Commodity Market Monitor
9
26.03.2013 Ticker Name ATM Ref Convenienc e 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) May13 631.90 15.12 14.45 13.82 13.91 13.86 -0.090 -0.032 0.025 -0.003 0.019 -0.002 -0.001 -0.001 0.000 0.000 CCA Comdty COCOA FUTURE May13 2146.00 21.98 22.81 23.29 23.77 23.70 23.72 0.020 0.052 0.042 0.043 0.041 0.038 -0.005 -0.001 -0.001 -0.001 0.000 0.000 KCA Comdty COFFEE ’C’ FUTURE May13 135.80 24.99 23.79 24.10 26.28 24.85 24.42 24.35 0.351 0.275 0.269 0.247 0.109 0.092 0.080 -0.004 -0.001 -0.001 -0.001 0.000 0.000 0.000 C A Comdty CORN FUTURE May13 732.75 23.05 24.01 25.39 28.11 24.17 21.91 0.020 0.035 0.027 0.036 0.004 0.007 0.000 -0.001 0.000 0.000 0.000 0.000 CTA Comdty COTTON NO.2 FUTR May13 87.87 25.12 24.86 24.58 23.41 20.32 18.29 16.53 -0.064 0.007 0.051 -0.001 0.005 0.002 0.002 -0.006 -0.002 0.000 0.000 0.000 0.000 0.000 JOA Comdty FCOJ-A FUTURE May13 139.40 33.69 29.74 30.17 30.45 26.83 26.52 26.55 0.139 0.090 0.075 0.086 0.049 0.042 0.036 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000 LBA Comdty LUMBER FUTURE May13 382.80 30.26 27.01 25.18 20.39 -0.040 -0.023 -0.044 -0.090 -0.005 -0.002 -0.002 -0.002 O A Comdty OAT FUTURE May13 399.75 25.24 23.53 21.82 21.51 21.29 -0.447 -0.385 -0.318 -0.149 -0.033 -0.005 -0.003 -0.001 0.000 0.000 RRA Comdty ROUGH RICE (CBOT) May13 14.94 11.77 12.62 13.43 11.19 10.35 0.319 0.299 0.271 0.058 0.070 -0.003 -0.002 -0.002 -0.001 0.000 S A Comdty SOYBEAN FUTURE May13 1438.50 19.12 18.69 19.17 20.50 19.26 -0.022 0.013 0.015 0.052 0.022 -0.001 -0.001 0.000 -0.001 0.000 SMA Comdty SOYBEAN MEAL FUTR May13 418.40 23.32 23.24 23.14 22.54 20.98 -0.024 0.002 0.032 0.076 0.053 -0.004 -0.003 -0.002 -0.001 -0.001 BOA Comdty SOYBEAN OIL FUTR May13 50.37 16.76 16.76 16.87 17.37 17.89 0.005 0.009 0.070 0.050 0.028 -0.004 -0.001 -0.001 -0.001 0.000 SBA Comdty SUGAR #11 (WORLD) May13 17.99 19.89 18.59 19.42 18.91 18.88 18.01 18.36 0.141 0.058 0.026 0.068 0.044 0.033 0.004 -0.005 -0.003 -0.001 -0.001 0.000 0.000 0.000 W A Comdty WHEAT FUTURE(CBT) May13 728.25 27.81 28.29 28.43 27.65 24.79 0.057 0.050 0.043 0.045 0.009 -0.001 -0.001 0.000 0.000 0.000 KWA Comdty WHEAT FUTURE(KCB) May13 761.75 24.95 25.44 25.98 26.24 0.111 0.093 0.074 0.039 -0.001 -0.001 -0.001 -0.001 FCA Comdty CATTLE FEEDER FUT May13 140.23 12.34 12.81 12.75 11.46 -0.050 -0.039 -0.043 -0.101 -0.005 -0.004 -0.003 -0.001 LHA Comdty LEAN HOGS FUTURE Jun13 91.23 15.80 17.82 17.50 15.79 14.14 -0.044 0.016 0.003 0.007 -0.038 -0.005 -0.001 -0.001 0.000 0.000 LCA Comdty LIVE CATTLE FUTR Jun13 121.50 11.85 11.55 11.42 10.45 8.85 -0.086 -0.092 -0.096 -0.100 -0.111 -0.004 -0.002 -0.002 -0.001 0.000 CLA Comdty WTI CRUDE FUTURE May13 95.43 17.33 17.92 18.08 19.75 19.47 18.63 19.05 -0.216 -0.189 -0.167 -0.135 -0.040 -0.002 -0.065 -0.001 0.000 0.000 0.000 0.000 0.000 0.000 COA Comdty