PARITY REPORT Crude Oil 2012-02-23

WTI Crude Oil April 107.83 +1.55 (Range 105.45 107.94)

ATM Vol J12 29.3 -0.1 \ K12 29.9 -0.7 \ M12 30.5 -0.7
0900-1200:
May $106.50 straddle, traded $9.95
Jun $107.00 straddle, trades $12.60
Apr $95.00-$85.00 put spread, traded $0.29
Apr $95.00 put, paper lifted
$0.38, $0.41, and $0.44 ref $105.66
Apr $105.00-$104.00 put spread, traded $0.43
Apr $110.00-$112.00 call spread, traded $0.47
Apr $110.00-$115.00 call spread, paper hit
$0.92 ref $106.54 then $0.80 ref $105.74
Apr $115.00 call, traded $0.66
Apr $120.00 call, traded $0.41
May $90.00-$75.00 1x2 put hedged $106.30 traded $0.53
May $100.00-$90.00 put spread hedged $107.10, traded $1.59
May $95.00-$110.00 2x3 call, traded $7.65
May $110.00 call hedged $106.80, traded $3.58
May $110.00-$125.00 1x2 call hedged $106.35, traded $1.64
May $110.00-$125.00 1x2 call, traded $1.59
May-Jun $105.00 horizontal put spread, traded $1.14
Jun $89.00-$86.00-$84.00 put fly, traded $0.15
Jun $80.00-$120.00 strangle hedged $106.70, traded $3.09
Jun $90.00-$120.00 fence hedged $107.00, traded $0.89
1200-1430:
Apr $107.00 straddle, traded $5.95 and $6.00
Apr $85.00 put, traded $0.06
Apr $95.00-$85.00 put spread, traded $0.23
Apr $105.00-$108.00 fence hedged $106.90, traded $0.31
Apr $100.00-$105.00 call spread hedged $106.90, traded $3.67
Apr $115.00-$120.00 call spread, traded $0.46
May $130.00, traded $0.68
Jun $95.00-$85.00 put spread hedged $107.80, traded $1.28
Jun $105.00 put, traded $5.13
Jun $120.00-$130.00 call spread hedged $107.85, traded $1.11 and $1.10
Dec $70.00 put hedged $107.50, traded $1.34

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
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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
6.19
10.01
12.77
14.74
16.47
18.08
19.44
20.71
21.65
22.67
23.56
24.23
24.84
25.49
25.97
26.44
26.83
27.18

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

29.3%
29.9%
30.5%
30.3%
30.0%
30.0%
29.7%
29.6%
29.3%
29.1%
28.9%
28.6%
28.3%
28.0%
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
0.00
0.26
0.36
0.48
0.52
0.61
0.62
0.67
0.76
0.72
0.63
0.69
0.71
0.77
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

0.0721
0.2786
0.3572
0.4464
0.5279
0.6055
0.7104
0.7921
0.8284
0.8487
0.8696
0.8892
0.9148
0.9050
0.9251
0.9536
0.9818
1.0101

Natural Gas
46.5%
41.5%
37.7%
37.6%
37.5%
38.2%
40.6%
41.6%
38.5%
34.1%
32.0%
31.1%
30.9%
29.8%
29.0%
28.5%
28.2%
28.0%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Apr '12

May '12

Jun '12

Dec '12
Dec '13

Strike
85 P
95 P
100 P
105 P
106 P
110 C
112 C
115 C
120 C
125 C
140 C
75 P
95 P
120 C
125 C
90 P
100 P
120 C
70 P
140 C

Settle
0.06
0.27
0.70
1.86
2.23
2.11
1.49
0.92
0.50
0.31
0.12
0.09
1.12
1.55
1.06
1.23
3.07
2.57
1.19
3.66

change
-0.01
-0.10
-0.30
-0.64
-0.72
0.47
0.32
0.17
0.06
0.00
-0.02
-0.01
-0.18
0.16
0.08
-0.08
-0.33
0.27
-0.06
0.20

Parity Value
0.05
0.28
0.72
1.88
2.24
2.10
1.47
0.88
0.45
0.27
0.11
0.10
1.14
1.54
1.04
1.21
3.06
2.55
1.21
3.23

change
-0.01
-0.08
-0.27
-0.61
-0.70
0.44
0.29
0.13
0.02
-0.02
-0.05
0.00
-0.12
0.14
0.04
-0.10
-0.33
0.22
-0.06
0.13

Parity Vol
44.1%
35.7%
32.2%
30.0%
29.7%
29.2%
29.4%
30.7%
34.4%
38.8%
52.0%
45.3%
34.2%
31.6%
33.8%
36.1%
32.5%
30.8%
38.9%
23.3%

change
1.2
1.6
0.8
0.4
0.3
-0.5
-0.9
-1.5
-2.3
-2.8
-4.4
1.9
1.4
-1.1
-1.5
0.9
0.6
-0.7
0.3
0.1

Parity Delta
-0.7
-4.9
-14.2
-34.3
-39.6
36.6
25.7
13.8
5.0
2.5
0.6
-1.0
-13.2
13.1
7.3
-11.0
-26.9
18.8
-6.6
13.3

Volume
5028
4837
4986
2673
2058
5185
2297
8202
5900
3318
2261
2214
2336
3847
2555
5655
4206
2797
4950
3000

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
0.50
0.44
0.75
1.23
1.95
3.07
0.81
0.51
1.19
2.40
3.26
4.33
7.14
10.26
6.17
4.76

change
0.06
-0.02
-0.03
-0.08
-0.18
-0.33
0.00
-0.02
-0.06
-0.12
-0.16
-0.21
-0.39
0.71
0.45
0.37

Parity Value
0.45
0.44
0.73
1.21
1.95
3.06
0.84
0.52
1.21
2.43
3.29
4.36
7.21
10.24
6.18
4.79

change
0.02
-0.02
-0.05
-0.10
-0.18
-0.33
0.03
-0.03
-0.06
-0.10
-0.14
-0.18
-0.35
0.72
0.45
0.34

Parity Vol
34.4%
40.3%
38.1%
36.1%
34.2%
32.5%
37.9%
41.2%
38.9%
36.5%
35.2%
34.0%
31.4%
29.1%
28.0%
27.9%

change
-2.3
1.2
1.1
0.9
0.8
0.6
-0.9
0.2
0.3
0.4
0.5
0.5
0.4
0.1
-0.1
-0.2

Parity Delta
5.0
-3.8
-6.7
-11.0
-17.4
-26.9
3.6
-3.0
-6.6
-12.2
-15.8
-20.2
-31.2
51.9
33.0
25.1

Strike OI
28422
36439
39269
36685
30185
31609
28358
25487
26791
60890
26614
39221
66066
25965
37861
26096

130 C

3.72

0.25

3.75

0.27

28.0%

-0.2

18.6

36885

150 C

1.72

0.08

1.66

0.10

30.2%

-0.3

5.9

50548

100 P

12.35

-0.37

12.26

-0.38

26.5%

0.2

-38.2

25537

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