MARCH 09 HIGH GRADE COPPER - COMEX OPTIONS 06/06/08 days to exp: 263 int. rate: 1.83% calc. imp vol of *: 33.93% strike last imp vol delta gamma theta-7 vega prem iv-skew HGH09 3.5810 4.8000C 0.1035s 35.03 0.20 0.0026 0.00390 0.00855 0.10350 +1.10 4.1500C 0.2230s 34.95 0.36 0.0035 0.00519 0.01130 0.22300 +1.02 4.1000C 0.2350s 34.85 0.37 0.0035 0.00524 0.01144 0.23500 +0.92 4.0500C 0.2470s 34.69 0.39 0.0036 0.00527 0.01156 0.24700 +0.76 4.0000C 0.2600s 34.57 0.40 0.0036 0.00530 0.01167 0.26000 +0.64 3.9500C 0.2735s 34.42 0.42 0.0037 0.00532 0.01177 0.27350 +0.49 3.9000C 0.2880s 34.30 0.44 0.0037 0.00534 0.01185 0.28800 +0.37 3.8500C 0.3030s 34.16 0.45 0.0038 0.00534 0.01191 0.30300 +0.22 3.8000C 0.3190s 34.03 0.47 0.0038 0.00534 0.01195 0.31900 +0.10 3.7500C 0.3365s 33.96 0.49 0.0038 0.00533 0.01197 0.33650 +0.03 3.7000C 0.3555s 33.95 0.51 0.0038 0.00532 0.01196 0.35550 +0.02 3.6500C 0.3755s 33.94 0.52 0.0038 0.00530 0.01193 0.37550 +0.01 3.6000C 0.3965s 33.94* 0.54 0.0038 0.00526 0.01187 0.39650 +0.01 3.5500C 0.4185s 33.94* 0.56 0.0038 0.00521 0.01178 0.38750 +0.01 3.5000C 0.4410s 33.91 0.58 0.0037 0.00515 0.01167 0.36000 -0.02 3.4500C 0.4660s 34.00 0.60 0.0037 0.00509 0.01153 0.33500 +0.07 3.4000C 0.4925s 34.14 0.62 0.0036 0.00502 0.01136 0.31150 +0.21 3.3500C 0.5195s 34.25 0.64 0.0035 0.00494 0.01116 0.28850 +0.32 3.3000C 0.5480s 34.40 0.66 0.0034 0.00484 0.01094 0.26700 +0.47 3.2500C 0.5765s 34.47 0.67 0.0034 0.00473 0.01069 0.24550 +0.54 3.2000C 0.6070s 34.62 0.69 0.0033 0.00461 0.01042 0.22600 +0.69 3.1500C 0.6375s 34.69 0.71 0.0032 0.00447 0.01012 0.20650 +0.76 3.1000C 0.6700s 34.88 0.73 0.0030 0.00433 0.00981 0.18900 +0.95 3.0500C 0.7015s 34.85 0.75 0.0029 0.00415 0.00947 0.17050 +0.92 3.0000C 0.7340s 34.81 0.76 0.0028 0.00396 0.00910 0.15300 +0.88 2.9500C 0.7680s 34.85 0.78 0.0027 0.00377 0.00872 0.13700 +0.92 2.9000C 0.8025s 34.81 0.79 0.0026 0.00356 0.00831 0.12150 +0.88 2.8500C 0.8385s 34.86 0.81 0.0024 0.00335 0.00791 0.10750 +0.93 2.8000C 0.8750s 34.84 0.83 0.0023 0.00313 0.00748 0.09400 +0.91 2.7500C 0.9130s 34.89 0.84 0.0022 0.00292 0.00705 0.08200 +0.96 2.7000C 0.9515s 34.89 0.85 0.0020 0.00270 0.00660 0.07050 +0.96 2.6500C 0.9910s 34.91 0.87 0.0019 0.00248 0.00616 0.06000 +0.98 2.6000C 1.0315s 34.94 0.88 0.0017 