SEPTEMBER 08 HIGH GRADE COPPER - COMEX OPTIONS 06/06/08 days to exp: 81 int. rate: 1.83% calc. imp vol of *: 34.18% strike last imp vol delta gamma theta-7 vega prem iv-skew HGU08 3.6245 5.0000C 0.0070s 35.16 0.03 0.0012 0.00171 0.00127 0.00700 +0.98 4.7500C 0.0150s 35.35 0.06 0.0020 0.00304 0.00215 0.01500 +1.17 4.6000C 0.0225s 35.16 0.09 0.0026 0.00400 0.00278 0.02250 +0.98 4.5000C 0.0300s 35.21 0.11 0.0031 0.00480 0.00329 0.03000 +1.03 4.2500C 0.0580s 35.16 0.19 0.0045 0.00700 0.00467 0.05800 +0.98 4.2000C 0.0660s 35.21 0.21 0.0048 0.00747 0.00496 0.06600 +1.03 4.1500C 0.0745s 35.16 0.23 0.0051 0.00790 0.00523 0.07450 +0.98 4.1000C 0.0835s 35.06 0.25 0.0053 0.00830 0.00548 0.08350 +0.88 4.0500C 0.0935s 34.94 0.28 0.0056 0.00867 0.00573 0.09350 +0.76 4.0000C 0.1045s 34.81 0.30 0.0058 0.00901 0.00596 0.10450 +0.64 3.9500C 0.1165s 34.67 0.33 0.0061 0.00932 0.00617 0.11650 +0.49 3.9000C 0.1300s 34.55 0.35 0.0063 0.00959 0.00636 0.13000 +0.37 3.8500C 0.1445s 34.40 0.38 0.0065 0.00981 0.00651 0.14450 +0.22 3.8000C 0.1605s 34.25 0.41 0.0066 0.00997 0.00664 0.16050 +0.07 3.7500C 0.1785s 34.20 0.45 0.0067 0.01010 0.00673 0.17850 +0.02 3.7000C 0.1985s 34.20 0.48 0.0068 0.01017 0.00678 0.19850 +0.02 3.6500C 0.2200s 34.18* 0.51 0.0068 0.01017 0.00678 0.22000 +0.00 3.6000C 0.2430s 34.13* 0.55 0.0068 0.01007 0.00673 0.21850 -0.05 3.5500C 0.2680s 34.13 0.58 0.0067 0.00992 0.00664 0.19350 -0.05 3.5000C 0.2950s 34.18 0.61 0.0065 0.00969 0.00649 0.17050 +0.00 3.4500C 0.3240s 34.28 0.65 0.0063 0.00941 0.00630 0.14950 +0.10 3.4000C 0.3550s 34.40 0.68 0.0060 0.00906 0.00607 0.13050 +0.22 3.3500C 0.3875s 34.52 0.71 0.0057 0.00864 0.00580 0.11300 +0.34 3.3000C 0.4220s 34.67 0.74 0.0054 0.00817 0.00550 0.09750 +0.49 3.2500C 0.4575s 34.77 0.77 0.0051 0.00764 0.00516 0.08300 +0.59 3.2000C 0.4945s 34.81 0.80 0.0047 0.00706 0.00480 0.07000 +0.64 3.1500C 0.5330s 34.91 0.82 0.0043 0.00646 0.00442 0.05850 +0.73 3.1000C 0.5735s 35.16 0.84 0.0039 0.00590 0.00405 0.04900 +0.98 3.0500C 0.6140s 35.11 0.87 0.0035 0.00523 0.00365 0.03950 +0.93 3.0000C 0.6560s 35.06 0.89 0.0031 0.00457 0.00325 0.03150 +0.88 2.9500C 0.6995s 35.21 0.90 0.0027 0.00399 0.00288 0.02500 +1.03 2.9000C 0.7435s 35.16 0.92 0.0024 0.00338 0.00250 0.01900 +0.98 2.8500C 0.7890s 35.35 0.93 0.0021 