PARITY REPORT Crude Oil 2012-01-12

WTI Crude Oil February 99.10 -1.77 (Range 98.93 102.98)

ATM Vol G12 25.6 -0.6 \ H12 32.7 +1.0 \ M12 35.1 +0.7
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.60
Pre-0900-1200: approx ranges from open: G12 Fut 101.63 102.98 (H)
Feb $100.00 same-day put, traded $0.08 (0835 ref NA)
Feb $103.00 same-day put, traded $0.10 (0905 ref NA)
Feb $103.00 straddle,
traded $2.60 & again $2.60 (1030 & 1050 refs NA)
Apr $102.50 straddle, traded $9.25 (1025 ref NA)
Dec'13 $99.00 straddle, traded $30.10 (1030 ref NA)
Feb $98.00-$95.00 put 1x2, paper lifted $0.09 (0905 ref NA)
Feb $100.00-$99.00 put 1x2, traded $0.16 (1010 ref NA)
Feb $101.00-$98.00 put spread hedged $102.50, traded $0.48
Feb $102.00 put,
paper lifted $1.45, $1.42, & $1.20 (0900, 0900, & 1100 refs NA)
Feb $103.00 put, paper lifted $1.48 (0945 ref NA)
Feb $97.00-$100.00-$103.00 put butterfly,
traded $0.70 (0940 ref NA)

Europe was considering cutting off Iran's spot market but still honouring
it's ongoing term contracts. This wasn't really a strong stance against Iran to
begin with. But in the afternoon, when Europe announced it was
reconsidering even that limp position, the futures market swooned and
ruined our bullish prediction. We think that the market was looking more at
Europe's fragile economy, and what higher energy prices could do to it,
rather than it's geopolitical clout. But hasn't the market already been pricing
in a European recession? We think the end-off-day fall was a knee-jerk
reaction. In particular, note that ATM vol did not go screaming up. Indeed,
it still looks cheap. We're going to be bold and again call for a rise in
futures to correct for the over-done selloff. Look for $102 calls (30d) to get
bid up.
NB: We had some intermittent data flow problems during Thursday so we'll
not be reporting on vol's behaviour through the day. Apologies.
All numbers are approximate and are intended to be indicative.

Jun $120.00 call hedged $103.50, traded $2.58 & $2.59

Dec'13 $125.00 hedged $102.80, traded $4.48

1430: $95.00 put

$103.00 call

1200-1430-Post: approx ranges to close G12 Fut 98.93 (L) 102.10

10 delta tv=$0.31 vol=32.0 ATM vol=25.6

8 delta tv=$0.20 vol=25.7 G12 ref=$99.10

10 delta put skew = +6.4

10 delta call skew = +0.1

Feb $101.50-$99.50 put 1x2 hedged $102.00, traded $0.17

Mar $95.00-$90.00 put spread hedged $102.25, traded $0.77
Mar $95.00-$100.00-$105.00 call butterfly,
traded $101.00 & $102.00 (1245 ref NA)
Mar $140.00 call, traded $0.15 (1235 ref NA)

141%

Front Month Implied Volatility

121%
101%
2012-01-12

81%

2012-01-11

61%
41%

6500
6900
7300
7700
8100
8500
8900
9300
9700
10100
10500
10900
11300
11700
12100
12500

21%

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

Puts jumped up on the end-off day sell-off and now look expensive

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

Crude Oil
2.60
8.01
11.42
14.26
16.48
18.22
19.66
21.07
22.34
23.79
24.62
25.26
25.89
26.31
26.75
27.30
27.76
28.24

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

25.6%
32.7%
34.4%
34.8%
35.1%
35.0%
34.4%
34.3%
34.0%
34.3%
34.0%
32.5%
31.9%
31.4%
30.9%
30.5%
30.2%
29.9%

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

Crude CSO's
0.12
0.22
0.34
0.41
0.45
0.60
0.69
0.72
0.76
0.80
0.80
0.81
0.83
0.84
0.85
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

0.1878
0.3441
0.4406
0.4999
0.5602
0.6252
0.6828
0.7698
0.8388
0.8819
0.8850
0.9429
0.9569
0.9785
0.9379
0.9199
0.9220
0.9321

