commodities - futures curves and implied volatility surfaces - futures and etfs
DESCRIPTION
Commodities and Natural Resources Commodities can be an efficient contributor to portfolio performance over a wide range of risk levels, as the asset class provides potent diversification at the total portfolio level. Although risk premia on commodity futures and equity markets are comparable, commodity futures’ returns display different behavior over the business cycle than traditional asset classes; resulting in negatively correlated returns with equity and fixed income. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation. Those attributes make the asset class attractive from a total portfolio standpoint. Additionally, clients investing in hard and soft commodities can potentially profit from the increasing demand for these resources across the developed and developing world, and earn a risk premium for providing liquidity to the markets. Still, commodity markets are volatile and only managers with acute expertise in the field may offer attractive returns as each market has its own characteristics and dynamics. Commodity investment programs must therefore be carefully designed, as there are opportunities to invest actively or passively, tactically or strategically, with leverage or without leverage. In this context, QMS Advisors can help guide investors allocate to the asset class efficiently and explore the many alternatives. Similarly, designing a timber investment program is a custom solution driven by an investor's particular needs and investment objectives. Sophisticated investors have long profited from investments in timber as an adjunct to their real estate investments. Timber is unique among natural resources as timberland continually produces a commodity over time and offers embedded real options (mainly the option to postpone the harvesting time), while investments in natural resources like oil and gas are depleted over time. Like real estate, timber can be an income generating investment or a source of long term capital appreciation. Investments in real estate, natural resources and commodities all present the advantage of having very low to insignificant correlation in returns when compared to traditional equity and fixed income investments. This allows for greater return diversification in addition to the possibility of higher overall returns. RSA CANOLA (WCE) CCA COCOA FUTURE KCA COFFEE 'C' FUTURE C A CORN FUTURE CTA COTTON NO.2 JOA FCOJ-A FUTURE LBA LUMBER FUTURE O A OAT FUTURE RRA ROUGH RICE (CBOT) S A SOYBEAN FUTURE SMA SOYBEAN MEAL BOA SOYBEAN OIL SBA SUGAR #11 (WORLD) W A WHEAT FUTURE(CBT) KWA WHEAT FUTURE(KCB) OLA WOOL FUTURE (SFE) FCA CATTLE FEEDER FUT LHA LEAN HOGS FUTURE LCA LIVE CATTLE CLA WTI CRUDE FUTURE COA BRENT CRUDE XBA GASOLINE RBOB FUT HOA HEATING OIL QSA GAS OIL FUT (ICE) NGA NATURAL GAS GCA GOLD 100 OZ SIA SILVER FUTURE PLA PLATINUM FUTURE PAA PALLADIUM FUTURE LAA LME PRI ALUM LPATRANSCRIPT