BRENT CRUDE FUTR May13 108.35 17.28 17.84 18.33 19.67 19.39 19.17 18.76 -0.095 -0.078 -0.076 -0.133 -0.145 -0.141 -0.106 -0.001 0.000 0.000 0.000 0.000 0.000 0.000 XBA Comdty GASOLINE RBOB FUT Apr13 307.45 24.66 22.66 21.64 20.63 19.94 19.94 19.94 -0.018 -0.044 -0.004 -0.007 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HOA Comdty HEATING OIL FUTR Apr13 288.22 17.30 16.89 16.77 16.76 16.42 15.56 15.56 -0.028 -0.066 -0.028 -0.015 -0.001 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 QSA Comdty G A S O I L F U T ( I C E ) M a y 1 3 910.75 16.33 15.93 15.84 17.18 16.63 16.61 -0.123 -0.106 -0.113 -0.094 -0.031 -0.036 -0.002 -0.001 -0.001 0.000 0.000 0.000 NGA Comdty NATURAL GAS FUTR Apr13 3.91 29.13 28.32 28.04 28.52 26.20 24.50 22.10 0.006 -0.008 -0.005 -0.039 -0.008 -0.002 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 GCA Comdty GOLD 100 OZ FUTR Jun13 1599.90 11.21 11.78 12.31 13.23 14.62 15.84 16.28 -0.064 -0.037 -0.030 0.002 0.000 -0.003 -0.003 -0.001 0.000 0.000 0.000 0.000 0.000 0.000 SIA Comdty SILVER FUTURE May13 28.80 20.18 20.05 21.04 22.03 23.49 24.46 24.75 -0.138 -0.113 -0.034 -0.074 -0.070 -0.020 -0.018 -0.004 -0.002 0.000 -0.001 0.000 0.000 0.000 PLA Comdty PLATINUM FUTURE Jul13 1574.30 14.95 15.21 15.48 15.88 0.022 0.003 0.012 0.051 0.000 0.000 -0.001 -0.001 PAA Comdty PALLADIUM FUTURE Jun13 755.50 25.14 26.72 26.94 27.71 -0.017 -0.037 -0.015 0.018 -0.002 -0.001 -0.001 0.000 LAA Comdty LME PRI ALUM FUTR Apr13 1906.25 17.32 18.71 19.45 19.52 19.58 19.58 19.58 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 Apr13 7599.25 18.33 17.53 17.58 17.73 19.66 19.66 19.66 -0.122 -0.029 -0.032 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LLA Comdty LME LEAD FUTURE Apr13 2166.00 18.83 19.93 19.93 19.93 19.93 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LNA Comdty LME NICKEL FUTURE Apr13 16925.50 29.58 29.58 29.58 29.58 29.58 29.58 29.58 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 Apr13 1924.75 73.67 46.72 36.44 24.15 15.49 12.36 12.36 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 Industrial Metals Option Implied Volatility Skew Parameters by Terms: IV t = a t x + b t x 2 + c t Agriculture Live stock Energy Precious Metals www.qmsadv.com
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Commodity Market Monitor
Transcript of Commodity Market Monitor
26.03.2013
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) May13 631.90 15.12 14.45 13.82 13.91 13.86 -0.090 -0.032 0.025 -0.003 0.019 -0.002 -0.001 -0.001 0.000 0.000
CCA Comdty COCOA FUTURE May13 2146.00 21.98 22.81 23.29 23.77 23.70 23.72 0.020 0.052 0.042 0.043 0.041 0.038 -0.005 -0.001 -0.001 -0.001 0.000 0.000
KCA Comdty COFFEE 'C' FUTURE May13 135.80 24.99 23.79 24.10 26.28 24.85 24.42 24.35 0.351 0.275 0.269 0.247 0.109 0.092 0.080 -0.004 -0.001 -0.001 -0.001 0.000 0.000 0.000