Natural Gas
43.1%
45.5%
43.0%
40.5%
39.3%
38.8%
38.7%
40.4%
41.1%
38.7%
33.8%
33.3%
32.4%
32.2%
30.2%
28.5%
27.4%
26.7%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Feb '12

Mar '12

Apr '12
Dec '13

Strike
95 P
97 P
98 P
99 P
100 C
101 C
101.5 C
102 C
103 C
105 C
85 P
90 P
95 P
100 C
115 C
120 C
140 C
90 P
100 C
50 P

Settle
0.25
0.55
0.84
1.23
0.87
0.54
0.43
0.34
0.21
0.10
0.53
1.14
2.25
3.53
0.41
0.26
0.08
2.28
5.29
1.55

change
0.05
0.18
0.31
0.49
-1.05
-0.80
-0.68
-0.57
-0.37
-0.16
0.06
0.19
0.38
-1.07
-0.15
-0.10
-0.03
0.23
-1.10
0.21

Parity Value
0.28
0.57
0.82
1.18
0.80
0.47
0.36
0.28
0.17
0.10
0.60
1.21
2.34
3.60
0.45
0.32
0.16
2.44
5.43
1.44

change
0.10
0.22
0.31
0.46
-1.12
-0.87
-0.74
-0.61
-0.40
-0.14
0.13
0.26
0.47
-0.98
-0.09
-0.03
0.03
0.39
-0.95
0.09

Parity Vol
32.4%
28.8%
27.1%
25.7%
24.8%
24.5%
24.6%
24.8%
26.0%
30.8%
40.9%
37.8%
34.8%
32.4%
35.0%
39.2%
55.6%
38.4%
34.2%
36.4%

change
-1.6
-1.9
-2.2
-2.4
-2.1
-1.6
-1.2
-0.7
0.4
3.8
-0.1
0.0
0.0
0.2
2.3
3.0
5.0
0.2
0.4
0.1

Parity Delta
-9.8
-20.8
-30.7
-44.3
40.1
25.4
19.3
14.1
6.9
1.9
-8.5
-16.5
-30.5
48.2
3.4
1.9
0.5
-23.3
49.9
-6.5

Volume
3107
4151
2322
3686
6331
3288
2191
5375
2367
5246
3676
4752
4168
4247
2093
2594
3840
2177
2607
2600

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

Settle
0.05
0.25
0.53
1.14
2.25
0.93
2.14
3.09
4.35
8.05
0.64
3.04
5.29
6.73
8.40
12.10

change
0.00
0.02
0.06
0.19
0.38
0.05
0.13
0.19
0.28
0.57
-0.11
0.29
0.44
0.53
0.63
-0.75

Parity Value
0.06
0.28
0.60
1.21
2.34
1.01
2.25
3.21
4.47
8.22
0.70
3.09
5.32
6.74
8.39
12.03

change
0.01
0.05
0.13
0.26
0.47
0.11
0.23
0.32
0.43
0.79
-0.03
0.29
0.48
0.59
0.69
-0.77

Parity Vol
50.8%
44.0%
40.9%
37.8%
34.8%
46.3%
42.4%
40.4%
38.5%
35.1%
37.2%
41.9%
39.3%
37.9%
36.5%
33.9%

change
-0.6
-0.4
-0.1
0.0
0.0
0.0
-0.1
-0.1
0.0
0.2
1.3
0.5
0.6
0.6
0.6
0.5

Parity Delta
-0.8
-4.0
-8.5
-16.5
-30.5
-7.2
-15.0
-20.7
-28.0
-48.0
2.7
-14.0
-21.9
-26.5
-31.7
54.2

Strike OI
27153
29790
25887
29495
28416
26999
44348
35636
32772
27489
27137
25975
53250
25428
38087
63157

120 C

4.83

-0.26

4.74

-0.29

31.1%

0.7

23.0

37594

130 C

3.06

-0.10

3.02

-0.14

31.2%

0.9

13.0

33558

150 C

1.51

-0.02

1.43

-0.01

32.7%

1.0

4.7

49012

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