24.09.2012
Ticker Name ATM RefConvenience Yield (%
p.a.)
ATM Vol - 30D
ATM Vol - 60D
ATM Vol - 90D
ATM Vol - 6M
ATM Vol - 12M
ATM Vol - 18M
ATM Vol - 24M
Skew (a) - 30D
Skew (a) - 60D
Skew (a) - 90D
Skew (a) - 6M
Skew (a) - 12M
Skew (a) - 18M
Skew (a) - 24M
Skew (b) - 30D
Skew (b) - 60D
Skew (b) - 90D
Skew (b) - 6M
Skew (b) - 12M
Skew (b) - 18M
Skew (b) - 24M
RSA Comdty CANOLA FUTR (WCE) Nov12 608.90 16.05 16.13 15.71 16.24 16.93 0.116 -0.041 0.157 0.076 0.021 -0.004 -0.002 -0.001 -0.001 0.000
CCA Comdty COCOA FUTURE Dec12 2469.00 29.34 30.19 30.01 28.93 28.91 0.086 0.035 0.037 0.036 0.072 -0.001 0.000 0.000 0.000 0.000
KCA Comdty COFFEE 'C' FUTURE Dec12 169.30 31.67 31.18 30.11 29.38 28.91 28.42 0.046 0.093 0.096 0.064 0.010 -0.028 -0.003 -0.001 -0.001 0.000 0.000 0.000
C A Comdty CORN FUTURE Dec12 744.50 26.02 26.02 26.06 26.06 24.67 22.75 22.24 0.160 0.160 0.162 0.136 0.035 0.011 0.021 0.000 0.000 0.000 0.000 0.000 0.000 0.000
CTA Comdty COTTON NO.2 FUTR Dec12 72.92 28.21 27.92 27.57 26.09 23.27 21.86 20.34 -0.045 -0.033 -0.025 -0.009 -0.026 -0.048 -0.050 -0.002 -0.001 -0.001 0.000 0.000 0.000 0.000
JOA Comdty FCOJ-A FUTURE Nov12 120.55 48.07 39.70 42.17 40.27 36.54 32.19 29.14 0.090 0.034 -0.068 -0.011 0.001 0.001 0.000 0.001 0.000 0.001 0.000 0.000 0.000 0.000
LBA Comdty LUMBER FUTURE Nov12 278.00 27.97 23.87 19.89 16.08 -0.047 -0.047 -0.011 -0.005 -0.005 -0.003 -0.003 -0.002
O A Comdty OAT FUTURE Dec12 370.25 26.44 26.44 25.54 23.40 23.40 0.159 0.159 0.165 0.180 0.180 -0.001 -0.001 0.000 0.000 0.000
RRA Comdty ROUGH RICE (CBOT) Nov12 15.24 17.55 16.89 16.11 17.69 0.209 0.183 0.150 0.000 -0.002 -0.002 -0.002 0.000
S A Comdty SOYBEAN FUTURE Nov12 1604.00 24.38 23.96 23.45 23.26 22.63 0.125 0.153 0.188 0.176 0.078 -0.001 -0.001 -0.002 -0.001 0.000
SMA Comdty SOYBEAN MEAL FUTR Dec12 483.20 26.02 26.03 24.29 23.91 22.88 0.188 0.187 0.150 0.133 0.073 -0.002 -0.001 -0.001 -0.001 -0.001
BOA Comdty SOYBEAN OIL FUTR Dec12 53.75 20.36 19.96 19.48 20.34 19.02 0.194 0.171 0.144 0.135 0.000 -0.002 -0.002 -0.001 0.000 0.000
SBA Comdty SUGAR #11 (WORLD) Mar13 20.28 25.21 25.52 25.37 24.95 22.11 21.28 20.74 0.071 0.051 0.045 0.007 0.006 0.000 -0.013 -0.003 -0.003 0.000 -0.001 0.000 0.000 0.000
W A Comdty WHEAT FUTURE(CBT) Dec12 891.00 30.63 29.57 29.25 28.32 26.77 0.188 0.194 0.184 0.135 0.042 -0.001 0.000 0.000 0.000 0.000
KWA Comdty WHEAT FUTURE(KCB) Dec12 918.00 23.89 29.22 29.50 28.00 -0.931 0.032 0.115 0.012 -0.007 -0.001 0.000 0.000
FCA Comdty CATTLE FEEDER FUT Nov12 148.70 8.68 10.32 10.70 -0.158 -0.180 -0.173 -0.007 -0.005 -0.003
LHA Comdty LEAN HOGS FUTURE Dec12 74.98 18.41 19.15 19.85 19.11 16.38 0.010 -0.032 -0.070 -0.076 -0.107 -0.003 -0.002 -0.001 0.000 0.000
