PARITY REPORT Crude Oil 2012-01-23

WTI Crude Oil March 99.58 +1.25 (Range 98.70 100.24)

ATM Vol H12 29.1 unch \ J12 31.2 -0.1 \ M12 32.9 unch
Tomorrow's Expected 1-StdDev Range for G12: +/-$1.82
0900-1200: approx ranges: H12 Fut 98.70 (L) 99.80 \
H12 vol 28.9 29.9 \ J12 vol 30.7 32.0 \ M12 vol 32.5 32.7

Mar $97.00-$95.00 put spread, paper lifted $0.64 (ref NA)

The 10-delta call skew vol spread got weaker relative to the similar put
skew. ATM vol continued being becalmed. And so the smile essentially
rotated clockwise slightly. We're still neutral on the direction of futures and
vol, though vol unch seems to be a good bet.

Mar $115.00 call, traded $0.23 (ref NA)

All numbers are approximate and are intended to be indicative.

Apr $95.00-$85.00 put 1x2 hedged $99.20, traded $1.15

May $65.00-$60.00 put spread, traded $0.09 (ref NA)

0900: $90.00 put

Apr $100.00 straddle, traded $9.30 & $9.35 (ref NA)

11 delta tv=$0.57 vol=34.7 ATM vol=29.9

$107.00 call 11 delta tv=$0.65 vol=29.8 H12 ref=$99.04

Dec'12-Dec'13 $130.00 horizontal call spread hedged $100.00-$97.00,

traded $1.46

10 delta put skew = +4.8

1030: $90.00 put

10 delta call skew = -0.1

10 delta tv=$0.49 vol=33.8 ATM vol=28.9

$107.00 call 12 delta tv=$0.64 vol=29.0 H12 ref=$99.35

1200-1430: approx ranges: H12 Fut 98.86 100.24 (H) \

H12 vol 29.0 29.4 J12 vol 30.9 31.2 \ M12 vol 32.7 32.9

1200: $90.00 put

Mar $80.00 put, paper hit $0.08 (ref NA)

Mar $95.00 put, paper hit $1.21 (ref $99.98)
Mar $100.00 put, paper lifted $2.97 (ref $99.86)

1330: $90.00 put

Apr $63.00 put, paper lifted $0.05 (ref NA)

Jun $125.00 call hedged $100.00, paper lifted $1.15 & $1.16

Front Month Implied Volatility with Change Plotted

2.0%

52.0%

1.5%

47.0%

1.0%

42.0%

0.5%

37.0%

0.0%

32.0%

-0.5%

27.0%

-1.0%
6500
6950
7400
7850
8300
8750
9200
9650
10100
10550
11000
11450
11900
12350

57.0%

11 delta tv=$0.57 vol=34.7 ATM vol=29.4

10 delta put skew = +5.3

Mar $99.50-$100.00 call spread hedged $99.05, traded $0.24

Mar $105.00-$110.00 call spread hedged $100.00, traded $0.63
Mar $105.00-$110.00 call spread, paper lifted $0.20 (ref NA)
Mar $116.00-$130.00 call 1x2, traded $0.05 (ref $99.80)

2.5%

10 delta call skew = +0.1

$107.00 call 11 delta tv=$0.62 vol=29.4 H12 ref=$99.15

Mar $97.00-$105.00 fence hedged $99.80, traded $0.75

62.0%

10 delta put skew = +4.9

2012-01-23
2012-01-20
change

10 delta call skew = +0.0

10 delta tv=$0.48 vol=34.5 ATM vol=29.0

$107.00 call 13 delta tv=$0.72 vol=29.3 H12 ref=$99.77

10 delta put skew = +5.3
1430: $90.00 put

10 delta call skew = +0.0

10 delta tv=$0.50 vol=34.5 ATM vol=29.0

$107.00 call 12 delta tv=$0.69 vol=29.5 H12 ref=$99.62

10 delta put skew = +5.5

10 delta call skew = +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
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

The smile slightly rotated in the direction of the calls

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
5.92
9.46
12.45
14.82
16.68
18.42
19.89
21.24
22.37
23.28
24.03
24.75
25.27
25.74
26.33
26.82
27.31
27.77

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

29.1%
31.2%
32.1%
32.9%
33.0%
33.0%
33.0%
32.8%
32.6%
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
0.20
0.27
0.35
0.44
0.58
0.67
0.71
0.73
0.74
0.76
0.77
0.79
0.81
0.82
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