0.00225 0.00572 0.05050 +1.01 2.5500C 1.0730s 35.01 0.89 0.0016 0.00204 0.00529 0.04200 +1.08 2.5000C 1.1155s 35.16 0.90 0.0015 0.00184 0.00488 0.03450 +1.23 4.8000P 1.3055s 34.91 0.79 0.0026 0.00345 0.00852 0.08650 +0.98 4.1500P 0.7830s 34.81 0.63 0.0035 0.00497 0.01129 0.21400 +0.88 4.1000P 0.7455s 34.70 0.61 0.0036 0.00503 0.01143 0.22650 +0.77 4.0500P 0.7085s 34.57 0.60 0.0036 0.00509 0.01156 0.23950 +0.64 4.0000P 0.6725s 34.48 0.58 0.0037 0.00514 0.01167 0.25350 +0.55 3.9500P 0.6365s 34.33 0.57 0.0037 0.00518 0.01177 0.26750 +0.40 3.9000P 0.6020s 34.23 0.55 0.0037 0.00522 0.01185 0.28300 +0.30 3.8500P 0.5675s 34.08 0.53 0.0038 0.00524 0.01191 0.29850 +0.15 3.8000P 0.5345s 33.98 0.52 0.0038 0.00525 0.01195 0.31550 +0.05 3.7500P 0.5025s 33.90 0.50 0.0038 0.00526 0.01197 0.33350 -0.03 3.7000P 0.4725s 33.91 0.48 0.0038 0.00527 0.01196 0.35350 -0.02 3.6500P 0.4435s 33.94 0.46 0.0038 0.00527 0.01193 0.37450 +0.01 3.6000P 0.4150s 33.91* 0.44 0.0038 0.00525 0.01187 0.39600 -0.02 3.5500P 0.3880s 33.95* 0.43 0.0038 0.00523 0.01178 0.38800 +0.02 3.5000P 0.3615s 33.94 0.41 0.0037 0.00518 0.01167 0.36150 +0.01 3.4500P 0.3375s 34.07 0.39 0.0037 0.00515 0.01153 0.33750 +0.14 3.4000P 0.3145s 34.20 0.37 0.0036 0.00510 0.01136 0.31450 +0.27 3.3500P 0.2920s 34.29 0.35 0.0035 0.00502 0.01116 0.29200 +0.36 3.3000P 0.2715s 34.47 0.33 0.0034 0.00495 0.01094 0.27150 +0.54 3.2500P 0.2510s 34.57 0.31 0.0033 0.00486 0.01069 0.25100 +0.64 3.2000P 0.2320s 34.72 0.29 0.0032 0.00476 0.01042 0.23200 +0.79 3.1500P 0.2135s 34.84 0.28 0.0031 0.00464 0.01013 0.21350 +0.91 3.1000P 0.1965s 35.00 0.26 0.0030 0.00452 0.00982 0.19650 +1.07 3.0500P 0.1790s 35.01 0.24 0.0029 0.00436 0.00948 0.17900 +1.08 3.0000P 0.1620s 34.99 0.23 0.0028 0.00419 0.00911 0.16200 +1.06 2.9500P 0.1465s 34.99 0.21 0.0027 0.00401 0.00873 0.14650 +1.06 2.9000P 0.1320s 35.01 0.19 0.0026 0.00383 0.00834 0.13200 +1.08 2.8500P 0.1185s 35.03 0.18 0.0024 0.00364 0.00793 0.11850 +1.10 2.8000P 0.1055s 35.01 0.16 0.0023 0.00343 0.00750 0.10550 +1.08 2.7500P 0.0940s 35.03 0.15 0.0022 0.00323 0.00707 0.09400 +1.10 2.7000P 0.0830s 35.03 0.13 0.0020 0.00303 0.00663 0.08300 +1.10 2.6500P 0.0730s 35.03 0.12 0.0019 0.00282 0.00618 0.07300 +1.10 2.5000P 0.0480s 35.01 0.09 0.0015 0.00220 0.00486 0.04800 +1.08