PARITY REPORT Crude Oil 2012-01-18

WTI Crude Oil March 100.76 -0.11 (Range 100.00 101.71)

ATM Vol H12 28.3 -1.7 \ J12 30.8 -1.6 \ M12 32.7 -1.2
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.80
0900-1200: approx ranges: H12 Fut 100.00 (L) 101.71 (H) \
H12 vol 29.5 29.7 \ J12 vol 31.8 32.0 \ M12 vol 33.5 33.7
Apr/May $-0.50 CSO put, traded $0.06
Mar $80.00 put hedged $101.40, traded $0.11
Mar $98.00-$95.00 put 1x1.5 hedged $101.60, traded $0.15
Mar $98.00 put hedged $101.40, traded $1.97
Mar $115.00 call, traded $0.42
Mar $125.00 call, traded $0.22
Mar $135.00 call, traded $0.14
Mar-Apr $95.00 horizontal put spread, traded $0.36 & $0.35
May $150.00 call, traded $0.31
Jun $145.00 call, traded $0.56
Jul $145.00 call, traded $0.76
Dec $150.00 call, hedged $101.00, traded $1.43
1200-1430: approx ranges: H12 Fut 100.20 101.01 \
H12 vol 30.8 31.8 J12 vol 30.8 31.8 \ M12 vol 32.7 33.5
Mar $90.00-$85.00 put 1x2, traded $0.08
Apr $85.00-$80.00 put 1x2, traded $0.10

Front Month Implied Volatility with Change Plotted

57.0%

1.0%

52.0%

0.5%
0.0%

47.0%

-0.5%
42.0%
-1.0%
37.0%

-1.5%
-2.0%

27.0%

-2.5%
6500
7000
7500
8000
8500
9000
9500
10000
10500
11000
11500
12000
12500

32.0%

2012-01-18
2012-01-17
change

Disclaimer: This report, its data and opinions are provided as is and as available and are provided for
general informational and educational purposes only. This report, its data and opinions are not intended to
be a personalized recommendation to buy, hold or sell investments. The report, data and opinions do not
take into account the particular investment objectives, financial situations or needs of individual clients.
Clients should consider whether any advice or recommendation in this research is suitable for their
particular circumstances and, if appropriate, seek professional advice. This is not a solicitation to buy or
sell securities, commodities, options, futures or other derivatives and should not be construed as an
endorsement or recommendation to invest in any such instruments. Prices and information contained in
this report have been obtained from sources, both internal and external, that we consider to be reliable,
but Parity Energy, Inc. has not verified this information and makes no representation or warranty express
or implied as to the completeness, accuracy or correctness of this report or the data and opinions
contained herein. No implied warranty of merchantability or fitness for a particular purpose shall apply.
The price and value of investments referred to in this research may fluctuate rapidly and past
performance is not a guide to future performance. Any statements that are non-factual in nature constitute
only current options, which are subject to change. Clients should verify all claims and do their own
research before investing in any instrument referenced in this publication. Investing in securities and
commodities and in options, futures and other derivatives, is speculative and carries a high degree of risk.
Clients may lose money trading and investing in such investments. Parity Energy Inc. does not accept or
assume any responsibility or liability for itself or any of its employees or agents for any errors or
omissions contained in this report or the data or opinions contained herein or for any losses or damages
incurred or suffered which are claimed to result from this report or the data or opinions contained herein.

Strike

Vol continued to grind down, but calls are starting to get bid up

Kiplin Perkins - Market Data - Parity Energy, Inc.

tel: +1-646-867-1983 / kiplin.perkins@parityenergy.com \ AIM: kiplinparity \ Yahoo: kiplinparity
33 Whitehall Street, 17th Floor, New York, NY 10004

Parity Energy Straddle Values in Dollars with Volatility as of Today's Close

Month
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13

Crude Oil
6.42
9.88
12.84
15.19
16.99
18.72
20.13
21.43
22.82
23.54
24.69
25.55
26.13
26.60
27.17
27.65
28.13
28.60

G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

28.3%
30.8%
31.9%
32.6%
32.8%
32.8%
32.8%
32.6%
32.9%
32.4%
32.5%
32.2%
31.8%
31.3%
30.9%
30.6%
30.3%
30.1%

Months
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13

Crude CSO's
0.05
0.21
0.33
0.40
0.45
0.59
0.68
0.72
0.76
0.79
0.80
0.81
0.82
0.83
0.84
0.86
0.88
0.89

Month
G12
H12
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13

0.1715
0.3348
0.4344
0.5009
0.5671
0.6184
0.6779
0.7384
0.7923
0.8590
0.8840
0.9359
0.9611
0.9850
1.0172
1.0277
1.0415
1.0557

