OCTOBER 08 HIGH GRADE COPPER - COMEX OPTIONS 06/06/08 days to exp: 111 int. rate: 1.83% calc. imp vol of *: 34.09% strike last imp vol delta gamma theta-7 vega prem iv-skew HGV08 3.6200 5.2500C 0.0090s 35.25 0.03 0.0011 0.00162 0.00160 0.00900 +1.16 5.0000C 0.0160s 35.06 0.06 0.0016 0.00246 0.00239 0.01600 +0.96 4.7500C 0.0290s 35.11 0.10 0.0024 0.00367 0.00347 0.02900 +1.01 4.5000C 0.0510s 35.16 0.15 0.0033 0.00515 0.00476 0.05100 +1.06 4.2500C 0.0860s 35.11 0.23 0.0043 0.00671 0.00612 0.08600 +1.01 4.2000C 0.0955s 35.16 0.25 0.0045 0.00703 0.00638 0.09550 +1.06 4.1500C 0.1050s 35.06 0.27 0.0047 0.00729 0.00662 0.10500 +0.96 4.1000C 0.1155s 35.01 0.29 0.0049 0.00756 0.00685 0.11550 +0.92 4.0500C 0.1260s 34.79 0.31 0.0051 0.00775 0.00706 0.12600 +0.70 4.0000C 0.1385s 34.77 0.33 0.0052 0.00798 0.00726 0.13850 +0.67 3.9500C 0.1510s 34.57 0.36 0.0054 0.00814 0.00744 0.15100 +0.48 3.9000C 0.1655s 34.50 0.38 0.0055 0.00830 0.00759 0.16550 +0.40 3.8500C 0.1805s 34.35 0.41 0.0056 0.00842 0.00772 0.18050 +0.26 3.8000C 0.1970s 34.23 0.43 0.0057 0.00850 0.00782 0.19700 +0.13 3.7500C 0.2145s 34.08 0.46 0.0058 0.00854 0.00789 0.21450 -0.01 3.7000C 0.2345s 34.08 0.49 0.0058 0.00857 0.00792 0.23450 -0.01 3.6500C 0.2560s 34.08* 0.52 0.0058 0.00855 0.00791 0.25600 -0.01 3.6000C 0.2790s 34.11* 0.55 0.0058 0.00850 0.00786 0.25900 +0.01 3.5500C 0.3030s 34.06 0.58 0.0057 0.00837 0.00777 0.23300 -0.04 3.5000C 0.3290s 34.08 0.60 0.0056 0.00822 0.00763 0.20900 -0.01 3.4500C 0.3570s 34.18 0.63 0.0055 0.00803 0.00746 0.18700 +0.09 3.4000C 0.3870s 34.35 0.66 0.0053 0.00782 0.00724 0.16700 +0.26 3.3500C 0.4180s 34.45 0.69 0.0051 0.00754 0.00699 0.14800 +0.35 3.3000C 0.4505s 34.57 0.72 0.0049 0.00723 0.00671 0.13050 +0.48 3.2500C 0.4840s 34.62 0.74 0.0046 0.00686 0.00640 0.11400 +0.52 3.2000C 0.5195s 34.79 0.77 0.0043 0.00650 0.00606 0.09950 +0.70 3.1500C 0.5560s 34.91 0.79 0.0041 0.00609 0.00571 0.08600 +0.82 3.1000C 0.5940s 35.06 0.81 0.0038 0.00567 0.00534 0.07400 +0.96 3.0500C 0.6325s 35.06 0.83 0.0035 0.00520 0.00494 0.06250 +0.96 3.0000C 0.6720s 35.06 0.85 0.0032 0.00472 0.00453 0.05200 +0.96 2.9500C 0.7130s 35.11 0.87 0.0029 0.00425 0.00413 0.04300 +1.01 2.9000C 0.7550s 35.11 0.89 0.0026 0.00377 0.00373 0.03500 +1.01 2.8500C 0.7980s 35.16 0.90 0.0023 