PARITY REPORT Crude Oil 2012-01-11

WTI Crude Oil February 100.87 -1.37 (Range 100.55 102.08)

ATM Vol G12 26.2 -0.4 \ H12 31.7 +0.6 \ M12 34.4 +0.3
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.66
Pre-0900-1200: approx ranges: G12 Fut 100.55 (L) 101.81 \
G12 vol 25.3 27.4 \ H12 vol 30.5 31.3 \ M12 vol 34.2 33.7
Mar-Jun $101.00-$101.50straddle spread, traded $8.60 (1110 refs NA)
Feb $103.00-$103.50-$104.00-$104.50 call condor,
traded $0.04 (1045 ref NA)
Mar $80.00 put, traded $0.23 (1120 ref NA)
Mar $88.00-$80.00 put spread, traded $0.50 (1005 ref NA)
Mar $90.00-$85.00 put spread versus $115.00 call (3-way),
traded $0.05 to the call (0940 ref NA)
Mar $90.00 put, traded $0.89 (0905 ref NA)
Mar-Apr $90.00 horizontal put spread hedged $101.50-$101.80,
traded $1.06
Apr $85.00 put hedged $101.50, traded $1.23
Apr $95.00-$110.00 fence hedged $101.80, traded $0.78
Apr $120.00-130.00 call spread, traded $0.46 & $0.44 (0930 ref NA)
May $95.00-$105.00 fence hedged $102.00, traded $1.19
May $80.00-$100.00-$120.00 iron butterfly, traded $11.40 (0955 ref NA)
Jun $115.00-$120.00 call spread hedged $102.00, traded $0.98
Sep $70.00 put hedged $101.70, traded $1.95

Europe and the Euro were back in the headlines and the futures dropped
accordingly. ATM vol traded in a 1% range but closed basically flat on the
day. Puts on the 10-delta line maintained their vol spread versus the ATM
vol, but the corresponding call spread grew by 50bps. This looks bullish for
futures. But let's look at the news Iran is back at the top. This is also
bullish. We're calling for $100 puts (~30d) to stay strong relative to ATM
vol with $105.00 calls (~10d) getting bid as the futures rise.
All numbers are approximate and are intended to be indicative.
0900: $97.00 put
$106.00 call

8 delta tv=$0.22 vol=27.4 G12 ref=$101.41

10 delta put skew = +5.5

1030: $97.00 put
$106.00 call

$106.00 call

10 delta call skew = +0.0

13 delta tv=$0.37 vol=30.8 ATM vol=26.7

5 delta tv=$0.16 vol=27.5 G12 ref=$100.83

10 delta put skew = +4.1

1200: $97.00 put

1200-1430-Post: approx ranges: G12 Fut 100.84 102.08 (H) \

G12 vol 25.3 26.2 H12 vol 30.5 31.7 \ M12 vol 32.5 34.4

11 delta tv=$0.36 vol=32.9 ATM vol=27.4

10 delta call skew = +0.8

8 delta tv=$0.26 vol=31.3 ATM vol=25.3

8 delta tv=$0.19 vol=25.4 G12 ref=$101.91

10 delta put skew = +6.0

10 delta call skew = +0.1

Feb $102.00 same-day call, traded $0.10 (1350 ref NA)

1330: $97.00 put

Feb $95.50-$95.00 put spread, traded $0.03 (1210 ref NA)

Feb $102.50-$105.00 call spread hedged $101.75, traded $0.69
Mar $89.00 put, traded $2.70 (1425 ref NA)
Mar $110.00 call hedged $102.10, traded $1.14
Mar $117.00 call, traded $0.45 (1430 ref NA)

$106.00 call

8 delta tv=$0.25 vol=31.0 ATM vol=25.5

8 delta tv=$0.21 vol=26.5 G12 ref=$101.88

10 delta put skew = +4.5

1430: $97.00 put
$106.00 call

13 delta tv=$0.25 vol=30.7 ATM vol=26.2

5 delta tv=$0.21 vol=28.4 G12 ref=$100.90

10 delta put skew = +4.5

May $100.00-$90.00 put 1x2, traded $0.17 (1210 ref NA)

May $125.00 call, traded $1.13 (1410 ref NA)

10 delta call skew = +1.0

10 delta call skew = +2.2

Apr-Jun $100.00 horizontal put spread, traded $2.38 (1345 refs NA)

Front Month Implied Volatility with Change Plotted

100.0%

8.0%

90.0%

6.0%

80.0%
4.0%

70.0%
60.0%
50.0%

2012-01-11

2.0%

2012-01-10

0.0%

change

40.0%
-2.0%

30.0%

-4.0%
6500
6950
7400
7850
8300
8750
9200
9650
10100
10550
11000
11450
11900
12350

20.0%

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.