0.1442
0.3391
0.4489
0.5168
0.5928
0.6637
0.7287
0.7937
0.8645
0.9011
0.9391
0.9585
0.9790
0.9856
1.0020
0.9826
0.9875
0.9947

Natural Gas
68.4%
54.9%
49.2%
45.6%
44.5%
43.6%
43.5%
43.7%
44.3%
41.3%
37.6%
35.5%
34.6%
34.0%
34.0%
32.1%
30.9%
30.0%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
Mar '12

Apr '12

May '12
Jun '12

Strike
90 P
95 P
97 P
100 C
105 C
110 C
115 C
116 C
120 C
130 C
63 P
75 P
85 P
90 P
95 P
85 P
96 P
98 P
125 C
130 C

Settle
0.49
1.30
1.88
2.72
1.02
0.45
0.25
0.23
0.17
0.09
0.04
0.22
0.84
1.57
2.80
1.67
5.51
6.30
1.27
0.97

change
-0.27
-0.52
-0.64
0.42
0.14
0.04
0.00
0.00
0.00
0.00
-0.01
-0.07
-0.20
-0.33
-0.50
-0.28
-0.46
-0.52
0.12
0.09

Parity Value
0.50
1.30
1.87
2.72
1.02
0.43
0.25
0.23
0.17
0.10
0.04
0.22
0.83
1.55
2.79
1.68
5.51
6.29
1.23
0.95

change
-0.23
-0.47
-0.61
0.44
0.14
0.02
0.00
0.00
0.00
-0.01
-0.01
-0.06
-0.21
-0.35
-0.51
-0.29
-0.48
-0.51
0.12
0.10

Parity Vol
34.5%
31.3%
30.2%
28.9%
28.7%
31.5%
36.2%
37.2%
41.1%
50.8%
49.8%
42.9%
37.4%
35.1%
33.0%
37.7%
34.3%
33.6%
33.1%
34.5%

change
1.0
0.8
0.6
0.3
-0.3
-0.7
-0.5
-0.4
-0.2
0.4
0.5
0.6
0.3
0.3
0.3
0.0
0.2
0.3
0.1
0.3

Parity Delta
-9.9
-24.4
-33.6
48.8
19.5
5.6
2.3
2.0
1.2
0.5
-0.4
-2.6
-10.3
-18.9
-31.7
-15.2
-36.9
-41.4
6.4
4.1

Volume
6323
5868
3091
2634
3561
2549
2243
1435
2806
4401
1535
2252
2641
2009
1722
2051
1500
1500
2595
1462

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
80 P
90 P
100 P
120 C

Settle
0.02
0.08
0.18
0.49
1.30
0.05
0.64
1.61
2.45
3.59
7.17
0.61
4.54
7.43
11.40
4.53

change
0.00
-0.05
-0.13
-0.27
-0.52
0.00
-0.09
-0.24
-0.32
-0.39
-0.58
0.08
-0.23
-0.34
-0.48
0.24

Parity Value
0.01
0.07
0.19
0.50
1.30
0.08
0.65
1.63
2.47
3.62
7.16
0.62
4.57
7.43
11.38
4.47

change
-0.01
-0.06
-0.12
-0.23
-0.47
-0.01
-0.07
-0.19
-0.28
-0.38
-0.56
0.08
-0.25
-0.36
-0.52
0.20

Parity Vol
51.5%
42.6%
38.2%
34.5%
31.3%
60.4%
43.8%
40.0%
38.2%
36.4%
33.0%
37.5%
37.9%
35.2%
32.5%
29.8%

change
1.8
1.0
0.6
1.0
0.8
1.0
0.4
0.2
0.1
0.1
0.3
0.5
0.0
0.1
0.0
-0.2

Parity Delta
-0.2
-1.2
-3.2
-9.9
-24.4
0.4
-5.4
-12.7
-18.5
-25.8
-46.4
2.2
-20.0
-29.8
-43.9
22.7

Strike OI
27740
28638
33557
38047
32035
29161
27494
33531
37378
38890
27713
27095
54665
37765
63031
37534

130 C

2.85

0.19

2.81

0.17

30.0%

0.0

12.4

35347

140 C

1.97

0.15

1.89

0.15

31.0%

0.2

6.8

25966

150 C

1.41

0.10

1.36

0.12

32.2%

0.2

4.2

49251

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