0.00287 0.00218 0.01450 +1.17 2.8000C 0.8350s 35.35 0.94 0.0017 0.00235 0.00185 0.01050 +1.17 2.7500C 0.8815s 35.35 0.96 0.0014 0.00188 0.00155 0.00700 +1.17 5.0000P 1.3785s 36.43 0.96 0.0013 0.00155 0.00144 0.00300 +2.25 4.7500P 1.1360s 35.35 0.93 0.0020 0.00265 0.00215 0.01050 +1.17 4.6000P 0.9945s 35.30 0.91 0.0026 0.00371 0.00281 0.01900 +1.12 4.5000P 0.9020s 35.21 0.89 0.0031 0.00450 0.00329 0.02650 +1.03 4.2500P 0.6805s 35.06 0.81 0.0045 0.00674 0.00466 0.05500 +0.88 4.2000P 0.6385s 35.08 0.79 0.0048 0.00722 0.00494 0.06300 +0.90 4.1500P 0.5975s 35.11 0.77 0.0051 0.00770 0.00522 0.07200 +0.93 4.1000P 0.5565s 34.96 0.74 0.0053 0.00810 0.00548 0.08100 +0.78 4.0500P 0.5165s 34.81 0.72 0.0056 0.00847 0.00572 0.09100 +0.64 4.0000P 0.4780s 34.72 0.70 0.0059 0.00885 0.00595 0.10250 +0.54 3.9500P 0.4405s 34.62 0.67 0.0061 0.00919 0.00617 0.11500 +0.44 3.9000P 0.4040s 34.50 0.64 0.0063 0.00948 0.00635 0.12850 +0.32 3.8500P 0.3690s 34.38 0.61 0.0065 0.00972 0.00651 0.14350 +0.20 3.8000P 0.3355s 34.28 0.58 0.0066 0.00991 0.00664 0.16000 +0.10 3.7500P 0.3030s 34.13 0.55 0.0068 0.01003 0.00673 0.17750 -0.05 3.7000P 0.2735s 34.18 0.52 0.0068 0.01014 0.00678 0.19800 +0.00 3.6500P 0.2455s 34.20* 0.48 0.0068 0.01016 0.00678 0.22000 +0.02 3.6000P 0.2190s 34.20* 0.45 0.0068 0.01010 0.00673 0.21900 +0.02 3.5500P 0.1940s 34.18 0.42 0.0067 0.00996 0.00664 0.19400 +0.00 3.5000P 0.1710s 34.18 0.38 0.0065 0.00974 0.00649 0.17100 +0.00 3.4500P 0.1505s 34.33 0.35 0.0063 0.00948 0.00630 0.15050 +0.15 3.4000P 0.1315s 34.42 0.32 0.0060 0.00914 0.00607 0.13150 +0.24 3.3500P 0.1145s 34.57 0.28 0.0057 0.00875 0.00580 0.11450 +0.39 3.3000P 0.0990s 34.72 0.26 0.0054 0.00830 0.00550 0.09900 +0.54 3.2500P 0.0845s 34.77 0.23 0.0051 0.00777 0.00516 0.08450 +0.59 3.2000P 0.0725s 35.01 0.20 0.0047 0.00727 0.00481 0.07250 +0.83 3.1500P 0.0610s 35.06 0.17 0.0043 0.00668 0.00444 0.06100 +0.88 3.1000P 0.0515s 35.25 0.15 0.0039 0.00611 0.00406 0.05150 +1.07 3.0500P 0.0420s 35.16 0.13 0.0035 0.00545 0.00366 0.04200 +0.98 3.0000P 0.0345s 35.25 0.11 0.0031 0.00485 0.00327 0.03450 +1.07 2.9500P 0.0275s 35.11 0.09 0.0027 0.00420 0.00287 0.02750 +0.93 2.9000P 0.0220s 35.16 0.08 0.0024 0.00363 0.00250 0.02200 +0.98 2.7500P 0.0105s 35.35 0.04 0.0014 0.00218 0.00155 0.01050 +1.17