JULY 08 HIGH GRADE COPPER - COMEX OPTIONS 06/06/08 days to exp: 19 int. rate: 1.83% calc. imp vol of *: 34.93% strike last imp vol delta gamma theta-7 vega prem iv-skew HGN08 3.6230 4.9000C 0.0005s 48.44 0.00 0.0003 0.00042 0.00010 0.00050 +13.50 4.7500C 0.0005s 43.75 0.00 0.0003 0.00039 0.00010 0.00050 +8.82 4.5000C 0.0005s 35.94 0.00 0.0005 0.00039 0.00012 0.00050 +1.00 4.3000C 0.0020s 35.55 0.02 0.0016 0.00169 0.00041 0.00200 +0.61 4.2500C 0.0030s 35.55 0.03 0.0021 0.00239 0.00054 0.00300 +0.61 4.2000C 0.0045s 35.94 0.04 0.0028 0.00351 0.00073 0.00450 +1.00 4.1500C 0.0065s 35.94 0.05 0.0036 0.00475 0.00093 0.00650 +1.00 4.1000C 0.0090s 35.94 0.07 0.0046 0.00628 0.00116 0.00900 +1.00 4.0500C 0.0120s 35.55 0.09 0.0056 0.00784 0.00139 0.01200 +0.61 4.0000C 0.0165s 35.55 0.12 0.0068 0.00996 0.00168 0.01650 +0.61 3.9500C 0.0220s 35.25 0.15 0.0080 0.01209 0.00196 0.02200 +0.32 3.9000C 0.0295s 35.25 0.19 0.0093 0.01461 0.00227 0.02950 +0.32 3.8500C 0.0385s 35.06 0.24 0.0106 0.01700 0.00256 0.03850 +0.12 3.8000C 0.0500s 34.96 0.29 0.0118 0.01932 0.00283 0.05000 +0.03 3.7500C 0.0640s 34.81 0.35 0.0128 0.02125 0.00306 0.06400 -0.12 3.7000C 0.0815s 34.81 0.41 0.0135 0.02273 0.00322 0.08150 -0.12 3.6500C 0.1025s 34.96* 0.48 0.0138 0.02356 0.00329 0.10250 +0.03 3.6000C 0.1265s 34.91* 0.55 0.0137 0.02339 0.00327 0.10350 -0.02 3.5500C 0.1540s 34.91 0.62 0.0132 0.02237 0.00316 0.08100 -0.02 3.5000C 0.1850s 34.96 0.68 0.0123 0.02059 0.00295 0.06200 +0.03 3.4500C 0.2195s 35.06 0.74 0.0111 0.01821 0.00268 0.04650 +0.12 3.4000C 0.2570s 35.16 0.80 0.0097 0.01545 0.00235 0.03400 +0.22 3.3500C 0.2970s 35.16 0.84 0.0082 0.01248 0.00199 0.02400 +0.22 3.3000C 0.3400s 35.55 0.88 0.0067 0.00990 0.00165 0.01700 +0.61 3.2500C 0.3840s 35.35 0.92 0.0052 0.00718 0.00129 0.01100 +0.42 3.2000C 0.4300s 35.35 0.94 0.0039 0.00501 0.00098 0.00700 +0.42 3.1500C 0.4775s 35.94 0.96 0.0029 0.00357 0.00074 0.00450 +1.00 3.1000C 0.5255s 35.94 0.97 0.0020 0.00223 0.00052 0.00250 +1.00 3.0500C 0.5745s 36.72 0.98 0.0015 0.00149 0.00039 0.00150 +1.78 3.0000C 0.6235s 36.72 0.99 0.0009 0.00057 0.00025 0.00050 +1.78 2.9500C 0.6730s 25.00 1.00 0.0000 0.00000 0.00000 0.00000 -9.93 2.9000C 0.7230s 25.00 1.00 0.0000 0.00000 0.00000 0.00000 -9.93 2.8500C 0.7730s 25.00 1.00 