AUGUST 08 HIGH GRADE COPPER - COMEX OPTIONS 06/06/08 days to exp: 52 int. rate: 1.83% calc. imp vol of *: 34.30% strike last imp vol delta gamma theta-7 vega prem iv-skew HGQ08 3.6245 5.0000C 0.0015s 35.16 0.01 0.0005 0.00067 0.00037 0.00150 +0.85 4.7500C 0.0045s 35.55 0.03 0.0012 0.00174 0.00086 0.00450 +1.24 4.5000C 0.0120s 35.45 0.06 0.0025 0.00367 0.00170 0.01200 +1.15 4.3000C 0.0250s 35.40 0.11 0.0039 0.00606 0.00267 0.02500 +1.10 4.2500C 0.0295s 35.30 0.13 0.0044 0.00672 0.00294 0.02950 +1.00 4.2000C 0.0350s 35.25 0.15 0.0048 0.00743 0.00322 0.03500 +0.95 4.1500C 0.0415s 35.25 0.17 0.0052 0.00818 0.00351 0.04150 +0.95 4.1000C 0.0485s 35.16 0.19 0.0057 0.00890 0.00380 0.04850 +0.85 4.0500C 0.0565s 35.01 0.22 0.0062 0.00958 0.00407 0.05650 +0.71 4.0000C 0.0660s 34.96 0.25 0.0066 0.01029 0.00435 0.06600 +0.66 3.9500C 0.0760s 34.72 0.28 0.0070 0.01087 0.00460 0.07600 +0.41 3.9000C 0.0880s 34.62 0.31 0.0074 0.01146 0.00484 0.08800 +0.32 3.8500C 0.1015s 34.52 0.34 0.0078 0.01198 0.00504 0.10150 +0.22 3.8000C 0.1165s 34.38 0.38 0.0081 0.01238 0.00521 0.11650 +0.07 3.7500C 0.1340s 34.35 0.42 0.0083 0.01271 0.00534 0.13400 +0.05 3.7000C 0.1535s 34.35 0.46 0.0084 0.01292 0.00542 0.15350 +0.05 3.6500C 0.1750s 34.33* 0.50 0.0085 0.01297 0.00544 0.17500 +0.02 3.6000C 0.1985s 34.33* 0.55 0.0084 0.01288 0.00541 0.17400 +0.02 3.5500C 0.2240s 34.28 0.59 0.0083 0.01260 0.00531 0.14950 -0.02 3.5000C 0.2525s 34.38 0.63 0.0080 0.01222 0.00515 0.12800 +0.07 3.4500C 0.2830s 34.47 0.67 0.0076 0.01170 0.00494 0.10850 +0.17 3.4000C 0.3155s 34.57 0.71 0.0072 0.01104 0.00468 0.09100 +0.27 3.3500C 0.3500s 34.62 0.75 0.0067 0.01025 0.00438 0.07550 +0.32 3.3000C 0.3870s 34.86 0.78 0.0062 0.00946 0.00405 0.06250 +0.56 3.2500C 0.4250s 34.86 0.81 0.0056 0.00850 0.00368 0.05050 +0.56 3.2000C 0.4650s 35.01 0.84 0.0050 0.00757 0.00331 0.04050 +0.71 3.1500C 0.5065s 35.16 0.87 0.0044 0.00663 0.00294 0.03200 +0.85 3.1000C 0.5495s 35.30 0.89 0.0038 0.00571 0.00257 0.02500 +1.00 3.0500C 0.5935s 35.35 0.91 0.0033 0.00480 0.00221 0.01900 +1.05 3.0000C 0.6385s 35.45 0.93 0.0027 0.00396 0.00187 0.01400 +1.15 2.9500C 0.6845s 35.55 0.94 0.0023 0.00319 0.00156 0.01000 +1.24 2.9000C 0.7315s 35.74 0.95 0.0019 0.00254 0.00129 0.00700 +1.44 2.8500C 0.7790s 35.74 0.97 0.0015 