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PARITY REPORT Crude Oil 2012-02-15

WTI Crude Oil April 102.14 +0.98 (Range 101.57 102.29)


ATM Vol J12 28.8 +0.3 \ K12 29.3 +0.6 \ M12 30.0 +0.4
0900-1200:
May/Jun $-0.75 CSO put, traded $0.13 (1235 & 1245 refs NA)
Mar $100.00 same-day put, paper lifted $0.07 (1040 ref NA)
Mar $100.50 same-day put, paper hit $0.12
Apr $90.00 put, paper lifted $0.40 & $0.42 (0905 & 0955 refs NA)
Apr $88.00-$115.00 strangle, paper lifted $0.90 (1130 ref NA)
Apr $95.00-$105 fence hedged $102.00, paper lifted $1.07
Apr $105.00-$110.00-$115.00 call butterfly hedged $102.00,
traded $0.68
May $95.00-$85.00 put 1x2, traded $0.85 (1150 ref NA)
May $95.00 put, traded $2.15 (ref NA)
May $102.50 call hedged $102.30, traded $4.76
Jun $90.00 put hedged $103.20, traded $1.84
Jun $101.50-$99.00 put spread, traded $1.02 (ref $103.08)
Jun $100.00-$110.00 call 1x2, traded $1.08 (ref NA)
Jun $105.00-$110.00 call spread hedged $103.00,
traded $1.81 & $1.80
Jun $115.00-$125.00 call 1x2 hedged $103.00, traded $0.06
1200-1430:
May/Jun $-0.75 CSO put, traded $0.13 (1235 & 1245 refs NA)
Dec $104.00 straddle,traded $21.10 (1345 refs NA)
May-Aug $102.50-$104.00 straddle spread, traded $6.10 (1345 refs NA)
Apr $90.00 put hedged $101.90, traded $0.46 & $0.47
Apr $102.00-$95.00 1x2 put hedged $101.75, traded $1.22
Jun $115.00-$125.00 1x2 call hedged $103.00, traded $0.09
Jul $110.00 call hedged $103.50, traded $4.43
Sep $130.00-$150.00 call spread, traded $1.05 (1335 ref NA)
Dec $105.00 call hedged $103.80, traded $9.95 (1430)
Dec'13 $90.00-$120.00 strangle, traded $15.85 (1415 ref 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
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13

Crude Oil
6.73
9.94
12.43
14.38
16.10
17.57
18.91
20.19
21.08
22.04
22.96
23.68
24.34
24.97
25.39
25.88
26.30
26.64

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

28.8%
29.3%
29.9%
30.1%
30.0%
29.9%
29.7%
29.7%
29.4%
29.2%
28.9%
28.7%
28.5%
28.2%
27.8%
27.5%
27.3%
27.0%

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

Crude CSO's
0.06
0.30
0.42
0.50
0.53
0.58
0.57
0.68
0.72
0.73
0.71
0.74
0.76
0.78
0.80
0.82
0.84
0.86

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

0.1816
0.3412
0.4130
0.4907
0.5729
0.6456
0.7196
0.8001
0.8413
0.8667
0.8903
0.9208
0.9252
0.9312
0.9328
0.9559
0.9849
1.0154

Natural Gas
56.8%
48.3%
43.0%
41.4%
41.2%
41.3%
41.9%
42.8%
39.7%
35.2%
33.2%
32.6%
31.6%
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 '13

Strike
101.5 C
80 P
90 P
95 P
102 P
110 C
115 C
120 C
125 C
85 P
95 P
100 P
125 C
80 P
85 P
90 P
110 C
115 C
125 C
60 P

Settle
0.30
0.09
0.44
1.04
3.28
1.02
0.60
0.42
0.32
0.66
2.18
3.79
0.74
0.70
1.18
1.93
3.49
2.31
1.18
2.16

change
-0.01
-0.01
-0.08
-0.21
-0.53
0.16
0.09
0.05
0.04
-0.03
-0.19
-0.33
0.12
-0.02
-0.06
-0.12
0.41
0.29
0.14
-0.01

Parity Value
0.35
0.09
0.43
1.04
3.26
1.01
0.58
0.40
0.30
0.65
2.16
3.77
0.73
0.68
1.15
1.90
3.47
2.30
1.18
2.12

change
0.01
-0.01
-0.07
-0.17
-0.48
0.13
0.05
0.03
0.01
-0.02
-0.16
-0.28
0.08
-0.03
-0.07
-0.11
0.35
0.25
0.14
-0.04

Parity Vol
11.9%
42.6%
34.5%
31.5%
28.8%
30.6%
34.6%
39.0%
43.5%
35.5%
31.3%
29.8%
36.0%
37.2%
35.2%
33.4%
29.6%
30.2%
33.2%
33.8%

change
-13.1
1.4
1.1
0.7
0.4
-0.2
-0.3
-0.5
-0.7
1.1
0.8
0.7
0.2
0.7
0.5
0.6
0.4
0.4
0.3
-0.2

Parity Delta
94.1
-1.1
-7.4
-17.9
-49.7
12.9
5.2
2.9
1.8
-7.5
-25.0
-40.6
4.0
-6.5
-11.0
-18.1
29.1
17.4
6.7
-9.1

Volume
1611
2726
6703
2956
2614
1446
2042
3472
2339
2352
1663
1464
2650
2169
2308
2888
2249
2388
3884
1875

High Open Interest Option Contracts with Parity Energy Indications


Month
Apr '12
Jun '12

Dec '12

Dec '13

Strike
120 C
80 P
85 P
90 P
95 P
100 P
140 C
60 P
70 P
80 P
85 P
90 P
100 P
110 C
120 C
130 C

Settle
0.42
0.70
1.18
1.93
3.08
4.80
0.55
0.72
1.62
3.13
4.17
5.43
8.77
7.76
4.54
2.67

change
0.05
-0.02
-0.06
-0.12
-0.20
-0.29
0.06
-0.02
-0.04
-0.06
-0.09
-0.10
-0.17
0.24
0.14
0.09

Parity Value
0.40
0.68
1.15
1.90
3.07
4.78
0.55
0.71
1.62
3.12
4.15
5.40
8.72
7.78
4.57
2.77

change
0.03
-0.03
-0.07
-0.11
-0.16
-0.26
0.05
0.07
0.13
0.13
0.10
0.05
-0.12
0.14
0.13
0.13

Parity Vol
39.0%
37.2%
35.2%
33.4%
31.8%
30.5%
38.3%
41.0%
38.7%
36.0%
34.6%
33.2%
30.4%
28.4%
27.8%
28.2%

change
-0.5
0.7
0.5
0.6
0.6
0.5
0.1
1.2
1.2
1.0
0.8
0.5
0.1
0.0
0.1
0.2

Parity Delta
2.9
-6.5
-11.0
-18.1
-28.0
-40.7
2.5
-4.3
-8.7
-15.0
-19.1
-24.1
-37.6
42.7
25.0
13.3

Strike OI
24885
35964
41487
36394
31042
30541
28913
25285
27142
57374
26887
38484
65551
25455
38154
36603

140 C

1.78

0.10

1.81

0.12

29.3%

0.4

7.2

24698

150 C

1.27

0.10

1.28

0.10

30.7%

0.4

4.3

50993

100 P

13.60

-0.04

13.54

-0.12

26.2%

-0.2

-42.7

25487

Copyright 2012 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