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PARITY REPORT Crude Oil 2012-02-17

WTI Crude Oil April 103.60 +0.96 (Range 103.03 103.89)


ATM Vol J12 27.3 -1.1 \ K12 29.1 -2.4 \ M12 30.0 -1.2
Tomorrow's Expected 1-StdDev Range for J12: +/-$1.78
0900-1200:
Apr $75.00 put, paper hit $0.03 (ref $1034.6)
Apr $92.00-$82.00 put spread, traded $0.31 (ref NA)
Apr $92.00-$87.00 put spread, paper hit $0.21 & $0.23
Apr $97.00 put, paper lifted $0.96 (ref $103.72)
Apr $102.00-$99.00 put spread, traded $1.04 & $1.05 (refs NA)
Apr $120.00 call, paper lifted $0.43 (ref NA)
Apr $125.00 call, traded $0.32 (ref NA)
Apr $140.00-$145.00 call spread, traded $0.04 (ref NA)
Apr $150.00 call, traded $0.12 (ref NA)
May $100.00-$125.00 1x3 fence hedged $104.00, traded $0.56 (ref NA)
May $110.00-$120.00 call spread, traded $1.48 & $1.49 (refs NA)
Jun $90.00-$75.00 put 1x2 hedged $104.50, traded $1.00
Jun $115.00-$130.00 call 1x2 hedged $104.10, traded $0.44
Nov-Dec $140.00 horizontal call spread, paper hit $0.19 (refs NA)
Dec'13 $100.00 call, paper lifted $14.00 (ref NA)
1200-1430:
Apr-May $103.00-$103.50 straddle spread, paper hit $3.62 (refs NA)
Apr $92.00-$87.00 put spread, traded $0.20 (ref NA)
Apr $100.00 put hedged $103.50, traded $1.65

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.
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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
6.24
9.87
12.50
14.34
16.08
17.68
18.94
20.22
21.06
22.01
22.97
23.69
24.33
24.98
25.39
25.82
26.24
26.57

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

27.2%
29.1%
30.0%
29.9%
29.8%
29.9%
29.6%
29.6%
29.2%
29.0%
28.8%
28.6%
28.4%
28.1%
27.7%
27.4%
27.1%
26.8%

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

Crude CSO's
0.03
0.28
0.38
0.49
0.53
0.62
0.63
0.67
0.76
0.72
0.63
0.70
0.72
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

0.1769
0.3524
0.4350
0.5068
0.5873
0.6528
0.7425
0.8191
0.8650
0.8774
0.8867
0.8967
0.9213
0.8968
0.9216
0.9524
0.9828
1.0123

Natural Gas
55.8%
47.3%
43.0%
40.7%
40.2%
39.9%
41.3%
42.0%
39.5%
34.9%
32.4%
31.1%
31.0%
29.4%
28.9%
28.5%
28.2%
28.1%

Previous Day's Active Option Contracts with Parity Energy Indications


Month
Apr '12

May '12
Jun '12

Dec '12

Strike
82 P
85 P
87 P
92 P
95 P
100 P
103 P
112 C
115 C
120 C
140 C
150 C
120 C
130 C
90 P
105 C
110 C
120 C
130 C
150 C

Settle
0.07
0.11
0.15
0.36
0.63
1.65
2.81
0.85
0.64
0.43
0.17
0.10
1.19
0.72
1.64
6.00
4.00
1.92
1.12
1.41

change
-0.04
-0.06
-0.08
-0.17
-0.27
-0.49
-0.62
0.05
0.04
0.03
0.00
-0.01
0.09
0.07
-0.18
0.37
0.27
0.16
0.10
-0.05

Parity Value
0.07
0.11
0.16
0.36
0.63
1.64
2.79
0.86
0.62
0.44
0.25
0.24
1.19
0.73
1.67
6.00
4.00
1.90
1.11
1.38

change
-0.04
-0.05
-0.06
-0.18
-0.32
-0.65
-0.90
0.09
0.04
0.04
0.04
0.04
0.12
0.10
-0.27
0.61
0.45
0.22
0.14
0.00

Parity Vol
41.2%
38.4%
36.5%
32.3%
30.3%
28.0%
27.3%
30.6%
33.3%
38.5%
59.5%
70.0%
33.8%
39.9%
33.8%
30.0%
29.9%
32.0%
35.9%
30.8%

change
0.4
0.4
0.4
-0.3
-0.7
-0.9
-1.1
-1.8
-1.8
-1.4
0.3
1.1
-0.8
-0.1
0.0
-0.3
-0.2
-0.3
0.0
-0.5

Parity Delta
-0.9
-1.5
-2.2
-6.4
-12.2
-30.7
-47.6
10.4
5.6
2.9
0.8
0.7
7.2
3.2
-15.6
47.2
32.1
12.0
5.1
4.7

Volume
2827
1576
1590
2794
2731
3507
1944
2260
3441
2729
1724
2696
3965
4962
3244
1751
1721
3198
3766
3210

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
125 C

Settle
0.43
0.57
0.98
1.64
2.68
4.24
0.72
0.62
1.43
2.84
3.85
5.07
8.33
8.17
4.80
3.70

change
0.03
-0.08
-0.12
-0.18
-0.25
-0.33
0.04
-0.03
-0.06
-0.11
-0.13
-0.15
-0.21
0.08
-0.02
-0.06

Parity Value
0.44
0.59
1.01
1.67
2.69
4.24
0.75
0.65
1.45
2.82
3.80
5.02
8.31
8.19
4.84
3.75

change
0.04
-0.10
-0.17
-0.27
-0.42
-0.59
0.13
-0.06
-0.14
-0.24
-0.28
-0.32
-0.46
0.32
0.22
0.17

Parity Vol
38.5%
37.7%
35.7%
33.8%
32.1%
30.8%
39.9%
40.9%
38.1%
35.4%
34.1%
32.8%
30.3%
28.5%
27.8%
27.9%

change
-1.4
0.1
0.1
0.0
-0.2
-0.2
0.5
-0.2
-0.4
-0.4
-0.3
-0.3
-0.3
-0.3
-0.2
-0.2

Parity Delta
2.9
-5.8
-9.7
-15.6
-24.8
-37.5
2.8
-3.7
-7.5
-14.2
-18.6
-23.8
-36.9
44.1
26.2
19.3

Strike OI
26619
35911
41615
35125
31000
30410
28907
25286
27041
58072
26437
38653
65752
25601
38029
26092

130 C

2.91

-0.06

2.96

0.11

28.2%

-0.3

14.1

36604

150 C

1.41

-0.05

1.38

0.00

30.8%

-0.5

4.7

51910

100 P

13.35

-0.04

13.34

-0.30

26.1%

-0.3

-42.3

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