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PARITY REPORT Crude Oil 2012-03-07

WTI Crude Oil April 106.16 +1.46 (Range 104.35 106.24)


ATM Vol J12 27.5 -2.4 \ K12 29.5 -1.1 \ M12 30.7 -0.7
Tomorrow's Expected 1-StdDev Range for J12: +/-$1.84
0900-1200:
Apr $104.00 same-day put, paper lifted $0.15 (ref NA)
Apr $107.00 same-day call, paper lifted $0.05 (ref NA)
Jun $105.50 straddle, traded $11.65 (ref NA)
May-Jun $106.00-$106.50 straddle spread, traded $3.18 (refs NA)
Jul-Aug $106.00-$106.50 straddle spread, traded $2.00 (refs NA)
Dec'12-Dec'13 $106.50-$102.50 straddle spread, traded $6.95 (refs NA)
Apr $95.00 put, traded $0.13 (ref NA)
Apr $10000-$95.00 put spread hedged $105.25, traded $0.33
Apr $100.00 put, traded $0.43 (ref NA)
Apr $105.00 call, traded $2.13 (ref NA)
May $105.00 call hedged $105.20, traded $4.36
Jul $120.00-$135.00 1x2 call hedged $106.00,
paper lifted $0.55 & $0.53
Sep-Oct $130.00 horizontal call spread, traded $0.43 (refs NA)
Mar'13-Dec'13 $120.00 horizontal call spread, traded $1.00 (refs NA)
1200-1430:
May-Dec $106.00-$107.50 straddle spread, traded $13.20 (refs NA)
Apr $97.00 put, traded $0.12 (ref NA)
Jun $100.00 put, traded $3.10 (ref NA)
Jun $105.00-$110.00 fence hedged $107.00, traded $0.48
Dec $75.00 put, traded $1.86 (ref NA)
Dec $100.00-$80.00 put spread hedged $107.50, traded $5.04
Jun'13 $75.00-$65.00 put spread hedged $105.60, traded $1.60
Mar'13-Dec'13 $120.00 horizontal call spread, traded $0.90 (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
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13

Crude Oil
3.64
8.38
11.61
13.80
15.80
17.58
19.20
20.56
21.65
22.94
23.84
24.59
25.16
25.77
26.25
26.73
27.11
27.43

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

27.5%
29.2%
30.7%
30.7%
30.5%
30.7%
30.6%
30.5%
30.4%
30.4%
30.0%
29.7%
29.3%
28.9%
28.6%
28.3%
27.9%
27.6%

Months
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13
V13

Crude CSO's
0.19
0.29
0.44
0.47
0.58
0.60
0.65
0.74
0.70
0.61
0.68
0.70
0.76
0.78
0.81
0.83
0.85
0.86

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

0.2352
0.3450
0.4144
0.4881
0.5549
0.6296
0.7052
0.7502
0.7644
0.8082
0.8270
0.8546
0.8320
0.8442
0.8669
0.8862
0.9057
0.9318

Natural Gas
53.5%
48.9%
44.8%
43.2%
42.9%
43.6%
44.5%
41.3%
35.8%
34.4%
33.3%
33.3%
31.5%
30.4%
29.6%
29.1%
28.7%
28.7%

Previous Day's Active Option Contracts with Parity Energy Indications


Month
Apr '12

May '12

Jun '12
Jul '12
Aug '12
Sep '12
Dec '12
Mar '13
Dec '13

Strike
95 P
97 P
98 P
99 P
100 P
102 P
105 P
110 C
100 P
125 C
145 C
70 P
90 P
135 C
90 P
150 C
100 P
107.5 P
120 C
120 C

Settle
0.06
0.11
0.14
0.19
0.26
0.50
1.27
0.48
1.75
0.46
0.14
0.10
1.08
0.96
2.33
0.98
7.47
10.59
6.98
7.70

change
-0.10
-0.16
-0.21
-0.27
-0.33
-0.53
-0.90
0.06
-0.55
0.00
0.01
-0.02
-0.25
0.03
-0.34
0.05
-0.59
-0.78
0.39
0.37

Parity Value
0.07
0.11
0.14
0.19
0.27
0.51
1.27
0.48
1.77
0.48
0.16
0.11
1.09
0.94
2.33
0.93
7.49
10.60
7.08
7.61

change
-0.09
-0.15
-0.20
-0.25
-0.31
-0.49
-0.80
0.00
-0.49
0.01
0.02
-0.03
-0.23
0.00
-0.28
0.01
-0.52
-0.67
0.19
0.07

Parity Vol
38.7%
35.8%
34.4%
33.2%
32.1%
30.4%
28.1%
27.3%
31.0%
33.7%
45.7%
45.8%
36.1%
33.1%
35.6%
33.9%
32.1%
30.4%
28.3%
25.2%

change
0.3
-0.4
-0.7
-0.9
-1.1
-1.4
-1.7
-2.2
-0.9
-0.9
0.7
0.0
-0.5
-0.9
-0.2
-0.7
-0.2
-0.2
-0.5
-0.5

Parity Delta
-1.5
-2.7
-4.0
-5.9
-8.6
-16.4
-36.6
16.6
-24.7
3.8
0.8
-1.0
-11.1
5.2
-15.9
3.6
-33.0
-45.6
33.4
31.1

Volume
5378
2057
2196
3275
2949
1662
4501
1540
3698
2118
1907
2008
1515
1600
1476
3928
1560
1600
2200
2000

High Open Interest Option Contracts with Parity Energy Indications


Month
Jun '12

Dec '12

Dec '13

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

Settle
0.35
0.62
1.08
1.83
3.01
1.72
0.43
0.54
1.26
2.53
3.42
4.51
7.47
9.77
5.92
4.59

change
-0.08
-0.15
-0.25
-0.38
-0.54
0.12
-0.01
-0.06
-0.14
-0.23
-0.30
-0.37
-0.59
0.64
0.37
0.28

Parity Value
0.36
0.63
1.09
1.85
3.03
1.73
0.43
0.57
1.31
2.56
3.44
4.52
7.49
9.78
5.89
4.55

change
-0.08
-0.14
-0.23
-0.34
-0.48
0.09
-0.01
-0.06
-0.10
-0.20
-0.26
-0.36
-0.52
0.48
0.28
0.19

Parity Vol
40.5%
38.2%
36.1%
34.2%
32.6%
30.6%
37.0%
42.7%
40.2%
37.5%
36.1%
34.7%
32.1%
30.0%
28.9%
28.8%

change
-0.2
-0.4
-0.5
-0.5
-0.4
-0.8
-1.0
0.0
0.0
0.0
-0.1
-0.2
-0.2
-0.3
-0.4
-0.5

Parity Delta
-3.4
-6.3
-11.1
-18.5
-28.7
15.3
2.3
-3.3
-6.9
-12.4
-16.2
-20.8
-33.0
49.8
31.7
24.0

Strike OI
37306
36295
33283
31578
35072
25663
30804
25919
24945
61909
27058
38752
67525
28875
38438
25512

130 C

3.58

0.20

3.55

0.13

28.9%

-0.5

17.8

37612

150 C

1.59

0.04

1.56

0.02

31.1%

-0.6

5.5

52520

100 P

12.80

-0.52

12.76

-0.55

27.2%

-0.3

-38.9

25937

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