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PARITY REPORT Crude Oil 2012-03-14

WTI Crude Oil April 105.43 -1.28 (Range 105.12 107.02)


ATM Vol J12 23.5 -2.3 \ K12 25.1 -0.7 \ M12 27.6 -0.5
Tomorrow's Expected 1-StdDev Range for J12: +/-$1.56
0900-1200:
Apr $106.50 straddle, traded $1.50 (ref NA)
Jun $107.50 straddle, traded $10.15 and $10.05 (ref NA)
Jul $108.00 straddle, traded $12.40 (ref NA)
Jun $106.00-$103.00 1x2 put hedged $106.20, traded $0.29
May $100.00-$95.00-$90.00 put butterfly,
paper hit $0.35 & $0.36 (ref NA)
May $108.00 call, traded $2.78 (ref NA)
May $130.00 call, traded $0.20 (ref NA)
Jun $90.00 put hedged $107.45, paper lifted $0.75
Jun $95.00-$85.00 1x3 put, traded $0.17 (ref NA)
Jun $95.00 put hedged $107.25, paper lifted $1.37
Jun $100.00 put, paper lifted $2.38 (ref NA)
Jun $104.00 put, traded $3.78 (ref NA)
Jul $95.00-$85.00 1x3 put, traded $0.28 (ref NA)
Dec $85.00-$80.00 put spread hedged $108.50, traded $0.82

1200-1430:
May $107.00 straddle, paper lifted $6.65 (ref NA)
Aug $108.50 straddle, traded $14.40 (ref NA)
Apr $108.00 call, traded $0.12 (ref NA)
May $102.00 put, paper hit $1.60 ref 10655 (ref NA)
Jun $100.00-$95.00 put spread, traded $1.05 and $1.04 (ref NA)
Jun $105.00-$95.00 put spread, traded $0.53 (ref NA)
Jul $110.00-$120.00 call spread hedged $107.75, traded $3.03
Jun-Jul $102.00 horizontal put spread
hedged $107.25-$107.75, traded $0.92

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
1.46
6.57
9.88
12.26
14.42
16.28
18.02
19.44
20.57
21.60
22.76
23.77
24.18
25.57
25.95
26.42
26.82
27.15

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

23.5%
25.1%
27.6%
28.3%
28.7%
29.1%
29.3%
29.3%
29.2%
28.9%
28.9%
28.9%
28.3%
28.8%
28.3%
27.9%
27.6%
27.3%

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

Crude CSO's
0.13
0.32
0.42
0.46
0.52
0.53
2.75
0.68
3.11
0.68
0.71
0.73
3.74
3.88
4.01
4.13
4.24
4.36

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

0.1656
0.3041
0.3907
0.4718
0.5415
0.6207
0.7023
0.7579
0.7761
0.8145
0.8312
0.8592
0.8528
0.8707
0.9033
0.9040
0.9330
0.9682

Natural Gas
46.4%
46.1%
43.4%
42.2%
41.8%
42.7%
43.6%
40.8%
35.0%
33.5%
32.3%
32.2%
31.1%
30.2%
29.7%
28.7%
28.6%
28.8%

Previous Day's Active Option Contracts with Parity Energy Indications


Month
Apr '12

May '12

Jun '12

Sep '12
Oct '12
Dec '12

Strike
105 P
106 C
106.5 C
107 C
108 C
90 P
95 P
106.5 C
110 C
130 C
140 C
70 P
90 P
95 P
100 P
107.5 C
70 P
150 C
109 C
140 C

Settle
0.50
0.39
0.23
0.14
0.04
0.24
0.56
3.01
1.62
0.19
0.12
0.06
0.80
1.42
2.53
4.45
0.45
1.00
9.72
2.09

change
0.14
-0.94
-0.78
-0.61
-0.36
0.03
0.07
-0.83
-0.60
-0.04
-0.04
0.01
0.08
0.11
0.23
-0.79
0.00
-0.08
-0.60
-0.15

Parity Value
0.55
0.48
0.32
0.21
0.10
0.22
0.51
3.02
1.71
0.17
0.09
0.07
0.73
1.35
2.44
4.45
0.42
0.53
9.72
2.01

change
0.20
-0.83
-0.68
-0.53
-0.28
0.01
0.04
-0.80
-0.51
-0.07
-0.06
0.03
0.03
0.07
0.18
-0.80
-0.04
-0.63
-0.74
-0.27

Parity Vol
23.9%
23.3%
23.4%
23.7%
25.4%
32.7%
29.3%
25.1%
25.2%
36.1%
42.1%
44.6%
32.7%
30.7%
28.9%
27.5%
39.1%
28.1%
29.1%
29.0%

change
-5.2
-3.6
-2.7
-1.8
-0.3
-1.1
-1.5
-0.9
-0.2
-0.1
-1.5
2.4
-1.2
-1.2
-1.1
-0.6
-1.4
-4.5
-0.6
-0.4

Parity Delta
-37.3
38.3
27.0
17.9
7.0
-2.7
-7.3
49.8
31.3
1.7
0.7
-0.4
-7.0
-13.2
-24.0
50.3
-2.6
6.5
58.0
12.9

Volume
6693
3244
3607
4765
5164
2026
5838
1653
3285
1922
6870
6311
1572
4905
3870
1645
1802
3000
1550
2551

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
0.23
0.44
0.80
1.42
2.53
1.10
0.28
0.44
2.25
3.09
4.14
5.42
7.03
9.24
5.45
4.16

change
0.03
0.05
0.08
0.11
0.23
-0.28
-0.08
0.00
0.04
0.07
0.10
0.14
0.21
-0.59
-0.39
-0.33

Parity Value
0.22
0.39
0.73
1.35
2.44
1.19
0.26
0.44
2.18
2.99
4.02
5.31
6.94
9.25
5.46
4.18

change
0.03
0.02
0.03
0.07
0.18
-0.19
-0.09
-0.03
-0.03
-0.04
-0.05
-0.05
0.01
-0.70
-0.49
-0.41

Parity Vol
37.9%
35.1%
32.7%
30.7%
28.9%
28.9%
36.0%
41.1%
35.8%
34.5%
33.1%
31.9%
30.7%
28.9%
28.1%
28.0%

change
-0.3
-0.9
-1.2
-1.2
-1.1
0.5
-0.5
-0.8
-0.8
-0.9
-1.0
-1.0
-0.9
-0.6
-0.4
-0.4

Parity Delta
-1.7
-3.5
-7.0
-13.2
-24.0
14.5
2.3
-2.0
-8.6
-11.6
-15.5
-20.6
-27.0
56.1
37.8
29.7

Strike OI
37345
37077
33256
29340
42256
25453
30851
26757
61937
27415
38805
25886
68567
29239
39972
25473

130 C

3.25

-0.24

3.22

-0.35

28.2%

-0.4

22.8

38251

150 C

1.47

-0.11

1.39

-0.18

30.6%

-0.3

7.5

56425

100 P

12.02

0.10

12.00

-0.10

26.6%

-0.5

-31.6

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