0.00191 0.00103 0.00450 +1.44 2.8000C 0.8270s 35.94 0.97 0.0012 0.00142 0.00082 0.00250 +1.64 2.7500C 0.8760s 36.72 0.98 0.0009 0.00113 0.00069 0.00150 +2.42 5.0000P 1.3755s 25.00 1.00 0.0000 0.00000 0.00000 0.00000 -9.30 4.7500P 1.1275s 35.94 0.97 0.0013 0.00145 0.00090 0.00200 +1.64 4.5000P 0.8850s 35.35 0.94 0.0025 0.00333 0.00169 0.00950 +1.05 4.3000P 0.6985s 35.30 0.89 0.0039 0.00578 0.00266 0.02300 +1.00 4.2500P 0.6535s 35.35 0.87 0.0044 0.00652 0.00294 0.02800 +1.05 4.2000P 0.6090s 35.25 0.85 0.0048 0.00723 0.00322 0.03350 +0.95 4.1500P 0.5655s 35.25 0.83 0.0052 0.00800 0.00351 0.04000 +0.95 4.1000P 0.5225s 35.06 0.80 0.0057 0.00868 0.00379 0.04700 +0.76 4.0500P 0.4805s 34.91 0.78 0.0062 0.00938 0.00407 0.05500 +0.61 4.0000P 0.4400s 34.86 0.75 0.0066 0.01011 0.00434 0.06450 +0.56 3.9500P 0.4005s 34.72 0.72 0.0070 0.01076 0.00460 0.07500 +0.41 3.9000P 0.3630s 34.67 0.69 0.0074 0.01139 0.00484 0.08750 +0.37 3.8500P 0.3265s 34.52 0.65 0.0078 0.01190 0.00504 0.10100 +0.22 3.8000P 0.2915s 34.38 0.62 0.0081 0.01232 0.00521 0.11600 +0.07 3.7500P 0.2590s 34.33 0.58 0.0083 0.01266 0.00534 0.13350 +0.02 3.7000P 0.2285s 34.28 0.54 0.0084 0.01287 0.00542 0.15300 -0.02 3.6500P 0.2000s 34.25* 0.49 0.0085 0.01294 0.00544 0.17450 -0.05 3.6000P 0.1740s 34.30* 0.45 0.0084 0.01288 0.00541 0.17400 +0.00 3.5500P 0.1500s 34.33 0.41 0.0083 0.01265 0.00531 0.15000 +0.02 3.5000P 0.1280s 34.33 0.37 0.0080 0.01225 0.00515 0.12800 +0.02 3.4500P 0.1090s 34.47 0.33 0.0076 0.01176 0.00494 0.10900 +0.17 3.4000P 0.0920s 34.62 0.29 0.0072 0.01114 0.00468 0.09200 +0.32 3.3500P 0.0765s 34.69 0.25 0.0067 0.01038 0.00438 0.07650 +0.39 3.3000P 0.0635s 34.91 0.22 0.0062 0.00959 0.00405 0.06350 +0.61 3.2500P 0.0520s 35.01 0.19 0.0056 0.00869 0.00369 0.05200 +0.71 3.2000P 0.0420s 35.16 0.16 0.0050 0.00778 0.00333 0.04200 +0.85 3.1500P 0.0335s 35.25 0.13 0.0044 0.00684 0.00295 0.03350 +0.95 3.1000P 0.0265s 35.35 0.11 0.0038 0.00592 0.00258 0.02650 +1.05 3.0500P 0.0205s 35.35 0.09 0.0033 0.00500 0.00221 0.02050 +1.05 3.0000P 0.0160s 35.64 0.07 0.0028 0.00425 0.00189 0.01600 +1.34 2.9500P 0.0120s 35.64 0.05 0.0023 0.00346 0.00157 0.01200 +1.34 2.9000P 0.0085s 35.35 0.04 0.0018 0.00267 0.00125 0.00850 +1.05 2.7500P 0.0030s 35.55 0.02 0.0009 0.00121 0.00060 0.00300 +1.24