LCA Comdty LIVE CATTLE FUTR Dec12 128.48 11.14 11.58 11.55 11.13 11.04 -0.152 -0.215 -0.214 -0.178 -0.122 -0.005 -0.002 -0.001 -0.001 -0.001
CLA Comdty WTI CRUDE FUTURE Nov12 91.83 29.71 31.59 32.07 32.00 29.47 27.01 24.99 -0.183 -0.150 -0.148 -0.134 -0.003 -0.081 -0.074 -0.001 0.000 0.000 0.000 0.000 0.000 0.000
COA Comdty BRENT CRUDE FUTR Nov12 109.93 28.88 29.92 30.75 30.99 29.40 27.28 25.33 -0.130 -0.129 -0.171 -0.149 -0.184 -0.099 -0.078 0.000 0.000 0.000 0.000 -0.001 0.000 0.000
XBA Comdty G A S O L I N E R B O B F U T O c t 1 2 292.66 29.90 31.73 30.87 28.29 28.02 28.02 28.02 -0.028 -0.015 -0.003 -0.005 0.000 0.000 0.000 0.000 0.001 0.000 0.000 0.000 0.000 0.000
HOA Comdty HEATING OIL FUTR Oct12 310.01 24.91 26.03 26.40 26.28 26.39 26.39 26.39 -0.027 -0.022 -0.026 -0.010 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
QSA Comdty GAS OIL FUT (ICE) Nov12 964.50 24.63 24.54 25.71 26.43 25.35 22.89 21.14 -0.247 -0.189 -0.141 -0.072 -0.023 -0.050 -0.028 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000
NGA Comdty NATURAL GAS FUTR Oct12 2.83 43.99 39.63 36.70 33.75 32.59 26.68 25.24 -0.178 -0.063 -0.025 -0.029 -0.028 0.000 0.001 -0.002 0.000 0.000 0.000 0.000 0.000 0.000
GCA Comdty GOLD 100 OZ FUTR Dec12 1764.20 15.76 16.48 17.15 18.86 21.31 22.31 22.82 0.034 0.033 0.013 0.005 0.003 0.006 0.007 0.000 0.000 0.000 0.000 0.000 0.000 0.000
SIA Comdty SILVER FUTURE Dec12 34.02 28.56 29.39 30.00 30.98 32.69 33.16 33.51 -0.113 -0.027 -0.010 -0.054 -0.023 -0.004 -0.003 -0.004 -0.001 -0.001 -0.001 0.000 0.000 0.000
PLA Comdty PLATINUM FUTURE Oct12 1615.10 23.67 23.57 23.76 24.07 0.020 0.006 0.039 0.024 -0.001 -0.001 -0.001 0.000
PAA Comdty PALLADIUM FUTURE Dec12 639.50 23.03 23.65 24.06 24.91 0.102 0.010 0.005 0.000 -0.002 -0.002 -0.001 0.000
LAA Comdty LME PRI ALUM FUTR Oct12 2099.50 19.35 19.35 19.35 19.35 19.35 19.35 19.35 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LPA Comdty LME COPPER FUTURE Oct12 8282.00 23.19 24.25 24.94 24.94 24.94 24.94 24.94 0.002 0.000 0.000 0.000 0.000 0.000 0.000 0.001 0.000 0.000 0.000 0.000 0.000 0.000
LLA Comdty LME LEAD FUTURE Oct12 2285.75 27.40 27.40 27.40 27.40 27.40 -0.011 -0.011 -0.011 -0.011 -0.011 0.000 0.000 0.000 0.000 0.000
LNA Comdty LME NICKEL FUTURE Oct12 18149.00 26.19 27.58 28.16 29.91 31.40 31.40 31.40 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LXA Comdty LME ZINC FUTURE Oct12 2096.75 27.33 27.33 27.33 27.09 28.01 28.01 28.01 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
At The Money Implied Volatilities by Terms
Indu
stria
l M
etal
s
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx
2 + ct
Agr
icul
ture
Live
st
ock
Ener
gyPr
ecio
us
Met
als
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Ticker Name ATM RefConvenience Yield (%
p.a.)
