JANUARY 09 HIGH GRADE COPPER - COMEX OPTIONS 06/06/08 days to exp: 200 int. rate: 1.83% calc. imp vol of *: 33.97% strike last imp vol delta gamma theta-7 vega prem iv-skew HGF09 3.5980 4.2000C 0.1685s 35.03 0.32 0.0038 0.00576 0.00948 0.16850 +1.06 4.1500C 0.1800s 34.99 0.33 0.0039 0.00587 0.00966 0.18000 +1.01 4.1000C 0.1915s 34.86 0.35 0.0040 0.00595 0.00983 0.19150 +0.89 4.0500C 0.2035s 34.73 0.37 0.0040 0.00602 0.00998 0.20350 +0.76 4.0000C 0.2165s 34.62 0.38 0.0041 0.00609 0.01012 0.21650 +0.65 3.9500C 0.2300s 34.47 0.40 0.0042 0.00614 0.01024 0.23000 +0.50 3.9000C 0.2445s 34.35 0.42 0.0042 0.00618 0.01034 0.24450 +0.38 3.8500C 0.2600s 34.23 0.44 0.0043 0.00620 0.01042 0.26000 +0.26 3.8000C 0.2765s 34.12 0.46 0.0043 0.00621 0.01048 0.27650 +0.15 3.7500C 0.2940s 34.01 0.48 0.0044 0.00621 0.01051 0.29400 +0.04 3.7000C 0.3135s 34.01 0.50 0.0044 0.00621 0.01052 0.31350 +0.04 3.6500C 0.3340s 33.98 0.52 0.0044 0.00618 0.01049 0.33400 +0.01 3.6000C 0.3555s 33.97* 0.54 0.0043 0.00614 0.01044 0.35550 +0.00 3.5500C 0.3785s 33.98* 0.57 0.0043 0.00608 0.01035 0.33050 +0.01 3.5000C 0.4020s 33.96 0.59 0.0042 0.00600 0.01023 0.30400 -0.01 3.4500C 0.4280s 34.06 0.61 0.0042 0.00591 0.01008 0.28000 +0.08 3.4000C 0.4555s 34.19 0.63 0.0041 0.00581 0.00990 0.25750 +0.22 3.3500C 0.4835s 34.28 0.65 0.0040 0.00569 0.00969 0.23550 +0.30 3.3000C 0.5135s 34.45 0.67 0.0039 0.00555 0.00945 0.21550 +0.48 3.2500C 0.5440s 34.56 0.69 0.0037 0.00539 0.00918 0.19600 +0.59 3.2000C 0.5755s 34.67 0.71 0.0036 0.00522 0.00889 0.17750 +0.70 3.1500C 0.6080s 34.77 0.73 0.0035 0.00502 0.00857 0.16000 +0.79 3.1000C 0.6420s 34.91 0.75 0.0033 0.00482 0.00824 0.14400 +0.94 3.0500C 0.6760s 34.91 0.77 0.0032 0.00457 0.00787 0.12800 +0.94 3.0000C 0.7110s 34.94 0.79 0.0030 0.00432 0.00749 0.11300 +0.96 2.9500C 0.7470s 34.91 0.81 0.0028 0.00405 0.00709 0.09900 +0.94 2.9000C 0.7840s 34.91 0.82 0.0027 0.00378 0.00667 0.08600 +0.94 2.8500C 0.8220s 34.89 0.84 0.0025 0.00349 0.00625 0.07400 +0.92 2.8000C 0.8610s 34.86 0.86 0.0023 0.00320 0.00581 0.06300 +0.89 2.7500C 0.9015s 34.96 0.87 0.0021 0.00294 0.00540 0.05350 +0.99 2.7000C 0.9425s 34.96 0.88 0.0020 0.00265 0.00497 0.04450 +0.99 2.6500C 0.9845s 35.01 0.90 0.0018 0.00238 0.00455 0.03650 +1.04 2.6000C 1.0275s 35.06 0.91 0.0016 