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PARITY REPORT Crude Oil 2012-03-08

WTI Crude Oil April 106.58 +0.42 (Range 105.84 107.20)


ATM Vol J12 25.3 -2.2 \ K12 28.0 -1.5 \ M12 30.0 -0.7
Tomorrow's Expected 1-StdDev Range for J12: +/-$1.70
0900-1200:
May $106.50 straddle, traded $7.95 (ref NA)
Dec '13 $103.50 straddle, traded $28.70 (ref NA)
Apr $95.00 put, traded $0.04 (ref NA)
Apr $104.00 put hedged $106.35, traded $0.71
Apr $106.00-$105.00 put spread hedged $106.50, paper lifted $0.37 and $0.36
Apr $110.00 call hedged $106.50, traded $0.41
Apr $115.00-$120.00 call spread, paper hit $0.05 (ref $106.52)
May $115.00 call hedged $107.00, traded $1.32 and $1.31
Jun $102.00 put, traded $3.35 (ref NA)
Jun $107.00 put hedged $107.30, traded $5.48
Jun $150.00 call, traded $0.27 (ref NA)
Jul $108.00 call hedged $107.75, traded $6.64
Sep $90.00-$135.00 fence hedged $108.25, traded $1.03
Dec '13 $95.00-$115.00 fence hedged $103.30, traded $1.40 and $1.42
1200-1430:
Apr $105.00-$100.00 put spread heged $106.75, traded $0.53
May $95.00-$85.00 1x2 put hedged $107.50, traded $0.36
May $150.00 call, traded $0.13 (ref $107.39)
Jun $110.00-$120.00 call spread hedged $108.00, traded $0.70
Dec $60.00 put, paper crossed $0.52 (ref $108.51)
Jul-Aug Dec-Jan $0.00 CSO strip, paper lifted $0.34 (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
3.18
8.01
11.35
13.65
15.71
17.55
19.13
20.52
21.64
22.69
23.87
24.62
25.20
25.81
26.26
26.78
27.23
27.63

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

25.3%
27.9%
30.0%
30.3%
30.2%
30.5%
30.4%
30.3%
30.2%
30.0%
30.0%
29.7%
29.3%
28.9%
28.6%
28.3%
28.0%
27.7%

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

0.2131
0.3325
0.4088
0.4826
0.5497
0.6254
0.7050
0.7516
0.7748
0.8180
0.8406
0.8663
0.8447
0.8587
0.8843
0.9059
0.9434
0.9812

Natural Gas
50.3%
48.1%
44.8%
43.1%
42.8%
43.7%
44.7%
41.6%
36.3%
34.9%
33.9%
33.8%
32.0%
30.9%
30.2%
29.7%
29.9%
30.2%

Previous Day's Active Option Contracts with Parity Energy Indications


Month
Apr '12

May '12

Jul '12
Dec '12

Dec '13

Strike
100 P
101 P
103 P
105 P
106.5 P
107 C
110 C
112 C
115 C
120 C
90 P
100 P
145 C
150 C
135 C
85 P
95 P
100 P
120 C
95 P

Settle
0.17
0.23
0.47
0.91
1.49
1.32
0.42
0.21
0.10
0.05
0.31
1.51
0.16
0.12
0.99
3.32
5.69
7.30
5.97
10.49

change
-0.09
-0.13
-0.23
-0.36
-0.44
-0.04
-0.06
-0.03
-0.02
-0.01
-0.08
-0.24
0.02
0.01
0.03
-0.10
-0.14
-0.17
0.05
-0.24

Parity Value
0.17
0.23
0.46
0.92
1.49
1.32
0.42
0.21
0.09
0.04
0.31
1.50
0.17
0.15
0.98
3.31
5.71
7.33
6.02
10.49

change
-0.10
-0.14
-0.24
-0.35
-0.44
-0.04
-0.06
-0.04
-0.04
-0.02
-0.10
-0.27
0.01
0.01
0.04
-0.13
-0.15
-0.16
0.13
-0.24

Parity Vol
31.7%
30.4%
28.2%
26.4%
25.3%
25.1%
25.5%
27.4%
31.7%
39.1%
34.3%
29.9%
46.1%
49.2%
33.3%
35.8%
33.3%
32.0%
28.9%
28.2%

change
-0.4
-0.8
-1.4
-1.7
-1.9
-1.9
-1.8
-1.4
-1.2
-1.2
-1.1
-1.2
0.4
0.6
0.2
-0.2
-0.1
0.0
0.0
0.0

Parity Delta
-5.2
-7.7
-16.2
-30.9
-47.1
46.7
16.0
6.3
2.2
0.6
-4.6
-22.7
0.8
0.6
5.4
-16.0
-26.2
-32.8
32.2
-32.7

Volume
3462
2087
1858
7276
1507
2763
4542
1845
4686
4409
1593
4006
4024
2021
3010
2200
1730
3253
2134
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
80 P
85 P
90 P
95 P
100 P
110 C
120 C
125 C

Settle
0.28
0.52
0.95
1.65
2.77
1.72
0.46
0.52
2.45
3.32
4.39
5.69
7.30
9.90
5.97
4.63

change
-0.07
-0.10
-0.13
-0.18
-0.24
0.00
0.03
-0.02
-0.08
-0.10
-0.12
-0.14
-0.17
0.13
0.05
0.04

Parity Value
0.31
0.54
0.94
1.63
2.76
1.73
0.47
0.54
2.44
3.31
4.38
5.71
7.33
9.97
6.02
4.67

change
-0.05
-0.09
-0.15
-0.22
-0.27
0.00
0.04
-0.03
-0.12
-0.13
-0.14
-0.15
-0.16
0.19
0.13
0.12

Parity Vol
39.9%
37.4%
35.3%
33.4%
31.8%
30.2%
37.6%
42.5%
37.2%
35.8%
34.5%
33.3%
32.0%
30.0%
28.9%
28.8%

change
-0.6
-0.7
-0.8
-0.9
-0.8
-0.4
0.6
-0.3
-0.3
-0.2
-0.2
-0.1
0.0
0.0
0.0
0.0

Parity Delta
-2.8
-5.5
-9.9
-17.1
-27.7
15.0
2.4
-3.1
-12.2
-16.0
-20.7
-26.2
-32.8
50.3
32.2
24.3

Strike OI
37308
36217
32578
31634
35353
25978
30804
26180
62062
26918
38876
24994
67783
28875
39213
25512

130 C

3.60

0.02

3.66

0.11

29.0%

0.1

18.0

37611

150 C

1.58

-0.01

1.65

0.09

31.4%

0.3

5.8

52420

100 P

12.51

-0.29

12.54

-0.22

27.3%

0.1

-39.0

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