FEBRUARY 09 HIGH GRADE COPPER - COMEX OPTIONS 06/06/08 days to exp: 235 int. rate: 1.83% calc. imp vol of *: 33.96% strike last imp vol delta gamma theta-7 vega prem iv-skew HGG09 3.5900 4.2000C 0.1935s 35.02 0.33 0.0036 0.00539 0.01045 0.19350 +1.07 4.1500C 0.2050s 34.95 0.35 0.0036 0.00547 0.01062 0.20500 +0.99 4.1000C 0.2170s 34.86 0.36 0.0037 0.00553 0.01077 0.21700 +0.91 4.0500C 0.2290s 34.70 0.38 0.0038 0.00558 0.01090 0.22900 +0.75 4.0000C 0.2420s 34.57 0.40 0.0038 0.00562 0.01102 0.24200 +0.62 3.9500C 0.2555s 34.42 0.41 0.0039 0.00565 0.01113 0.25550 +0.47 3.9000C 0.2705s 34.35 0.43 0.0039 0.00568 0.01122 0.27050 +0.40 3.8500C 0.2855s 34.19 0.45 0.0040 0.00569 0.01129 0.28550 +0.24 3.8000C 0.3020s 34.09 0.47 0.0040 0.00569 0.01133 0.30200 +0.14 3.7500C 0.3190s 33.96 0.48 0.0040 0.00568 0.01136 0.31900 +0.00 3.7000C 0.3385s 33.96 0.50 0.0040 0.00567 0.01135 0.33850 +0.00 3.6500C 0.3590s 33.98 0.52 0.0040 0.00565 0.01132 0.35900 +0.03 3.6000C 0.3800s 33.95* 0.54 0.0040 0.00561 0.01126 0.38000 -0.01 3.5500C 0.4025s 33.96* 0.56 0.0040 0.00556 0.01118 0.36250 +0.00 3.5000C 0.4255s 33.94 0.58 0.0039 0.00549 0.01106 0.33550 -0.02 3.4500C 0.4510s 34.03 0.60 0.0039 0.00542 0.01091 0.31100 +0.08 3.4000C 0.4780s 34.18 0.62 0.0038 0.00534 0.01074 0.28800 +0.22 3.3500C 0.5055s 34.28 0.64 0.0037 0.00524 0.01054 0.26550 +0.32 3.3000C 0.5345s 34.42 0.66 0.0036 0.00513 0.01031 0.24450 +0.47 3.2500C 0.5635s 34.47 0.68 0.0035 0.00499 0.01005 0.22350 +0.52 3.2000C 0.5945s 34.62 0.70 0.0034 0.00485 0.00977 0.20450 +0.66 3.1500C 0.6260s 34.72 0.72 0.0033 0.00469 0.00946 0.18600 +0.76 3.1000C 0.6590s 34.88 0.74 0.0031 0.00453 0.00914 0.16900 +0.92 3.0500C 0.6915s 34.86 0.76 0.0030 0.00432 0.00879 0.15150 +0.91 3.0000C 0.7250s 34.84 0.77 0.0029 0.00411 0.00841 0.13500 +0.88 2.9500C 0.7600s 34.86 0.79 0.0028 0.00389 0.00802 0.12000 +0.91 2.9000C 0.7955s 34.84 0.81 0.0026 0.00365 0.00761 0.10550 +0.88 2.8500C 0.8325s 34.89 0.82 0.0025 0.00342 0.00720 0.09250 +0.93 2.8000C 0.8700s 34.84 0.84 0.0023 0.00317 0.00676 0.08000 +0.88 2.7500C 0.9090s 34.91 0.85 0.0022 0.00294 0.00634 0.06900 +0.96 2.7000C 0.9485s 34.89 0.87 0.0020 0.00269 0.00589 0.05850 +0.93 2.6500C 0.9895s 34.99 0.88 0.0019 0.00246 0.00547 0.04950 +1.03 2.6000C 1.0310s 35.03 0.89 0.0017 