
-0.02
-0.04
-0.06
-0.07
-0.08
-0.08
-0.02
-0.09
-0.14
-0.18
-0.24

Parity Value
0.02
0.10
0.23
0.54
1.30
0.13
0.63
1.60
2.41
3.52
6.89
0.60
2.54
4.51
7.33
11.20

change
0.00
0.00
0.01
0.02
0.05
-0.03
-0.08
-0.06
-0.05
-0.05
-0.03
-0.02
-0.10
-0.14
-0.16
-0.19

Parity Vol
51.6%
42.7%
38.3%
34.5%
31.4%
58.5%
43.5%
40.0%
38.2%
36.4%
32.9%
35.9%
40.5%
37.9%
35.2%
32.5%

change
1.1
0.7
0.4
0.4
0.3
0.1
-1.1
-0.5
-0.3
-0.3
-0.2
0.1
-0.3
-0.3
-0.2
-0.1

Parity Delta
-0.2
-1.4
-3.4
-9.5
-22.6
0.5
-5.1
-12.4
-17.7
-24.6
-43.9
2.3
-11.9
-19.6
-29.2
-43.0

Strike OI
27739
30380
32453
31165
32076
29044
27226
46952
36340
31048
27815
27062
25977
54501
38038
63247

120 C

4.69

0.11

4.66

0.02

29.6%

-0.2

24.1

37535

130 C

2.88

0.12

2.86

0.00

29.6%

-0.2

13.5

35394

150 C

1.39

0.11

1.31

-0.01

31.4%

-0.2

4.0

49200

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