ATM Vol - 30D
ATM Vol - 60D
ATM Vol - 90D
ATM Vol - 6M
ATM Vol - 12M
ATM Vol - 18M
ATM Vol - 24M
Skew (a) - 30D
Skew (a) - 60D
Skew (a) - 90D
Skew (a) - 6M
Skew (a) - 12M
Skew (a) - 18M
Skew (a) - 24M
Skew (b) - 30D
Skew (b) - 60D
Skew (b) - 90D
Skew (b) - 6M
Skew (b) - 12M
Skew (b) - 18M
Skew (b) - 24M
UNG US Equity US NATURAL GAS FUND LP 19.48 42.32 41.79 41.70 42.00 40.91 40.90 41.85 -0.043 -0.045 -0.043 -0.034 0.017 0.019 -0.026 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000HNU CN Equity HORIZONS BETA NYMEX NAT BULL 13.24 97.88 92.26 100.43 -1.216 -0.472 -1.015 0.013 0.004 0.010SLV US Equity ISHARES SILVER TRUST 32.80 29.82 30.45 30.78 31.74 33.77 34.69 35.31 -0.109 -0.056 -0.040 -0.066 -0.062 -0.068 -0.072 -0.005 -0.002 -0.001 -0.001 0.000 0.000 0.000HND CN Equity HORIZONS BETA NYMEX NAT BEAR 4.53 106.74 96.10 105.18 0.733 0.087 0.383 0.000 -0.001 0.001GLD US Equity SPDR GOLD TRUST 170.66 15.93 17.14 17.62 19.08 21.48 -0.013 0.046 0.048 0.025 0.022 -0.006 -0.002 -0.002 -0.001 -0.001USO US Equity UNITED STATES OIL FUND LP 33.98 29.83 31.75 32.14 32.78 33.00 32.72 32.43 -0.180 -0.153 -0.144 -0.135 -0.121 -0.108 -0.099 -0.005 -0.002 -0.001 -0.001 0.000 0.000 0.000HOU CN Equity HORIZONS BETA NYMEX CRUDE BU 4.80 60.60 65.53 66.71 0.299 -0.305 -0.226 -0.010 -0.002 -0.001IAU US Equity ISHARES GOLD TRUST 17.13 15.51 16.72 17.45 19.10 21.70 22.93 23.50 0.091 0.079 0.064 0.024 0.031 0.019 -0.010 -0.001 -0.001 -0.002 -0.001 -0.001 0.000 0.000HOD CN Equity HORIZONS BETA NYMEX CRUDE BE 5.66 62.40 60.75 64.85 -0.241 -0.017 0.010 -0.003 -0.002 0.000ZSL US Equity PROSHARES ULTRASHORT SILVER 41.85 36.36 88.83 238.38 64.08 63.38 0.549 -0.585 -2.440 -0.130 -0.432 -0.004 0.000 0.002 0.000 -0.001UCO US Equity PROSHRE ULT DJ-UBS CRUDE OIL 30.99 55.03 49.16 50.16 60.00 59.36 58.16 59.25 -0.237 -0.001 0.028 -0.103 -0.116 -0.098 -0.103 -0.002 -0.001 -0.001 0.000 0.000 -0.001 0.000DBA US Equity POWERSHARES DB AGRICULTURE F 29.46 14.02 14.68 15.26 16.85 18.52 19.57 20.55 -0.260 -0.132 -0.085 -0.026 -0.008 -0.013 -0.018 -0.002 -0.002 -0.002 -0.001 0.000 0.000 -0.001DBC US Equity POWERSHARES DB COMMODITY IND 28.29 15.20 16.86 17.55 18.68 19.73 19.98 19.92 -0.282 -0.278 -0.273 -0.252 -0.139 -0.144 -0.217 -0.004 -0.002 -0.002 -0.001 -0.001 -0.001 -0.001SCO US Equity PROSHRE U/S DJ-UBS CRUDE OIL 41.18 57.41 61.70 62.75 62.71 63.34 64.82 66.62 0.094 0.097 0.096 0.088 0.080 0.054 0.009 -0.002 -0.001 -0.001 0.000 0.000 0.000 0.000AGQ US Equity PROSHARES ULTRA SILVER 56.21 58.87 60.04 60.74 63.30 66.28 -0.061 -0.009 -0.005 -0.058 -0.044 -0.002 -0.001 -0.001 0.000 0.000GSG US Equity ISHARES S&P GSCI COMMODITY I 33.43 18.01 19.79 20.35 20.96 -0.380 -0.299 -0.260 -0.186 -0.002 -0.002 -0.001 -0.001GAS CN Equity ISHARES NATURAL GAS COMMODIT 10.97 54.23 50.11 50.57 49.42 49.26 49.10 -0.232 -0.066 -0.115 -0.092 -0.016 0.060 -0.006 -0.003 0.000 0.000 0.001 0.002OIL US Equity IPATH GOLDMAN SACHS CRUDE 22.21 30.14 32.44 33.06 -0.176 -0.123 -0.106 -0.005 -0.003 -0.002RJA US Equity ELEMENTS ROGERS AGRI TOT