C A Comdty CORN FUTURE May13 732.75 23.05 24.01 25.39 28.11 24.17 21.91 0.020 0.035 0.027 0.036 0.004 0.007 0.000 -0.001 0.000 0.000 0.000 0.000
CTA Comdty COTTON NO.2 FUTR May13 87.87 25.12 24.86 24.58 23.41 20.32 18.29 16.53 -0.064 0.007 0.051 -0.001 0.005 0.002 0.002 -0.006 -0.002 0.000 0.000 0.000 0.000 0.000
JOA Comdty FCOJ-A FUTURE May13 139.40 33.69 29.74 30.17 30.45 26.83 26.52 26.55 0.139 0.090 0.075 0.086 0.049 0.042 0.036 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000
LBA Comdty LUMBER FUTURE May13 382.80 30.26 27.01 25.18 20.39 -0.040 -0.023 -0.044 -0.090 -0.005 -0.002 -0.002 -0.002
O A Comdty OAT FUTURE May13 399.75 25.24 23.53 21.82 21.51 21.29 -0.447 -0.385 -0.318 -0.149 -0.033 -0.005 -0.003 -0.001 0.000 0.000
RRA Comdty ROUGH RICE (CBOT) May13 14.94 11.77 12.62 13.43 11.19 10.35 0.319 0.299 0.271 0.058 0.070 -0.003 -0.002 -0.002 -0.001 0.000
S A Comdty SOYBEAN FUTURE May13 1438.50 19.12 18.69 19.17 20.50 19.26 -0.022 0.013 0.015 0.052 0.022 -0.001 -0.001 0.000 -0.001 0.000
SMA Comdty SOYBEAN MEAL FUTR May13 418.40 23.32 23.24 23.14 22.54 20.98 -0.024 0.002 0.032 0.076 0.053 -0.004 -0.003 -0.002 -0.001 -0.001
BOA Comdty SOYBEAN OIL FUTR May13 50.37 16.76 16.76 16.87 17.37 17.89 0.005 0.009 0.070 0.050 0.028 -0.004 -0.001 -0.001 -0.001 0.000
SBA Comdty SUGAR #11 (WORLD) May13 17.99 19.89 18.59 19.42 18.91 18.88 18.01 18.36 0.141 0.058 0.026 0.068 0.044 0.033 0.004 -0.005 -0.003 -0.001 -0.001 0.000 0.000 0.000
W A Comdty WHEAT FUTURE(CBT) May13 728.25 27.81 28.29 28.43 27.65 24.79 0.057 0.050 0.043 0.045 0.009 -0.001 -0.001 0.000 0.000 0.000
KWA Comdty WHEAT FUTURE(KCB) May13 761.75 24.95 25.44 25.98 26.24 0.111 0.093 0.074 0.039 -0.001 -0.001 -0.001 -0.001
FCA Comdty CATTLE FEEDER FUT May13 140.23 12.34 12.81 12.75 11.46 -0.050 -0.039 -0.043 -0.101 -0.005 -0.004 -0.003 -0.001
LHA Comdty LEAN HOGS FUTURE Jun13 91.23 15.80 17.82 17.50 15.79 14.14 -0.044 0.016 0.003 0.007 -0.038 -0.005 -0.001 -0.001 0.000 0.000
LCA Comdty LIVE CATTLE FUTR Jun13 121.50 11.85 11.55 11.42 10.45 8.85 -0.086 -0.092 -0.096 -0.100 -0.111 -0.004 -0.002 -0.002 -0.001 0.000
CLA Comdty WTI CRUDE FUTURE May13 95.43 17.33 17.92 18.08 19.75 19.47 18.63 19.05 -0.216 -0.189 -0.167 -0.135 -0.040 -0.002 -0.065 -0.001 0.000 0.000 0.000 0.000 0.000 0.000
COA Comdty BRENT CRUDE FUTR May13 108.35 17.28 17.84 18.33 19.67 19.39 19.17 18.76 -0.095 -0.078 -0.076 -0.133 -0.145 -0.141 -0.106 -0.001 0.000 0.000 0.000 0.000 0.000 0.000
XBA Comdty GASOLINE RBOB FUT Apr13 307.45 24.66 22.66 21.64 20.63 19.94 19.94 19.94 -0.018 -0.044 -0.004 -0.007 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
HOA Comdty HEATING OIL FUTR Apr13 288.22 17.30 16.89 16.77 16.76 16.42 15.56 15.56 -0.028 -0.066 -0.028 -0.015 -0.001 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