0.0000 0.00000 0.00000 0.00000 -9.93 2.8000C 0.8230s 25.00 1.00 0.0000 0.00000 0.00000 0.00000 -9.93 2.7500C 0.8730s 50.00 0.99 0.0005 0.00010 0.00016 0.00000 +15.07 4.9000P 1.2770s 0.00 1.00 0.0000 0.00000 0.00000-0.00000 4.7500P 1.1270s 0.00 1.00 0.0000 0.00000 0.00000-0.00000 4.5000P 0.8770s 0.00 1.00 0.0000 0.00000 0.00000-0.00000 4.3000P 0.6785s 35.94 0.98 0.0016 0.00151 0.00043 0.00150 +1.00 4.2500P 0.6295s 35.94 0.97 0.0022 0.00232 0.00056 0.00250 +1.00 4.2000P 0.5810s 35.94 0.96 0.0028 0.00331 0.00073 0.00400 +1.00 4.1500P 0.5330s 35.94 0.95 0.0036 0.00456 0.00093 0.00600 +1.00 4.1000P 0.4855s 35.84 0.93 0.0046 0.00605 0.00115 0.00850 +0.91 4.0500P 0.4385s 35.45 0.91 0.0056 0.00762 0.00138 0.01150 +0.51 4.0000P 0.3930s 35.45 0.88 0.0068 0.00975 0.00167 0.01600 +0.51 3.9500P 0.3485s 35.16 0.85 0.0080 0.01189 0.00196 0.02150 +0.22 3.9000P 0.3060s 35.16 0.81 0.0093 0.01443 0.00227 0.02900 +0.22 3.8500P 0.2655s 35.16 0.76 0.0106 0.01700 0.00257 0.03850 +0.22 3.8000P 0.2270s 35.01 0.71 0.0118 0.01930 0.00283 0.05000 +0.08 3.7500P 0.1910s 34.86 0.65 0.0128 0.02125 0.00306 0.06400 -0.07 3.7000P 0.1585s 34.86 0.59 0.0135 0.02274 0.00322 0.08150 -0.07 3.6500P 0.1295s 34.96* 0.52 0.0138 0.02355 0.00329 0.10250 +0.03 3.6000P 0.1035s 34.91* 0.45 0.0137 0.02340 0.00327 0.10350 -0.02 3.5500P 0.0810s 34.86 0.38 0.0132 0.02236 0.00316 0.08100 -0.07 3.5000P 0.0620s 34.86 0.32 0.0124 0.02056 0.00295 0.06200 -0.07 3.4500P 0.0465s 34.96 0.26 0.0111 0.01820 0.00268 0.04650 +0.03 3.4000P 0.0345s 35.25 0.20 0.0097 0.01560 0.00235 0.03450 +0.32 3.3500P 0.0245s 35.25 0.16 0.0082 0.01265 0.00200 0.02450 +0.32 3.3000P 0.0170s 35.35 0.12 0.0067 0.00987 0.00164 0.01700 +0.42 3.2500P 0.0115s 35.45 0.08 0.0052 0.00737 0.00130 0.01150 +0.51 3.2000P 0.0075s 35.55 0.06 0.0039 0.00527 0.00099 0.00750 +0.61 3.1500P 0.0050s 35.94 0.04 0.0029 0.00373 0.00074 0.00500 +1.00 3.1000P 0.0030s 35.94 0.03 0.0020 0.00241 0.00052 0.00300 +1.00 3.0500P 0.0020s 36.72 0.02 0.0015 0.00170 0.00039 0.00200 +1.78 3.0000P 0.0010s 35.94 0.01 0.0009 0.00087 0.00023 0.00100 +1.00 2.9500P 0.0005s 35.94 0.01 0.0005 0.00048 0.00014 0.00050 +1.00 2.9000P 0.0005s 37.50 0.00 0.0004 0.00037 0.00011 0.00050 +2.57 2.7500P 0.0005s 46.88 0.00 0.0003 0.00049 0.00011 0.00050 +11.94