RET 9.63 20.47 20.48 20.49 -0.169 -0.170 -0.170 -0.001 -0.001 -0.001DJP US Equity IPATH DOW JONES-UBS COMMDTY 43.50 17.17 17.37 17.58 18.44 -0.251 -0.265 -0.277 -0.273 -0.002 -0.002 -0.002 -0.001DBB US Equity POWERSHARES DB BASE METALS F 19.64 21.19 21.81 22.33 23.79 0.130 -0.031 -0.073 -0.084 -0.003 -0.003 -0.003 -0.001SIVR US Equity ETFS PHYSICAL SILVER SHARES 33.51 29.58 30.27 30.64 -0.049 -0.037 -0.038 -0.005 -0.002 -0.002RJI US Equity ELEMENTS ROGERS TOTAL RETURN 8.83 16.75 16.75 16.75 0.000 0.000 0.000 0.000 0.000 0.000GAZ US Equity IPATH DJ-UBS NAT GAS SUBINDX 3.04 38.20 41.78 44.10 -0.004 -0.024 -0.001 0.000 0.000 0.000JJC US Equity IPATH DJ-UBS COPPER SUBINDX 47.33 23.09 23.47 24.18 -0.207 -0.162 -0.184 -0.001 -0.002 -0.002GLL US Equity PROSHARES ULTRASHORT GOLD 14.35 32.85 33.36 34.38 37.57 0.122 0.002 -0.032 -0.043 -0.002 -0.001 -0.001 -0.001DBO US Equity POWERSHARES DB OIL FUND 25.90 26.10 27.13 27.54 28.16 -0.033 -0.143 -0.166 -0.127 -0.008 -0.003 -0.002 -0.001UGL US Equity PROSHARES ULTRA GOLD 95.51 32.32 33.61 34.69 37.47 0.039 0.023 0.019 0.017 -0.003 -0.002 -0.001 0.000USL US Equity UNITED STATES 12 MONTH OIL 40.04 27.30 28.00 28.42 29.60 29.22 0.078 -0.074 -0.117 -0.142 -0.113 -0.001 -0.002 -0.002 -0.001 0.000CGL CN Equity ISHARES GOLD BULLION FUND 15.88 19.96 18.21 20.17 -0.252 -0.183 -0.200 -0.038 -0.021 -0.009SGOL US Equity ETFS GOLD TRUST 173.90 15.94 16.84 17.43 0.070 0.058 0.044 -0.003 -0.002 -0.002DBE US Equity POWERSHARES DB ENERGY FUND 27.85 24.67 24.78 24.87 25.57 -0.363 -0.230 -0.190 -0.148 0.001 0.000 -0.001 -0.001BAL US Equity IPATH DJ-UBS COTTON SUBINDX 47.93 25.17 25.18 25.66 -0.072 -0.001 0.014 -0.003 -0.002 -0.001DBP US Equity POWERSHARES DB PREC METALS F 61.06 16.37 16.25 16.84 19.00 -0.042 -0.071 -0.049 0.039 0.000 -0.001 -0.001 -0.001RJN US Equity ELEMENTS ROGERS ENERGY TR 6.52 29.27 29.22 29.18 -0.063 -0.062 -0.061 0.000 0.000 0.000DBS US Equity POWERSHARES DB SILVER FUND 59.76 30.03 30.27 30.76 32.37 -0.101 -0.062 -0.050 -0.039 -0.006 -0.003 -0.002 -0.001CORN US Equity TEUCRIUM CORN FUND 48.09 24.18 25.44 25.77 0.186 0.110 0.072 -0.004 -0.001 0.000UGA US Equity UNITED STATES GAS FUND LP 58.14 26.72 26.85 27.07 27.75 -0.213 -0.208 -0.194 -0.140 -0.004 -0.002 -0.001 -0.001DGL US Equity POWERSHARES DB GOLD FUND 60.60 16.21 17.07 17.62 19.03 0.163 0.076 0.050 0.029 -0.001 0.000 0.000 0.000COW US Equity IPATH DJ-UBS LIVESTOCK SUB 28.02 17.09 17.11 17.13 18.21 0.038 0.045 0.053 0.014 -0.001 -0.001 -0.001 0.000UNL US Equity UNITED STATES 12 MONTH NATUR 17.38 24.87 24.65 24.65 -0.098 -0.035 -0.025 0.000 -0.001 0.000DNO US Equity UNITED STATES SHORT OIL FUND 38.05 29.73 31.31 31.96 0.248 0.150 0.139 -0.002 -0.001 -0.001
At The Money Implied Volatilities by TermsOption Implied Volatility Skew Parameters by Terms:
IVt = atx + btx2 + ct
Mai
n C
omm
odity
ETF
s
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
WTI Crude Futures Term Structures & Implied Volatilities
WTI Crude Oil - Forward Curve (Fair Value)
80
82
84
86
88
90
92
94
96
Nov
-12
Feb-