0.00331 0.00334 0.02800 +1.06 2.8000C 0.8415s 35.06 0.92 0.0021 0.00284 0.00294 0.02150 +0.96 2.7500C 0.8865s 35.16 0.93 0.0018 0.00243 0.00259 0.01650 +1.06 5.2500P 1.6330s 37.11 0.95 0.0012 0.00148 0.00190 0.00300 +3.02 5.0000P 1.3895s 35.55 0.93 0.0017 0.00211 0.00247 0.00950 +1.45 4.7500P 1.1530s 35.21 0.90 0.0024 0.00330 0.00348 0.02300 +1.11 4.5000P 0.9255s 35.06 0.84 0.0033 0.00481 0.00475 0.04550 +0.96 4.2500P 0.7120s 35.01 0.76 0.0043 0.00646 0.00610 0.08200 +0.92 4.2000P 0.6715s 35.01 0.75 0.0045 0.00678 0.00637 0.09150 +0.92 4.1500P 0.6315s 34.99 0.73 0.0047 0.00708 0.00661 0.10150 +0.89 4.1000P 0.5920s 34.86 0.71 0.0049 0.00734 0.00684 0.11200 +0.77 4.0500P 0.5535s 34.79 0.68 0.0051 0.00760 0.00706 0.12350 +0.70 4.0000P 0.5155s 34.62 0.66 0.0052 0.00781 0.00726 0.13550 +0.52 3.9500P 0.4790s 34.55 0.64 0.0054 0.00802 0.00744 0.14900 +0.45 3.9000P 0.4435s 34.45 0.61 0.0055 0.00819 0.00759 0.16350 +0.35 3.8500P 0.4085s 34.25 0.59 0.0056 0.00831 0.00772 0.17850 +0.16 3.8000P 0.3755s 34.16 0.56 0.0057 0.00842 0.00782 0.19550 +0.06 3.7500P 0.3440s 34.11 0.53 0.0058 0.00850 0.00789 0.21400 +0.01 3.7000P 0.3140s 34.06 0.51 0.0058 0.00853 0.00792 0.23400 -0.04 3.6500P 0.2860s 34.11* 0.48 0.0058 0.00855 0.00791 0.25600 +0.01 3.6000P 0.2590s 34.08* 0.45 0.0058 0.00850 0.00786 0.25900 -0.01 3.5500P 0.2335s 34.08 0.42 0.0057 0.00840 0.00777 0.23350 -0.01 3.5000P 0.2100s 34.13 0.39 0.0056 0.00827 0.00763 0.21000 +0.04 3.4500P 0.1880s 34.18 0.36 0.0055 0.00809 0.00746 0.18800 +0.09 3.4000P 0.1685s 34.38 0.33 0.0053 0.00790 0.00724 0.16850 +0.28 3.3500P 0.1495s 34.45 0.31 0.0051 0.00763 0.00699 0.14950 +0.35 3.3000P 0.1325s 34.62 0.28 0.0049 0.00735 0.00671 0.13250 +0.52 3.2500P 0.1165s 34.69 0.25 0.0046 0.00701 0.00640 0.11650 +0.60 3.2000P 0.1025s 34.91 0.23 0.0043 0.00668 0.00607 0.10250 +0.82 3.1500P 0.0890s 34.96 0.21 0.0041 0.00627 0.00571 0.08900 +0.87 3.1000P 0.0775s 35.16 0.18 0.0038 0.00588 0.00534 0.07750 +1.06 3.0500P 0.0660s 35.16 0.16 0.0035 0.00543 0.00495 0.06600 +1.06 3.0000P 0.0560s 35.16 0.14 0.0032 0.00496 0.00455 0.05600 +1.06 2.9500P 0.0470s 35.16 0.12 0.0029 0.00449 0.00414 0.04700 +1.06 2.9000P 0.0390s 35.11 0.11 0.0026 0.00402 0.00373 0.03900 +1.01 2.7500P 0.0215s 35.21 0.06 0.0018 0.00275 0.00259 0.02150 +1.11