PARITY REPORT Crude Oil 2012-01-24

WTI Crude Oil March 98.95 -0.63 (Range 98.25 99.43)

ATM Vol H12 29.1 unch \ J12 31.3 +0.1 \ M12 32.9 unch
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.82
0900-1200: approx ranges: H12 Fut 98.25 (L) 99.25 \
H12 vol 29.1 29.9 \ J12 vol 31.1 31.7 \ M12 vol 32.9 33.4
Jun $99.50 straddle, traded $14.80 (ref NA)
Mar $88.00, traded $0.43 (ref NA)
Mar $98.00-$90.00 put 1x2 hedged $98.30, traded $1.51
Mar $98.00-$90.00 put 1x2, paper hit $1.42 & $1.40 (refs NA)

Well, we did say vol would probably be unch. And it was. All the
excitement seems to have gone over to the natural gas market, where vol
has been jumping on a trampoline. We're still neutral on the direction of
futures and vol, until we see something change. Maybe it will on
Wednesday number day. Fingers crossed.
All numbers are approximate and are intended to be indicative.

Apr $80.00-$70.00 put 1x3, paper hit $0.08 (ref NA)

Apr $75.00 put, traded $0.25 (ref NA)

0900: $89.00 put

10 delta tv=$0.50 vol=35.1 ATM vol=29.9

$106.00 call 12 delta tv=$0.65 vol=30.1 H12 ref=$98.51

Dec $100.00-$135.00 call 1x2 hedged $99.80, paper hit $6.96

Dec'13 $145.00 call, traded $2.65 (ref NA)

10 delta put skew = +5.2

1030: $89.00 put

10 delta call skew = +0.2

8 delta tv=$0.42 vol=34.6 ATM vol=29.1

$106.00 call 13 delta tv=$0.71 vol=29.4 H12 ref=$99.12

1200-1430: approx ranges: H12 Fut 98.49 99.43 (H) \

H12 vol 29.1 29.3 J12 vol 31.1 31.3 \ M12 vol 32.9 33.0
Apr-May $99.00-$99.50 straddle spread, paper lifted $2.95 (refs NA)
Mar $100.00-$103.00 call spread, traded $1.05 (ref NA)

10 delta put skew = +5.5

1200: $89.00 put

9 delta tv=$0.41 vol=34.4 ATM vol=29.1

$106.00 call 13 delta tv=$0.70 vol=29.5 H12 ref=$98.98

10 delta put skew = +5.3

May $105.00 call, traded $3.65 (ref NA)

10 delta call skew = +0.3

1330: $89.00 put

10 delta call skew = +0.4

9 delta tv=$0.46 vol=34.5 ATM vol=29.3

$106.00 call 11 delta tv=$0.65 vol=29.9 H12 ref=$98.68

10 delta put skew = +5.2
1430: $89.00 put

10 delta call skew = +0.6

9 delta tv=$0.42 vol=34.9 ATM vol=29.1

$106.00 call 13 delta tv=$0.71 vol=29.5 H12 ref=$99.03

10 delta put skew = +5.8

10 delta call skew = +0.4

Front Month Implied Volatility with Change Plotted

62.0%

2.0%

57.0%

1.5%

52.0%
47.0%

1.0%

42.0%

0.5%

2012-01-24
2012-01-23
change

37.0%
0.0%

32.0%
27.0%
6500
6950
7400
7850
8300
8750
9200
9650
10100
10550
11000
11450
11900
12350

-0.5%

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
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Clients may lose money trading and investing in such investments. Parity Energy Inc. does not accept or
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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

The smile continued to do pretty much nothing

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
5.77
9.35
12.31
14.71
16.57
18.31
19.77
21.11
22.39
23.21
23.98
24.71
25.23
25.71
26.30
26.79
27.29
27.75

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

29.1%
31.3%
32.1%
32.9%
33.0%
33.0%
32.9%
32.7%
32.7%
32.4%
31.9%
31.4%
30.9%
30.5%
30.1%
29.8%
29.5%
29.2%

Months
J12
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13

Crude CSO's
0.19
0.26
0.35
0.44
0.58
0.67
0.71
0.72
0.74
0.76
0.77
0.79
0.80
0.82
0.84
0.86
0.87
0.89