13
May
-13
Aug
-13
Nov
-13
Feb-
14
May
-14
Aug
-14
Nov
-14
Feb-
15
May
-15
Aug
-15
Nov
-15
Feb-
16
May
-16
Aug
-16
Nov
-16
Feb-
17
May
-17
Aug
-17
-6.0%
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
Term Structure - Slope (% p.a.) GOLD 100 OZ FUTR Dec12
WTI Crude Oil - Historical 12-Months Implied Volatilities
0%
10%
20%
30%
40%
50%
60%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
70
75
80
85
90
95
100
105
110
115
6MTH_IMPVOL_90.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF6MTH_IMPVOL_110.0%MNY_DF PX_LAST
WTI Crude Oil - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH
24M
TH
20%
22%
24%
26%
28%
30%
32%
34%
WTI Crude Oil - Implied Volatility Surface
0.320-0.3400.300-0.3200.280-0.3000.260-0.2800.240-0.2600.220-0.2400.200-0.220
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Brent Crude Oil Futures Term Structures & Implied Volatilities
Brent Crude Oil - Forward Curve (Fair Value)
0
20
40
60
80
100
120
Oct
-12
Jan-
13
Apr
-13
Jul-1
3
Oct
-13
Jan-
14
Apr
-14
Jul-1
4
Oct
-14
Jan-
15
Apr
-15
Jul-1
5
Oct
-15
Jan-
16
Apr
-16
Jul-1
6
Oct
-16
Jan-
17
Apr
-17
Jul-1
7
-18.0%
-16.0%
-14.0%
-12.0%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
Term Structure - Slope (% p.a.) SILVER FUTURE Dec12
Brent Crude Oil - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
50%
55%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
60
70
80
90
100
110
120
130
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_100.0%MNY_DF PX_LAST
Brent Crude Oil - 30 Days Implied VS Historical Volatility
0%5%
10%15%20%25%30%35%40%45%50%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH
24M
TH
20%
22%
24%
26%
28%
30%
32%
34%
Brent Crude Oil - Implied Volatility Surface
0.320-0.3400.300-0.3200.280-0.3000.260-0.2800.240-0.2600.220-0.2400.200-0.220
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Gasoline Futures Term Structures & Implied Volatilities
Gasoline - Forward Curve (Fair Value)
0
50
100
150
200
250
300
350
Oct
-12
Dec
-12
Feb-
13
Apr
-13
Jun-
13
Aug
-13
Oct
-13
Dec
-13
Feb-
14
Apr
-14
Jun-
14
Aug
-14
Oct
-14
Dec
-14
Feb-
15
Apr
-15
Jun-
15
Aug
-15
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
Term Structure - Slope (% p.a.) GASOLINE RBOB FUT Oct12
Gasoline - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
200
220
240
260
280
300
320
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_100.0%MNY_DF PX_LAST
Gasoline - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
30D
AY3M
TH12M
TH24M
TH
20%
22%
24%
26%
28%
30%
32%
Gasoline - Implied Volatility Surface
0.300-0.3200.280-0.3000.260-0.2800.240-0.2600.220-0.2400.200-0.220
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Heating Oil Futures Term Structures & Implied Volatilities
Heating Oil - Forward Curve (Fair Value)
285
290
295
300
305
310
315
Oct
-12
Nov
-12
Dec
-12
Jan-
13
Feb-
13
Mar
-13
Apr
-13
May
-13
Jun-
13
Jul-1
3
Aug
-13
Sep
-13
Oct
-13
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
Term Structure - Slope (% p.a.) HEATING OIL FUTR Oct12
Heating Oil - Historical 12-Months Implied Volatilities
