Monday, October 17, 2022

Markets are listed in order of daily $ value of options traded (DVO).

Data is organized to highlight trading edge opportunities using futures options.
Data as of Friday, October 14, 2022

DVO UND'L Under Over SV IV IV%>SV

Symbol Name SV% IV%
($000’s) Size Valued Valued Pctl Pctl %

SP S&P 500 Index (CME) 330300 91,900 A 35.20% 99 27.10% 88

CL Crude Oil (NYM) 293500 912,688 D 46.10% 8 45.80% 27
ZN U.S. 10-yr TreasNotes 205900 111,453 A 11.70% 88 9.70% 99
ZC Corn (CBT) 69474 170,180 D 23.50% 1 21.50% 1
ES E-Mini S&P 500(CME) 66020 68,850 A 35.10% 99 27.10% 88
GC Gold (CMX) 44201 34,150 A 19.40% 99 17.50% 99
CT Cotton (ICE) 43700 182,538 A 178.9% 99 40.30% 42
ZS Soybeans (CBT) 37218 44,163 D 23.20% 1 17.50% 1
ZB U.S TreasBonds(CBT) 32675 125,562 A 18.20% 81 16.40% 99
ZW Wheat (CBT) 29556 42,030 D 44.50% 19 40.50% 46
KC Coffee (ICE) 29079 81,469 E 40.60% 54 42.00% 99 C
ZF U.S. 5-yr Treas Notes 21836 100,800 A 7.50% 77 6.70% 88
SI Silver (CMX) 9951 122,338 A 46.10% 99 34.70% 99
NG Natural Gas (NYM) 6145 70,630 B 59.50% 1 88.60% 85 C
ZL Soybean Oil (CBT) 6039 107,000 B 34.80% 19 36.20% 85 C
6E EuroFX (CME) 5890 30,830 A 14.60% 99 12.40% 92
SB Sugar - World (ICE) 5432 69,394 A 43.80% 96 21.00% 15
LE Cattle - Live (CME) 4846 40,050 B 10.20% 23 11.70% 1 C
KE Wheat (KC) 4319 39,984 D 38.90% 15 37.40% 19
ZM Soybean Meal (CBT) 3974 59,170 D 26.90% 12 21.60% 1
6B British Pound (CME) 3453 48,600 A 24.70% 99 18.80% 99
HE Hogs - Lean (CME) 2745 20,933 D 29.20% 23 26.00% 54
HG Copper (CMX) 2385 84,575 A 32.70% 73 31.50% 73
6J Japanese Yen (CME) 1833 86,625 B 7.10% 1 14.10% 99 C
GF Cattle - Feeder (CME) 1571 87,713 D 16.70% 38 10.50% 8
HO Heating Oil (NYM) 1238 63,790 E 52.00% 50 67.60% 99 C
NQ E-Mini Nas-100(future) 393 34,124 D 42.40% 50 40.00% 71
6A AustralianDollar(CME) 288 159,671 A 17.30% 99 17.10% 99
RTY Russell 2000 Index 246 72,840 A 40.00% 99 31.50% 99
6C Canadian Dollar(CME) 179 109,830 E 10.80% 99 11.20% 96 C
RB Gasoline(RBOB:NYM) 157 126,525 B 46.20% 8 49.50% 12 C
6S Swiss Franc (CME) 67 146,725 A 11.80% 77 10.50% 88

OPTION MARKET COMMENTS – Data is from OptionVue (800-733-6610). Pctl figures are based on 0.5 yrs (6
months) of implied and statistical volatility data. Liquidity and underlying contract size are also important.
© 2022
All Rights Reserved There is a substantial risk of loss in trading commodity futures and options. Past performance is not indicative of
future results. Page 1 of 2
 A -- UNDERVALUED options
in VOLATILE or TRENDING
markets
IV% < SV% and SV PctL > 50
Consider option buying strategies:
(diagonal calendar spreads, strangle
swaps, option purchases, ratio
backspreads, long straddles or long
strangles). These strategies have
positive Vega.
D -- UNDERVALUED options
in NON-VOLATILE markets
IV% < SV% and SV PctL < 50
Consider calendar spreads. This
strategy has positive Vega.
B -- OVERVALUED options
in NON-VOLATILE markets
IV% > SV% and SV PctL < 50
Consider option selling strategies:
(reverse calendar spreads, reverse
strangle swaps, option sales, ratio
spreads, short straddles or short
strangles). These strategies have
negative Vega.
E -- OVERVALUED options
in VOLATILE or TRENDING
markets
IV% > SV% and SV PctL > 50
Consider reverse diagonal calendar
spreads. This strategy has negative
Vega.
C – OVERVALUED options
IV% > SV%
If you have a neutral outlook, then
consider at-the-money iron
butterflies or iron condors. These
strategies have negative Vega.
If you have a bullish outlook, then
consider out-of-the-money call
butterflies or call condors. These
strategies have negative Vega.
If you have a bearish outlook, then
consider out-of-the-money put
butterflies or put condors. These
strategies have negative Vega.

When IV PctL < 50, then options are When IV PctL > 50, then options are When IV PctL > 50, then options are
undervalued from a historical overvalued from a historical overvalued from a historical
perspective. perspective. perspective.

This would confirm the This would confirm the overvaluation This would confirm the overvaluation
undervaluation assessment for assessment for markets that are assessment for markets that are
markets that are labeled A and D. labeled B and E. labeled C.

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Learn to Trade Options with Paul at www.TheAceProgram.com or www.TradingOptionsVisually.com

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FUTURES AND OPTIONS TRADING CAN INVOLVE SUBSTANTIAL FINANCIAL RISK

This publication is intended solely for information purposes and is not to be construed, under any circumstances, by
implication or otherwise, as an offer to sell or a solicitation to buy or sell or trade in any commodities or securities herein
named. Information is obtained from sources believed to be reliable, but is in no way guaranteed. No guarantee of any
kind is implied or possible where projections of future conditions are attempted. In no event should the content of this
publication be construed as an express or implied promise, guarantee or implication by or from Paul Forchione that you
will profit or that losses can or will be limited in any manner whatsoever. Past results are no indication of future
performance. All investments are subject to risk, which should be considered prior to making trading decisions.

© 2022
All Rights Reserved There is a substantial risk of loss in trading commodity futures and options. Past performance is not indicative of
future results. Page 2 of 2