Natural Gas
55.4%
51.8%
47.7%
45.1%
43.9%
42.1%
42.1%
42.3%
42.2%
40.8%
36.3%
35.3%
34.7%
34.6%
35.0%
34.0%
33.0%
32.2%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Mar '12

Apr '12

Jun '12

Dec '15

Strike
80 P
85 P
90 P
95 P
100 P
101 C
110 C
115 C
120 C
125 C
130 C
135 C
80 P
85 P
90 P
100 P
80 P
90 P
95 P
100 C

Settle
0.11
0.23
0.52
1.25
2.85
3.06
0.63
0.36
0.25
0.20
0.15
0.12
0.47
0.86
1.55
4.49
1.67
3.59
5.06
13.16

change
-0.02
-0.06
-0.13
-0.20
-0.18
-0.29
-0.09
-0.03
-0.03
-0.01
-0.01
0.00
-0.11
-0.16
-0.20
-0.21
-0.15
-0.19
-0.21
-0.39

Parity Value
0.10
0.22
0.52
1.25
2.82
3.06
0.61
0.35
0.25
0.20
0.18
0.16
0.46
0.85
1.54
4.46
1.66
3.57
5.02
13.61

change
-0.03
-0.08
-0.14
-0.21
-0.23
-0.29
-0.11
-0.04
-0.02
-0.01
0.00
0.00
-0.11
-0.17
-0.22
-0.25
-0.16
-0.19
-0.21
-0.58

Parity Vol
42.1%
37.9%
34.1%
31.1%
28.6%
28.3%
29.1%
33.3%
38.4%
43.4%
48.4%
53.4%
40.4%
37.7%
35.3%
31.1%
40.5%
36.7%
34.9%
23.9%

change
-1.6
-1.9
-2.1
-2.0
-1.8
-1.7
-0.9
-0.2
0.2
0.5
0.9
1.3
-1.8
-2.0
-2.0
-1.6
-1.3
-1.1
-1.1
0.1

Parity Delta
-1.4
-3.3
-9.0
-21.9
-43.9
50.2
9.0
2.7
1.5
1.0
0.7
0.6
-5.2
-9.7
-17.6
-44.3
-12.0
-24.5
-32.7
44.3

Volume
5391
5109
4067
3420
1596
1771
1894
2222
2814
1641
1779
9230
2314
2855
2491
1874
3362
1930
2454
10000

High Open Interest Option Contracts with Parity Energy Indications

Month
Mar '12

Jun '12

Dec '12

Strike
70 P
80 P
85 P
90 P
95 P
140 C
70 P
80 P
85 P
90 P
100 P
140 C
70 P
80 P
90 P
100 P

Settle
0.02
0.11
0.23
0.52
1.25
0.09
0.67
1.67
2.48
3.59
6.98
0.62
2.56
4.60
7.49
11.43

change
-0.01
-0.02
-0.06
-0.13
-0.20
-0.01
-0.10
-0.15
-0.17
-0.19
-0.18
-0.04
-0.07
-0.09
-0.08
-0.05

Parity Value
0.02
0.10
0.22
0.52
1.25
0.16
0.71
1.66
2.46
3.57
6.92
0.62
2.64
4.65
7.49
11.39

change
0.00
-0.03
-0.08
-0.14
-0.21
0.01
-0.07
-0.16
-0.18
-0.19
-0.23
0.04
-0.10
-0.11
-0.12
-0.12

Parity Vol
50.5%
42.1%
37.9%
34.1%
31.1%
58.4%
44.7%
40.5%
38.6%
36.7%
33.1%
35.8%
40.8%
38.2%
35.3%
32.6%

change
-0.9
-1.6
-1.9
-2.1
-2.0
1.6
-1.0
-1.3
-1.2
-1.1
-1.2
0.7
-0.8
-0.7
-0.7
-0.8

Parity Delta
-0.2
-1.4
-3.3
-9.0
-21.9
0.5
-5.0
-12.0
-17.6
-24.5
-43.4
2.4
-12.2
-19.8
-29.3
-43.4

Strike OI
27736
29399
29050
31378
30979
28511
27221
45959
35840
32458
27723
27053
25975
54501
38036
63247

120 C

4.58

-0.37

4.64

-0.28

29.8%

-0.4

23.8

37626

130 C

2.76

-0.28

2.86

-0.21

29.8%

-0.4

13.4

35540

150 C

1.28

-0.17

1.32

-0.08

31.6%

-0.2

4.0

49010

Copyright 2011 Parity Energy, Inc. All Rights Reserved

Kiplin Perkins - Market Data - Parity Energy, Inc.

tel: +1-646-867-1983 / kiplin.perkins@parityenergy.com \ AIM: kiplinparity \ Yahoo: kiplinparity
33 Whitehall Street, 17th Floor, New York, NY 10004