PARITY REPORT Crude Oil 2012-03-21

WTI Crude Oil May 107.27 +1.20 (Range 106.15 107.64)

ATM Vol K12 24.3 -1.1 \ M12 26.4 -0.6 \ N12 26.8 -0.8
Tomorrow's Expected 1-StdDev Range for K12: +/-$1.64
0900-1200:
May $106.50 straddle, traded $5.70 (ref NA)
Jun $107.00 straddle, traded $9.00 (ref NA)
Jul $107.50 straddle, traded $11.35 (ref NA)
Dec $108.00 straddle hedged $108.20, paper hit $19.45
Jun-Dec $107.00-$108.00 straddle spread, traded $10.45
May $94.00-$118.00 strangle hedged $107.50, paper hit $12.80
May $95.00-$90.00 put spread hedged $106.25, traded $0.21
May $100.00-$95.00 put spread hedged $106.40, traded $0.55
May $103.00-$100.00 put spread, traded $0.69 (0920 ref NA)
May $110.00 call, traded $1.42 (ref NA)
Jun $65.00 put, paper lifted $0.03 (0935 ref $106.95)
Jun $100.00 put hedged $107.00, paper hit $2.07
Jun $105.00 put hedged $107.00, traded $3.70
Jul $65.00 put, traded $0.07 (935 ref $107.38)
Jul $90.00 put hedged $107.25, paper lifted $1.09
Sep $75.00 put, paper lifted $0.56 (0945 ref $107.99)
Sep $95.00-$75.00 put spread hedged $107.90, traded $2.60
Dec'13 $140.00 call hedged $104.40, paper hit $3.30
1200-1430:
Jun $108.00 straddle, traded $9.00
Aug $108.00 straddle, traded $13.25
May $115.00-$120.00 call spread, traded $0.36 (ref NA)
Jun $135.00-$150.00 call spread, traded $0.14 (ref NA)
Sep $77.00 put, traded $0.61 and $0.62 (ref NA)
Sep $140.00 call hedged $108.75, traded $0.94
Dec $120.00-$145.00 call spread hedged $108.60, traded $2.13

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

Crude Oil
5.76
9.03
11.30
13.31
15.15
16.75
18.16
19.37
20.43
21.53
22.27
22.95
23.64
24.20
24.69
25.13
25.52
26.00

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

24.3%
26.3%
26.8%
26.9%
27.4%
27.4%
27.6%
27.7%
27.5%
27.4%
27.1%
26.9%
26.6%
26.4%
26.1%
25.8%
25.6%
25.3%

Months
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13
V13
X13

Crude CSO's
0.22
0.34
0.44
0.54
0.55
0.58
0.65
0.63
0.62
0.64
0.68
0.76
0.82
0.85
0.88
0.88
0.87
0.89

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

0.1166
0.2748
0.3706
0.4542
0.5286
0.6082
0.6826
0.7308
0.7671
0.8260
0.8524
0.8754
0.8804
0.9071
0.9416
0.9724
1.0020
1.0408

Natural Gas
44.7%
44.8%
42.9%
41.5%
41.5%
42.3%
42.9%
39.5%
34.9%
34.3%
33.4%
33.1%
32.3%
31.7%
31.2%
30.8%
30.7%
30.9%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
May '12

Jun '12

Jul '12
Sep '12
Dec '12
Dec '14

Strike
90 P
95 P
99 P
100 P
105 P
107 P
110 C
112 C
120 C
95 P
100 P
104 P
107 P
110 C
95 P
90 P
130 C
108.5 P
145 C
175 C

Settle
0.10
0.26
0.61
0.74
1.92
2.72
1.65
1.07
0.22
0.95
1.83
2.96
4.15
3.45
1.61
2.01
1.66
9.50
1.52
1.76

change
-0.04
-0.10
-0.19
-0.24
-0.55
-0.72
0.25
0.14
-0.01
-0.23
-0.36
-0.52
-0.66
0.38
-0.28
-0.28
0.03
-0.66
-0.02
0.02

Parity Value
0.11
0.28
0.63
0.76
1.95
2.76
1.68
1.08
0.22
0.95
1.84
2.99
4.18
3.44
1.63
2.05
1.64
9.57
1.41
1.63

change
-0.01
-0.07
-0.18
-0.23
-0.56
-0.73
0.21
0.09
-0.05
-0.21
-0.34
-0.48
-0.61
0.34
-0.26
-0.25
-0.05
-0.61
-0.10
-0.08

Parity Vol
33.6%
30.2%
28.0%
27.5%
25.1%
24.4%
23.7%
23.5%
26.3%
30.4%
28.6%
27.4%
26.6%
25.9%
30.7%
32.6%
27.4%
27.7%
28.3%
23.9%

change
1.0
0.6
0.3
0.2
-0.6
-1.0
-1.6
-2.0
-3.1
-0.4
-0.4
-0.4
-0.5
-0.6
-0.4
-0.5
-1.2
-0.6
-1.2
-0.6

Parity Delta
-1.8
-5.4
-12.3
-14.8
-35.0
-46.6
35.0
24.2
3.1
-12.6
-23.0
-34.7
-45.6
42.2
-15.9
-14.2
10.5
-45.4
5.5
3.9

Volume
4139
4799
1640
3713
2569
2957
5937
1416
4454
5782
6375
1509
2092
2514
1423
2575
1502
2300
1600
2500

High Open Interest Option Contracts with Parity Energy Indications

Month
May '12
Jun '12

Dec '12

Strike
120 C
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

Settle
0.22
0.12
0.23
0.48
0.95
1.83
0.95
0.22
0.32
1.83
2.56
3.50
4.67
6.15
9.01
5.10

change
-0.01
-0.04
-0.08
-0.13
-0.23
-0.36
0.07
0.01
-0.05
-0.20
-0.27
-0.33
-0.40
-0.49
0.27
0.11

Parity Value
0.22
0.12
0.24
0.47
0.95
1.84
0.95
0.19
0.37
1.85
2.57
3.51
4.70
6.19
9.05
5.08

change
-0.05
-0.03
-0.06
-0.13
-0.21
-0.34
0.04
-0.04
-0.04
-0.22
-0.29
-0.35
-0.41
-0.47
0.26
0.07

Parity Vol
26.3%
37.4%
34.8%
32.4%
30.4%
28.6%
26.5%
34.6%
40.9%
35.0%
33.6%
32.3%
31.0%
29.7%
27.5%
26.4%

change
-3.1
-0.1
-0.4
-0.5
-0.4
-0.4
-1.1
-2.3
-0.2
-0.6
-0.7
-0.6
-0.6
-0.5
-0.6
-0.8

Parity Delta
3.1
-1.4
-2.8
-6.2
-12.6
-23.0
11.0
1.2
-2.2
-9.9
-13.6
-18.3
-23.9
-30.4
51.4
31.2

Strike OI
26178
36769
35791
33243
32864
45951
26259
30458
26562
61849
28007
39216
26615
68823
29693
39936

125 C

3.80

0.06

3.78

-0.01

26.2%

-0.9

22.8

26258

130 C

2.91

0.02

2.84

-0.06

26.4%

-1.0

16.2

38251

150 C

1.25

-0.03

1.19

-0.09

29.2%

-1.2

4.0

56397

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