QSA Comdty G A S O I L F U T ( I C E ) M a y 1 3 910.75 16.33 15.93 15.84 17.18 16.63 16.61 -0.123 -0.106 -0.113 -0.094 -0.031 -0.036 -0.002 -0.001 -0.001 0.000 0.000 0.000
NGA Comdty NATURAL GAS FUTR Apr13 3.91 29.13 28.32 28.04 28.52 26.20 24.50 22.10 0.006 -0.008 -0.005 -0.039 -0.008 -0.002 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
GCA Comdty GOLD 100 OZ FUTR Jun13 1599.90 11.21 11.78 12.31 13.23 14.62 15.84 16.28 -0.064 -0.037 -0.030 0.002 0.000 -0.003 -0.003 -0.001 0.000 0.000 0.000 0.000 0.000 0.000
SIA Comdty SILVER FUTURE May13 28.80 20.18 20.05 21.04 22.03 23.49 24.46 24.75 -0.138 -0.113 -0.034 -0.074 -0.070 -0.020 -0.018 -0.004 -0.002 0.000 -0.001 0.000 0.000 0.000
PLA Comdty PLATINUM FUTURE Jul13 1574.30 14.95 15.21 15.48 15.88 0.022 0.003 0.012 0.051 0.000 0.000 -0.001 -0.001
PAA Comdty PALLADIUM FUTURE Jun13 755.50 25.14 26.72 26.94 27.71 -0.017 -0.037 -0.015 0.018 -0.002 -0.001 -0.001 0.000
LAA Comdty LME PRI ALUM FUTR Apr13 1906.25 17.32 18.71 19.45 19.52 19.58 19.58 19.58 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 Apr13 7599.25 18.33 17.53 17.58 17.73 19.66 19.66 19.66 -0.122 -0.029 -0.032 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LLA Comdty LME LEAD FUTURE Apr13 2166.00 18.83 19.93 19.93 19.93 19.93 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LNA Comdty LME NICKEL FUTURE Apr13 16925.50 29.58 29.58 29.58 29.58 29.58 29.58 29.58 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 Apr13 1924.75 73.67 46.72 36.44 24.15 15.49 12.36 12.36 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
www.qmsadv.com
26.03.2013
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 21.20 30.05 30.55 30.66 30.97 31.86 31.82 -0.065 -0.021 -0.019 -0.021 -0.001 0.002 -0.001 0.000 0.000 0.000 0.000 0.000HNU CN Equity HORIZONS BETA NYMEX NAT BULL 14.50 62.62 63.76 63.06 63.90 -0.400 -0.506 -0.537 -0.522 -0.005 -0.002 -0.001 0.000SLV US Equity ISHARES SILVER TRUST 27.84 20.02 20.44 20.92 22.06 24.04 25.23 -0.173 -0.139 -0.125 -0.091 -0.061 -0.052 -0.007 -0.003 -0.002 -0.001 -0.001 0.000HND CN Equity HORIZONS BETA NYMEX NAT BEAR 3.14 68.77 76.93 77.75 76.94 0.196 -0.216 -0.060 -0.417 -0.002 0.001 0.000 0.003GLD US Equity SPDR GOLD TRUST 155.24 11.65 12.15 12.49 13.51 14.71 16.09 -0.120 -0.087 -0.065 -0.030 -0.006 0.000 -0.009 -0.005 -0.004 -0.002 -0.001 -0.001USO US Equity UNITED STATES OIL FUND LP 33.85 17.73 18.21 18.37 19.60 22.49 23.11 -0.254 -0.255 -0.223 -0.167 -0.132 -0.117 -0.005 -0.003 -0.002 -0.001 0.000 0.000HOU CN Equity HORIZONS BETA NYMEX CRUDE BU 4.46 43.53 43.06 44.31 42.21 -0.603 -0.505 -0.173 -0.409 -0.008 -0.004 -0.002 -0.002IAU US Equity ISHARES GOLD TRUST 15.60 12.67 12.47 12.85 13.71 15.14 16.49 -0.034 -0.126 -0.150 -0.061 0.021 0.017 0.000 0.000 -0.002 -0.002 -0.001 -0.001HOD CN Equity HORIZONS BETA NYMEX CRUDE BE 5.42 45.46 49.51 40.90 46.67 -0.060 -0.207 -0.005 -0.222 -0.007 -0.001 -0.004 