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

0.1309
0.3345
0.4420
0.5068
0.5689
0.6258
0.6880
0.7630
0.8298
0.8883
0.9307
0.9541
0.9789
0.9903
1.0135
0.9979
1.0059
1.0145

Natural Gas
70.9%
54.5%
48.2%
44.4%
42.3%
40.7%
40.6%
41.6%
42.0%
40.3%
36.7%
34.8%
34.1%
33.6%
33.6%
31.8%
30.7%
29.8%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Mar '12

Apr '12

May '12
Jun '12
Dec '12

Strike
90 P
95 P
98 P
99 C
100 C
103 C
108 C
110 C
70 P
75 P
80 P
90 P
130 C
80 P
90 P
100 C
55 P
95 P
100 P
135 C

Settle
0.53
1.41
2.43
2.82
2.34
1.27
0.49
0.36
0.12
0.25
0.48
1.66
0.26
1.09
3.70
7.33
0.79
9.29
11.42
2.26

change
0.04
0.11
0.18
-0.42
-0.38
-0.25
-0.10
-0.09
0.00
0.03
0.05
0.09
-0.03
0.07
0.11
-0.31
-0.01
0.02
0.02
-0.09

Parity Value
0.52
1.39
2.39
2.86
2.37
1.29
0.50
0.37
0.12
0.24
0.46
1.62
0.28
1.05
3.66
7.37
0.80
9.26
11.41
2.35

change
0.02
0.09
0.16
-0.39
-0.35
-0.23
-0.08
-0.06
0.01
0.02
0.03
0.07
-0.02
0.02
0.04
-0.28
-0.06
0.02
0.03
0.07

Parity Vol
34.2%
31.1%
29.5%
29.1%
28.8%
28.5%
30.7%
32.3%
46.4%
43.3%
40.3%
35.1%
40.8%
39.7%
36.2%
32.9%
43.9%
33.8%
32.5%
30.9%

change
-0.3
-0.2
-0.2
-0.2
-0.1
0.1
0.7
0.9
0.6
0.4
0.2
0.0
0.4
-0.1
-0.2
-0.1
-0.8
0.0
0.0
0.5

Parity Delta
-10.6
-26.5
-42.2
51.5
44.9
26.0
7.7
4.8
-1.3
-2.7
-5.4
-19.9
1.4
-9.8
-26.3
52.2
-4.5
-36.2
-44.4
9.3

Volume
10766
5368
2053
1661
1709
1597
2278
1414
3286
2167
3199
2728
1064
1251
1332
1755
1451
1550
1651
1500

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 C
140 C
80 P
90 P
100 P
120 C

Settle
0.02
0.08
0.20
0.53
1.41
0.03
0.69
1.68
2.53
3.70
7.33
0.56
4.53
7.44
11.42
4.41

change
0.00
0.00
0.02
0.04
0.11
-0.02
0.05
0.07
0.08
0.11
-0.31
-0.05
-0.01
0.01
0.02
-0.12

Parity Value
0.01
0.08
0.19
0.52
1.39
0.06
0.67
1.67
2.50
3.66
7.37
0.56
4.56
7.45
11.41
4.53

change
0.00
0.01
0.00
0.02
0.09
-0.02
0.02
0.04
0.03
0.04
-0.28
-0.06
-0.01
0.02
0.03
0.06

Parity Vol
52.9%
43.0%
38.1%
34.2%
31.1%
60.0%
44.0%
40.0%
38.1%
36.2%
32.9%
37.3%
37.9%
35.2%
32.5%
30.2%

change
1.3
0.4
-0.1
-0.3
-0.2
-0.4
0.3
0.0
-0.1
-0.2
-0.1
-0.3
-0.1
0.0
0.0
0.4

Parity Delta
-0.2
-1.2
-3.3
-10.6
-26.5
0.3
-5.4
-12.7
-18.6
-26.3
52.2
2.2
-20.3
-29.9
-44.4
22.3

Strike OI
27760
29201
33483
36160
28541
29059
28054
33544
37576
39319
27663
27099
54671
37790
63109
37534

130 C

2.73

-0.12

2.88

0.07

30.5%

0.5

12.5

35757

140 C

1.88

-0.09

1.95

0.06

31.4%

0.5

7.1

25966

150 C

1.33

-0.08

1.39

0.03

32.6%

0.4

4.4

49253

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