20%
22%
24%
26%
28%
30%
32%
34%
36%
38%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
200
220
240
260
280
300
320
340
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_100.0%MNY_DF PX_LAST
Heating Oil - 30 Days Implied VS Historical Volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
5%
IV 9
7.5%
IV 1
00%
IV 1
02.5
%
30D
AY3M
TH12M
TH24M
TH 20%
21%
22%
23%
24%
25%
26%
27%
Heating Oil - Implied Volatility Surface
0.260-0.2700.250-0.2600.240-0.2500.230-0.2400.220-0.2300.210-0.2200.200-0.210
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Gas Oil Futures Term Structures & Implied Volatilities
Gas Oil - Forward Curve (Fair Value)
0
200
400
600
800
1000
1200
Oct
-12
Dec
-12
Feb-
13
Apr
-13
Jun-
13
Aug
-13
Oct
-13
Dec
-13
Feb-
14
Apr
-14
Jun-
14
Aug
-14
Oct
-14
Dec
-14
Feb-
15
Apr
-15
Jun-
15
-10.0%
-9.0%
-8.0%
-7.0%
-6.0%
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
Term Structure - Slope (% p.a.) GAS OIL FUT (ICE) Nov12
Gas Oil - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
200
300
400
500
600
700
800
900
1000
1100
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_100.0%MNY_DF PX_LAST
Gas Oil - 30 Days Implied VS Historical Volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH24M
TH
20%21%22%23%24%25%
26%
27%
28%
Gas Oil - Implied Volatility Surface
0.270-0.2800.260-0.2700.250-0.2600.240-0.2500.230-0.2400.220-0.2300.210-0.2200.200-0.210
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Natural Gas Futures Term Structures & Implied Volatilities
Natural Gas - Forward Curve (Fair Value)
3
3.2
3.4
3.6
3.8
4
4.2
4.4
4.6
4.8
5
Oct
-12
Jan-
13
Apr
-13
Jul-1
3
Oct
-13
Jan-
14
Apr
-14
Jul-1
4
Oct
-14
Jan-
15
Apr
-15
Jul-1
5
Oct
-15
Jan-
16
Apr
-16
Jul-1
6
Oct
-16
Jan-
17
Apr
-17
Jul-1
7
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
Term Structure - Slope (% p.a.) NATURAL GAS FUTR Oct12
Natural Gas - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
50%
55%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
2
2.5
3
3.5
4
4.5
5
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_100.0%MNY_DF PX_LAST
Natural Gas - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
70%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH24M
TH
20%
25%
30%
35%
40%
45%
50%
Natural Gas - Implied Volatility Surface
0.450-0.5000.400-0.4500.350-0.4000.300-0.3500.250-0.3000.200-0.250
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Gold Futures Term Structures & Implied Volatilities
Gold - Forward Curve (Fair Value)
1700
1720
1740
1760
1780
1800
1820
1840
1860
1880
1900
Oct
-12
Nov
-12
Dec
-12
Jan-
13
Feb-
13
Mar
-13
Apr
-13
May
-13
Jun-
13
Jul-1
3
Aug
-13
Sep
-13
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
Term Structure - Slope (% p.a.) GOLD 100 OZ FUTR Dec12
Gold - Historical 12-Months Implied Volatilities
16%
18%
20%
22%
24%
26%
28%
30%
32%
34%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
12MTH_IMPVOL_100.0%MNY_DF 12MTH_IMPVOL_90.0%MNY_DF12MTH_IMPVOL_110.0%MNY_DF PX_LAST