0.001ZSL US Equity PROSHARES ULTRASHORT SILVER 53.48 39.71 41.67 43.24 46.73 0.138 0.125 0.119 0.094 -0.004 -0.001 -0.001 0.000UCO US Equity PROSHRE ULT DJ-UBS CRUDE OIL 29.93 33.39 34.76 35.61 38.65 41.23 43.61 -0.441 -0.338 -0.284 -0.197 -0.184 -0.123 -0.004 -0.002 -0.001 -0.001 0.000 0.000DBA US Equity P O W E R S H A R E S D B A G R I C U L T U R E F 26.10 10.83 11.55 11.37 12.40 13.93 14.74 -0.041 -0.074 0.000 0.007 -0.003 -0.013 0.000 -0.001 -0.001 -0.001 0.000 0.000DBC US Equity POWERSHARES DB COMMODITY IND 27.18 11.98 12.16 12.45 13.90 14.84 15.37 -0.061 -0.153 -0.215 -0.258 -0.186 -0.154 0.000 -0.001 -0.004 -0.001 -0.001 -0.001SCO US Equity PROSHRE U/S DJ-UBS CRUDE OIL 38.64 34.37 35.91 36.39 39.37 43.03 46.22 0.346 0.248 0.228 0.182 0.124 0.096 -0.003 -0.002 -0.001 0.000 0.000 0.000AGQ US Equity PROSHARES ULTRA SILVER 38.98 39.40 40.53 41.69 43.90 47.33 49.23 -0.204 -0.150 -0.121 -0.072 -0.022 -0.028 -0.004 -0.002 -0.001 -0.001 0.000 0.000GSG US Equity ISHARES S&P GSCI COMMODITY I 32.49 14.37 14.64 14.81 15.71 -0.093 -0.200 -0.232 -0.213 0.000 -0.001 -0.001 -0.001OIL US Equity IPATH GOLDMAN SACHS CRUDE 22.12 17.75 18.85 19.33 20.72 22.68 23.70 -0.077 -0.155 -0.295 -0.148 -0.114 -0.079 -0.004 -0.006 -0.002 -0.001 0.000 0.000RJA US Equity ELEMENTS ROGERS AGRI TOT RET 9.07 13.66 13.09 11.85 13.27 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000DJP US Equity IPATH DOW JONES-UBS COMMDTY 40.71 11.46 11.39 11.79 12.74 -0.113 -0.209 -0.257 -0.259 0.000 -0.001 -0.002 -0.002DBB US Equity POWERSHARES DB BASE METALS F 17.81 18.99 19.77 20.53 20.28 -0.015 -0.071 -0.122 -0.121 0.000 0.000 0.000 -0.002S IVR US Equ i t yETFS PHYSICAL SILVER SHARES 28.49 20.45 20.83 20.78 22.46 -0.154 -0.167 -0.111 -0.096 -0.003 -0.004 -0.002 -0.001RJI US Equity ELEMENTS ROGERS TOTAL RETURN 8.60 14.01 14.01 14.01 14.01 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000GAZ US Equity IPATH DJ-UBS NAT GAS SUBINDX 2.76 51.02 42.97 42.55 46.69 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000JJC US Equity IPATH DJ-UBS COPPER SUBINDX 43.07 15.45 17.91 19.44 20.25 -0.155 -0.168 -0.111 -0.166 -0.002 -0.001 0.000 0.000GLL US Equity PROSHARES ULTRASHORT GOLD 67.35 23.53 24.30 25.10 27.05 0.117 0.071 0.050 0.024 -0.005 -0.003 -0.002 -0.001DBO US Equity POWERSHARES DB OIL FUND 26.30 16.85 17.68 18.29 19.21 -0.254 -0.325 -0.338 -0.253 -0.002 -0.002 -0.001 -0.001UGL US Equity PROSHARES ULTRA GOLD 77.80 22.37 24.21 25.05 26.74 -0.157 -0.126 -0.107 -0.029 -0.006 -0.002 -0.002 -0.001USL US Equity U N I T E D S T A T E S 1 2 M O N T H O I L 39.97 17.59 18.08 18.25 19.86 -0.112 -0.213 -0.194 -0.236 -0.002 -0.004 -0.004 -0.002CGL CN Equity ISHARES GOLD BULLION FUND 14.30 24.18 18.93 16.80 19.43 -0.208 -0.218 -0.218 -0.177 -0.037 -0.022 -0.016 0.000SGOL US Equity ETFS GOLD TRUST 158.27 11.75 12.16 12.45 13.70 -0.120 -0.115 -0.095 -0.016 -0.002 -0.003 -0.004 -0.002DBE US Equity POWERSHARES DB ENERGY FUND 28.41 14.95 15.08 15.17 16.12 -0.050 -0.144 -0.137 -0.181 0.000 -0.001 -0.001 0.000BAL US Equity IPATH DJ-UBS COTTON SUBINDX 55.88 21.89 21.34 20.48 18.73 -0.028 -0.020 0.006 -0.047 0.001 0.000 -0.001 0.000DBP US Equity POWERSHARES DB PREC METALS F 54.37 12.94 13.48 13.99 14.71 -0.127 -0.157 -0.078 -0.018 -0.001 -0.002 -0.002 -0.002RJN US Equity ELEMENTS ROGERS ENERGY TR 6.65 21.91 21.91 21.91 23.08 0.000 0.000 0.000 -0.034 0.000 0.000 0.000 0.000DBS US Equity POWERSHARES DB SILVER FUND 49.29 20.93 21.21 21.89 22.54 0.000 -0.006 -0.019 -0.032 0.000 0.000 0.000 0.000CORN US Equity TEUCRIUM CORN FUND 43.99 22.25 23.73 24.96 26.12 25.01 24.32 0.011 0.017 0.012 -0.002 0.015 -0.003 -0.001 -0.002 -0.001 0.000 0.000 0.000UGA US Equity UNITED STATES GAS FUND LP 60.34 21.96 22.26 22.06 22.07 -0.261 -0.265 -0.244 -0.195 -0.003 -0.002 -0.001 0.000DGL US Equity POWERSHARES DB GOLD FUND 54.73 12.10 12.42 12.62 13.36 -0.029 -0.102 -0.091 -0.044 0.000 -0.001 -0.002 -0.002COW US Equity IPATH DJ-UBS LIVESTOCK SUB 26.14 16.43 15.94 15.64 15.83 -0.059 -0.159 -0.091 -0.058 0.000 0.000 0.000 -0.001UNL US Equity UNITED STATES 12 MONTH NATUR 18.75 22.17 21.75 21.68 22.85 -0.039 -0.093 -0.068 -0.024 0.000 0.000 -0.001 0.000DNO US Equity UNITED STATES SHORT OIL FUND 37.10 21.34 21.81 21.74 23.38 0.195 0.220 0.029 0.079 -0.001 -0.005 -0.004 -0.002
At The Money Implied Volatilities by TermsOption Implied Volatility Skew Parameters by Terms:
IVt = atx + btx2 + ct
Mai
n C
omm
odity
ETF
s
www.qmsadv.com
26.03.2013
WTI Crude Futures Term Structures & Implied Volatilities
WTI Crude Oil - Forward Curve (Fair Value)
80
82
84
86
88
90
92
94
96
98
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
Nov
-17
Feb-
18
-14.0%
-12.0%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
Term Structure - Slope (% p.a.) GOLD 100 OZ FUTR Jun13
WTI Crude Oil - Historical 12-Months Implied Volatilities
14%
19%
24%
29%
34%
39%
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
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
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%
5%
10%
15%
20%
25%
30%
35%
40%
45%
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
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
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
14%
15%
16%
17%
18%
19%
20%
21%
WTI Crude Oil - Implied Volatility Surface
0.200-0.2100.190-0.2000.180-0.1900.170-0.1800.160-0.1700.150-0.1600.140-0.150
www.qmsadv.com
26.03.2013
Brent Crude Oil Futures Term Structures & Implied Volatilities
Brent Crude Oil - Forward Curve (Fair Value)
0
20
40
60
80
100
120
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
Oct
-15
Dec
-15
Feb-
16
Apr
-16
Jun-
16
Aug
-16
Oct
-16
Dec
-16
Feb-
17
Apr
-17
Jun-
17
Aug
-17
Oct
-17