Strike

ATM vol was flat on the day, but the call skew on the 10d line showed some strength

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
G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

Crude Oil
2.92
8.04
11.37
14.24
16.49
18.29
19.96
21.40
22.70
23.71
24.50
25.24
25.84
26.30
26.72
27.24
27.75
28.26

G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

26.2%
31.7%
33.4%
34.0%
34.4%
34.4%
34.3%
34.2%
34.0%
33.6%
33.2%
32.7%
32.1%
31.5%
31.1%
30.6%
30.3%
30.1%

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

Crude CSO's
0.13
0.23
0.34
0.42
0.46
0.60
0.69
0.72
0.77
0.80
0.81
0.82
0.83
0.84
0.85
0.87
0.88
0.89

Month
G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

0.1949
0.3438
0.4378
0.5000
0.5590
0.6271
0.6884
0.7527
0.8222
0.8591
0.8872
0.9177
0.9151
0.9095
0.9146
0.9028
0.9105
0.9245

Natural Gas
42.1%
43.9%
41.6%
39.6%
38.4%
38.1%
38.3%
38.8%
39.5%
37.1%
33.5%
32.0%
30.5%
29.5%
29.0%
27.5%
26.6%
26.0%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Feb '12

Mar '12

Apr '12
May '12

Jun '12

Strike
95 P
99 P
100 P
101 C
101.5 C
102 C
103 C
80 P
85 P
90 P
95 P
110 C
115 C
140 C
90 P
120 C
115 C
120 C
122 C
80 P

Settle
0.20
0.74
1.05
1.34
1.11
0.91
0.58
0.23
0.47
0.95
1.87
1.06
0.56
0.11
2.05
0.90
2.38
1.60
1.39
2.01

change
0.02
0.19
0.28
-0.96
-0.87
-0.77
-0.62
0.02
0.05
0.11
0.27
-0.23
-0.08
-0.02
0.19
-0.10
-0.29
-0.17
-0.14
0.17

Parity Value
0.18
0.72
1.03
1.34
1.10
0.89
0.57
0.23
0.47
0.95
1.87
1.04
0.54
0.13
2.05
0.88
2.33
1.55
1.34
2.02

change
-0.01
0.16
0.26
-0.96
-0.88
-0.79
-0.61
0.01
0.04
0.12
0.27
-0.22
-0.08
-0.01
0.17
-0.08
-0.31
-0.18
-0.13
0.14

Parity Vol
34.0%
28.1%
27.0%
26.1%
25.8%
25.6%
25.5%
44.4%
40.9%
37.7%
34.8%
30.7%
32.7%
50.6%
38.2%
33.7%
32.0%
32.5%
32.8%
42.4%

change
-2.7
-1.9
-1.8
-1.6
-1.5
-1.3
-0.7
-0.7
-0.6
-0.3
-0.1
1.2
1.7
2.3
-0.4
1.3
0.3
0.6
0.8
0.0

Parity Delta
-5.4
-26.2
-35.9
51.4
44.4
37.5
25.0
-3.0
-6.4
-13.1
-24.9
14.7
5.4
0.5
-19.4
6.3
18.4
11.0
8.9
-13.4

Volume
6317
1812
5211
1998
2542
2740
2346
2062
3964
5396
1849
2199
2301
4569
3454
1952
2036
3110
5000
2035

High Open Interest Option Contracts with Parity Energy Indications

Month
Mar '12

Jun '12

Dec '12

Strike
70 P
80 P
90 P
95 P
70 P
80 P
85 P
90 P
100 P
140 C
60 P
70 P
80 P
85 P
90 P
100 P

Settle
0.05
0.23
0.95
1.87
0.88
2.01
2.90
4.07
7.48
0.75
1.39
2.75
4.85
6.20
7.77
11.70

change
0.01
0.02
0.11
0.27
0.07
0.17
0.24
0.31
0.50
-0.06
0.07
0.11
0.19
0.24
0.28
0.40

Parity Value
0.05
0.23
0.95
1.87
0.90
2.02
2.89
4.04
7.43
0.73
1.44
2.80
4.84
6.15
7.70
11.65

change
0.00
0.01
0.12
0.27
0.06
0.14
0.20
0.27
0.43
-0.05
0.05
0.08
0.13
0.16
0.20
0.31

Parity Vol
51.4%
44.4%
37.7%
34.8%
46.3%
42.4%
40.5%
38.5%
34.9%
35.9%
44.0%
41.5%
38.7%
37.3%
35.9%
33.3%

change
-0.7
-0.7
-0.3
-0.1
-0.1
0.0
0.0
-0.1
-0.2
0.7
-0.1
-0.1
-0.1
-0.2
-0.2
-0.2

Parity Delta
-0.6
-3.0
-13.1
-24.9
-6.4
-13.4
-18.5
-25.1
-43.4
3.0
-7.1
-12.5
-19.9
-24.5
-29.8
-43.3

Strike OI
27072
29474
27427
27170
26977
42323
35586
32054
27392
27135
25373
25974
53150
25428
38613
62957

120 C

5.09

-0.23

5.03

-0.32

30.4%

0.0

25.1

37593

130 C

3.16

-0.11

3.16

-0.19

30.3%

0.1

14.2

33558

150 C

1.53

-0.05

1.44

-0.08

31.7%

0.2

4.9

49012

Copyright 2011 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