0.00222 0.00504 0.04100 +1.08 2.5500C 1.0735s 35.13 0.90 0.0016 0.00199 0.00463 0.03350 +1.18 2.5000C 1.1165s 35.21 0.91 0.0014 0.00176 0.00422 0.02650 +1.25 4.2000P 0.7950s 34.89 0.66 0.0036 0.00515 0.01044 0.18500 +0.93 4.1500P 0.7570s 34.81 0.64 0.0037 0.00525 0.01061 0.19700 +0.86 4.1000P 0.7195s 34.72 0.62 0.0037 0.00533 0.01076 0.20950 +0.76 4.0500P 0.6825s 34.59 0.61 0.0038 0.00540 0.01090 0.22250 +0.64 4.0000P 0.6465s 34.52 0.59 0.0038 0.00547 0.01102 0.23650 +0.57 3.9500P 0.6105s 34.35 0.58 0.0039 0.00551 0.01113 0.25050 +0.40 3.9000P 0.5760s 34.28 0.56 0.0039 0.00556 0.01122 0.26600 +0.32 3.8500P 0.5415s 34.11 0.54 0.0040 0.00558 0.01128 0.28150 +0.15 3.8000P 0.5090s 34.05 0.52 0.0040 0.00561 0.01133 0.29900 +0.09 3.7500P 0.4770s 33.95 0.50 0.0040 0.00562 0.01135 0.31700 -0.01 3.7000P 0.4470s 33.95 0.48 0.0040 0.00563 0.01135 0.33700 -0.01 3.6500P 0.4180s 33.96 0.46 0.0040 0.00563 0.01132 0.35800 +0.00 3.6000P 0.3900s 33.96* 0.44 0.0040 0.00561 0.01126 0.38000 +0.00 3.5500P 0.3630s 33.96* 0.42 0.0040 0.00557 0.01118 0.36300 +0.00 3.5000P 0.3370s 33.97 0.40 0.0039 0.00552 0.01106 0.33700 +0.02 3.4500P 0.3130s 34.07 0.38 0.0039 0.00547 0.01091 0.31300 +0.11 3.4000P 0.2905s 34.20 0.36 0.0038 0.00541 0.01074 0.29050 +0.25 3.3500P 0.2690s 34.35 0.34 0.0037 0.00533 0.01054 0.26900 +0.40 3.3000P 0.2485s 34.50 0.33 0.0036 0.00524 0.01031 0.24850 +0.54 3.2500P 0.2285s 34.58 0.31 0.0035 0.00513 0.01005 0.22850 +0.63 3.2000P 0.2100s 34.72 0.29 0.0034 0.00500 0.00977 0.21000 +0.76 3.1500P 0.1925s 34.86 0.27 0.0033 0.00487 0.00947 0.19250 +0.91 3.1000P 0.1760s 35.01 0.25 0.0031 0.00472 0.00915 0.17600 +1.05 3.0500P 0.1590s 34.99 0.23 0.0030 0.00453 0.00880 0.15900 +1.03 3.0000P 0.1435s 35.03 0.22 0.0029 0.00435 0.00843 0.14350 +1.08 2.9500P 0.1285s 35.01 0.20 0.0027 0.00414 0.00804 0.12850 +1.05 2.9000P 0.1150s 35.03 0.18 0.0026 0.00393 0.00763 0.11500 +1.08 2.8500P 0.1025s 35.06 0.17 0.0025 0.00371 0.00722 0.10250 +1.10 2.8000P 0.0905s 35.03 0.15 0.0023 0.00348 0.00679 0.09050 +1.08 2.7500P 0.0795s 35.01 0.14 0.0022 0.00325 0.00635 0.07950 +1.05 2.7000P 0.0700s 35.06 0.12 0.0020 0.00303 0.00592 0.07000 +1.10 2.6500P 0.0610s 35.06 0.11 0.0019 0.00279 0.00548 0.06100 +1.10 2.5000P 0.0390s 35.11 0.08 0.0014 0.00213 0.00421 0.03900 +1.15