-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 May13
Brent Crude Oil - Historical 12-Months Implied Volatilities
16%
21%
26%
31%
36%
41%
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
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
80
85
90
95
100
105
110
115
120
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%
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
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
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
16%17%17%18%18%19%19%20%20%21%21%
Brent Crude Oil - Implied Volatility Surface
0.205-0.2100.200-0.2050.195-0.2000.190-0.1950.185-0.1900.180-0.1850.175-0.1800.170-0.1750.165-0.1700.160-0.165
www.qmsadv.com
26.03.2013
Natural Gas Futures Term Structures & Implied Volatilities
Natural Gas - Forward Curve (Fair Value)
3
3.5
4
4.5
5
5.5
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
Oct
-17
Jan-
18
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
Term Structure - Slope (% p.a.) NATURAL GAS FUTR Apr13
Natural Gas - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
50%
55%
Mar
-12
Apr
-12
May
-12
Jun-
12
Jul-1
2
Aug
-12
Sep
-12
Oct
-12
Nov
-12
Dec
-12
Jan-
13
Feb-
13
Mar
-13
3
3.2
3.4
3.6
3.8
4
4.2
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%
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
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
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%21%22%23%24%25%26%27%28%29%30%
Natural Gas - Implied Volatility Surface
0.290-0.3000.280-0.2900.270-0.2800.260-0.2700.250-0.2600.240-0.2500.230-0.2400.220-0.2300.210-0.2200.200-0.210
www.qmsadv.com
26.03.2013
Gold Futures Term Structures & Implied Volatilities
Gold - Forward Curve (Fair Value)
1550
1570
1590
1610
1630
1650
1670
1690
1710
1730
1750
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
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
Term Structure - Slope (% p.a.) GOLD 100 OZ FUTR Jun13
Gold - Historical 12-Months Implied Volatilities
14%
16%
18%
20%
22%
24%
26%
28%
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12Ju
n-12
Jul-1
2
Jul-1
2A
ug-1
2
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13Ja
n-13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
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%
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
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
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
10%
11%
12%
13%
14%
15%
16%
17%
Gold - Implied Volatility Surface
0.160-0.1700.150-0.1600.140-0.1500.130-0.1400.120-0.1300.110-0.1200.100-0.110
www.qmsadv.com
26.03.2013
Silver Futures Term Structures & Implied Volatilities
Silver - Forward Curve (Fair Value)
30
35
40
45
50
55
60
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
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Term Structure - Slope (% p.a.) SILVER FUTURE May13