0.00211 0.00414 0.02950 +1.09 2.5500C 1.0715s 35.25 0.92 0.0015 0.00188 0.00377 0.02350 +1.28 2.5000C 1.1160s 35.40 0.93 0.0013 0.00164 0.00340 0.01800 +1.43 4.2000P 0.7635s 34.94 0.67 0.0038 0.00553 0.00947 0.16150 +0.96 4.1500P 0.7255s 34.89 0.66 0.0039 0.00566 0.00966 0.17350 +0.92 4.1000P 0.6875s 34.77 0.64 0.0040 0.00576 0.00982 0.18550 +0.79 4.0500P 0.6500s 34.63 0.62 0.0041 0.00585 0.00998 0.19800 +0.66 4.0000P 0.6135s 34.52 0.61 0.0041 0.00593 0.01012 0.21150 +0.55 3.9500P 0.5775s 34.38 0.59 0.0042 0.00600 0.01024 0.22550 +0.40 3.9000P 0.5430s 34.30 0.57 0.0042 0.00606 0.01034 0.24100 +0.33 3.8500P 0.5085s 34.13 0.55 0.0043 0.00610 0.01042 0.25650 +0.16 3.8000P 0.4760s 34.07 0.53 0.0043 0.00613 0.01048 0.27400 +0.10 3.7500P 0.4440s 33.96 0.51 0.0044 0.00615 0.01051 0.29200 -0.01 3.7000P 0.4140s 33.96 0.49 0.0044 0.00616 0.01052 0.31200 -0.01 3.6500P 0.3855s 33.98 0.47 0.0044 0.00616 0.01049 0.33350 +0.01 3.6000P 0.3575s 33.97* 0.45 0.0043 0.00614 0.01044 0.35550 +0.00 3.5500P 0.3310s 33.98* 0.42 0.0043 0.00610 0.01035 0.33100 +0.01 3.5000P 0.3055s 34.01 0.40 0.0042 0.00604 0.01023 0.30550 +0.04 3.4500P 0.2820s 34.11 0.38 0.0042 0.00597 0.01008 0.28200 +0.13 3.4000P 0.2600s 34.25 0.36 0.0041 0.00589 0.00990 0.26000 +0.28 3.3500P 0.2390s 34.38 0.34 0.0040 0.00579 0.00969 0.23900 +0.40 3.3000P 0.2190s 34.50 0.32 0.0039 0.00567 0.00945 0.21900 +0.52 3.2500P 0.2000s 34.62 0.30 0.0037 0.00553 0.00918 0.20000 +0.65 3.2000P 0.1825s 34.77 0.28 0.0036 0.00537 0.00889 0.18250 +0.79 3.1500P 0.1655s 34.86 0.26 0.0035 0.00519 0.00858 0.16550 +0.89 3.1000P 0.1500s 35.03 0.24 0.0033 0.00501 0.00825 0.15000 +1.06 3.0500P 0.1345s 35.06 0.22 0.0032 0.00479 0.00788 0.13450 +1.09 3.0000P 0.1200s 35.06 0.20 0.0030 0.00455 0.00750 0.12000 +1.09 2.9500P 0.1065s 35.06 0.18 0.0028 0.00430 0.00710 0.10650 +1.09 2.9000P 0.0940s 35.06 0.17 0.0027 0.00405 0.00669 0.09400 +1.09 2.8500P 0.0825s 35.06 0.15 0.0025 0.00378 0.00627 0.08250 +1.09 2.8000P 0.0720s 35.06 0.14 0.0023 0.00352 0.00584 0.07200 +1.09 2.7500P 0.0625s 35.06 0.12 0.0021 0.00325 0.00541 0.06250 +1.09 2.7000P 0.0540s 35.06 0.11 0.0020 0.00298 0.00498 0.05400 +1.09 2.6500P 0.0465s 35.11 0.09 0.0018 0.00273 0.00457 0.04650 +1.13 2.5000P 0.0280s 35.06 0.06 0.0013 0.00197 0.00334 0.02800 +1.09