Gold - 30 Days Implied VS Historical Volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH
24M
TH
15%16%17%18%19%20%21%22%
23%
Gold - Implied Volatility Surface
0.220-0.2300.210-0.2200.200-0.2100.190-0.2000.180-0.1900.170-0.1800.160-0.1700.150-0.160
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Silver Futures Term Structures & Implied Volatilities
Silver - Forward Curve (Fair Value)
25
26
27
28
29
30
31
32
33
34
35
Oct
-12
Nov
-12
Dec
-12
Jan-
13
Feb-
13
Mar
-13
Apr
-13
May
-13
Jun-
13
Jul-1
3
Aug
-13
Sep
-13
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
Term Structure - Slope (% p.a.) SILVER FUTURE Dec12
Silver - Historical 12-Months Implied Volatilities
25%
30%
35%
40%
45%
50%
55%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
15
20
25
30
35
40
45
12MTH_IMPVOL_100.0%MNY_DF 12MTH_IMPVOL_90.0%MNY_DF12MTH_IMPVOL_110.0%MNY_DF PX_LAST
Silver - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH24M
TH
28%
29%
30%
31%
32%
33%
34%
Silver - Implied Volatility Surface
0.330-0.3400.320-0.3300.310-0.3200.300-0.3100.290-0.3000.280-0.290
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Platinum Futures Term Structures & Implied Volatilities
Platinum - Forward Curve (Fair Value)
1500
1520
1540
1560
1580
1600
1620
1640
Oct
-12
Nov
-12
Dec
-12
Jan-
13
Feb-
13
Mar
-13
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Term Structure - Slope (% p.a.) PLATINUM FUTURE Oct12
Platinum - Historical 12-Months Implied Volatilities
18%
20%
22%
24%
26%
28%
30%
32%
34%
36%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
1300
1400
1500
1600
1700
1800
1900
6MTH_IMPVOL_100.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_110.0%MNY_DF PX_LAST
Platinum - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
70%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
5%
IV 9
7.5%
30D
AY
60D
AY
3MTH6M
TH
12M
TH18
MTH
24M
TH
15%16%17%18%19%20%21%22%23%24%25%
Platinum - Implied Volatility Surface
0.240-0.2500.230-0.2400.220-0.2300.210-0.2200.200-0.2100.190-0.2000.180-0.1900.170-0.1800.160-0.1700.150-0.160
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |
24.09.2012
Palladium Futures Term Structures & Implied Volatilities
Palladium - Forward Curve (Fair Value)
600
605
610
615
620
625
630
635
640
645
Oct
-12
Nov
-12
Dec
-12
Jan-
13
Feb-
13
Mar
-13
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%
0.8%
0.9%
1.0%
Term Structure - Slope (% p.a.) PALLADIUM FUTURE Dec12
Palladium - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
400
450
500
550
600
650
700
750
6MTH_IMPVOL_100.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_110.0%MNY_DF PX_LAST
Palladium - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
70%
Sep
-11
Oct
-11
Oct
-11
Nov
-11
Nov
-11
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
5%
IV 9
7.5%
30D
AY
60D
AY
3MTH6M
TH12
MTH
18M
TH24
MTH
18%19%20%21%22%23%24%
25%
26%
Palladium - Implied Volatility Surface
0.250-0.2600.240-0.2500.230-0.2400.220-0.2300.210-0.2200.200-0.2100.190-0.2000.180-0.190
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: [email protected] |