Silver - Historical 12-Months Implied Volatilities
16%
21%
26%
31%
36%
41%
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12Ju
l-12
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13Ja
n-13
Feb-
13Fe
b-13
Mar
-13
Mar
-13
15
20
25
30
35
40
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%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
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
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
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
16%17%18%19%20%21%22%23%24%25%
Silver - Implied Volatility Surface
0.240-0.2500.230-0.2400.220-0.2300.210-0.2200.200-0.2100.190-0.2000.180-0.1900.170-0.1800.160-0.170
www.qmsadv.com
26.03.2013
Platinum Futures Term Structures & Implied Volatilities
Platinum - Forward Curve (Fair Value)
1600
1800
2000
2200
2400
2600
2800
3000
3200
Apr
-13
May
-13
Jun-
13
Jul-1
3
Aug
-13
Sep
-13
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Term Structure - Slope (% p.a.) PLATINUM FUTURE Jul13
Platinum - Historical 12-Months Implied Volatilities
14%
19%
24%
29%
34%
39%
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12Ju
n-12
Jul-1
2Ju
l-12
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13Ja
n-13
Feb-
13Fe
b-13
Mar
-13
Mar
-13
1300
1350
1400
1450
1500
1550
1600
1650
1700
1750
1800
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%
5%
10%
15%
20%
25%
30%
35%
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
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
5%
IV 9
7.5%
IV 1
00%
30D
AY
60D
AY
3MTH6M
TH12
MTH
18M
TH24
MTH 14%
15%
15%
16%
16%
17%
17%
Platinum - Implied Volatility Surface
0.165-0.170
0.160-0.165
0.155-0.160
0.150-0.155
0.145-0.150
0.140-0.145
www.qmsadv.com
26.03.2013
Palladium Futures Term Structures & Implied Volatilities
Palladium - Forward Curve (Fair Value)
650
670
690
710
730
750
770
Apr
-13
May
-13
Jun-
13
Jul-1
3
Aug
-13
Sep
-13
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Term Structure - Slope (% p.a.) PALLADIUM FUTURE Jun13
Palladium - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
50%
55%
60%
65%
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2Ju
l-12
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13Fe
b-13
Mar
-13
Mar
-13
400
450
500
550
600
650
700
750
800
850
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%
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
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Nov
-12
Dec
-12
Dec
-12
Jan-
13
Jan-
13
Feb-
13
Feb-
13
Mar
-13
Mar
-13
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
5%
IV 9
7.5%
IV 1
00%
30D
AY
60D
AY
3MTH6M
TH12
MTH
18M
TH24
MTH 22%
23%
24%
25%
26%
27%
28%
29%
Palladium - Implied Volatility Surface
0.280-0.2900.270-0.2800.260-0.2700.250-0.2600.240-0.2500.230-0.2400.220-0.230
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