PARITY REPORT Crude Oil 2012-03-20

WTI Crude Oil May 106.07 -2.50 (Range 105.70 107.39)

ATM Vol K12 25.4 +1.7 \ M12 27.0 +0.9 \ N12 27.6 +0.6
Tomorrow's Expected 1-StdDev Range for J12: +/-$1.69
0900-1200:
May $105.50 same-day put, paper lifted $0.04 (820 ref NA)
May $106.50 straddle, traded $5.95 (ref NA)
Jun $107.50 straddle, traded $9.25 (ref NA)
Dec $108.50 straddle, traded $19.90 (ref NA)
May $95.00-$90.00 put spread hedged $106.80, traded $0.20 (ref NA)
May $103.00-$102.00 put spread, traded $0.24 (ref NA)
May $95.00-$122.00 strangle, paper hit $0.54 (905 ref $107.18)
May $110.00-$115.00 call spread hedged $106.75, traded $1.02 (ref NA)
May $120.00 call, paper lifted $0.29 (1015 ref $106.23)
May $122.00 call, paper hit $0.24 (905 ref $107.18)
Jun $120.00-$122.50 call spread, traded $0.20 (ref NA)
Jul $65.00 put, traded $0.07 (ref NA)
Dec $85.00 put, paper hit $2.75, $2.80 & $2.90 (ref NA)
Dec $85.00-$115.00 fence hedged $108.20, paper hit $4.05 & $4.00 (ref NA)

1200-1430:
May $106.00 same-day put, paper lifted $0.10 (110 ref NA)
Jun $107.00 straddle, traded $9.35 (ref NA)
Dec $107.50 straddle, traded $19.65 (ref NA)
Dec $108.00 straddle, traded $19.65 and $19.60 (ref NA)
May $100.00-$95.00 put spread, traded $0.70 (ref NA)
May $104.00 put, traded $2.26 (ref NA)
May $109.00-$115.00 call spread hedged $100.00, paper lifted $0.10
May $120.00 call, traded $0.24 (215 ref NA)
Jun $130.00 call hedged $107.00, traded $0.40
Jun $145.00 call, traded $0.16 (ref NA)
Jul $150.00 call, traded $0.25 (ref NA)
Aug $65.00 put, traded $0.16 (ref NA)

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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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.

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
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13
V13

Crude Oil
6.08
9.27
11.60
13.67
15.59
17.17
18.61
19.75
20.94
21.90
22.65
23.35
24.05
24.61
25.12
25.57
25.97
26.46

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

25.4%
27.0%
27.6%
27.8%
28.3%
28.3%
28.4%
28.4%
28.3%
28.0%
27.7%
27.5%
27.2%
27.0%
26.7%
26.5%
26.2%
26.0%

Months
K12
M12
N12
Q12
U12
V12
X12
Z12
F13
G13
H13
J13
K13
M13
N13
Q13
U13
V13

Crude CSO's
0.00
0.23
0.30
0.41
0.54
0.55
0.58
0.65
0.63
0.62
0.64
0.68
0.76
0.82
0.85
0.88
0.88
0.87

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

0.1253
0.2797
0.3691
0.4511
0.5255
0.6031
0.6879
0.7271
0.7751
0.8242
0.8582
0.8766
0.8808
0.9069
0.9410
0.9713
1.0005
1.0388

Natural Gas
45.5%
45.4%
42.7%
41.4%
41.4%
42.2%
43.4%
39.5%
35.3%
34.2%
33.7%
33.2%
32.4%
31.7%
31.2%
30.9%
30.7%
30.9%

Previous Day's Active Option Contracts with Parity Energy Indications

Month
May '12

Jun '12

Dec '12

Strike
95 P
100 P
102 P
103 P
105 P
107 C
110 C
112 C
113 C
115 C
120 C
122 C
125 C
130 C
95 P
100 P
107 C
85 P
108.5 C
135 C

Settle
0.36
0.98
1.44
1.73
2.47
2.51
1.40
0.93
0.77
0.51
0.23
0.18
0.15
0.11
1.18
2.19
4.40
2.83
9.47
2.26

change
0.14
0.40
0.58
0.68
0.93
-1.27
-0.82
-0.58
-0.46
-0.32
-0.13
-0.12
-0.09
-0.08
0.33
0.58
-1.27
0.24
-1.14
-0.29

Parity Value
0.35
0.99
1.46
1.76
2.51
2.56
1.47
0.99
0.81
0.55
0.27
0.21
0.16
0.10
1.16
2.18
4.42
2.86
9.52
2.27

change
0.13
0.39
0.56
0.67
0.92
-1.19
-0.75
-0.52
-0.42
-0.27
-0.10
-0.10
-0.09
-0.09
0.29
0.55
-1.26
0.33
-1.28
-0.31

Parity Vol
29.6%
27.3%
26.6%
26.3%
25.7%
25.4%
25.3%
25.5%
25.7%
26.3%
29.4%
30.8%
33.0%
36.6%
30.8%
29.0%
27.0%
34.3%
28.3%
27.9%

change
-0.2
0.4
0.6
0.7
1.0
1.3
1.9
2.2
2.3
2.5
2.9
2.5
1.9
1.0
0.1
0.3
0.5
0.1
0.0
0.6

Parity Delta
-7.3
-19.7
-27.7
-32.5
-43.4
44.6
28.1
19.4
15.8
10.0
3.2
2.4
1.6
0.9
-14.7
-26.2
49.8
-14.8
52.5
11.0

Volume
5030
9305
2443
2270
2359
2973
8705
4411
6429
3631
3113
3729
2223
2261
2634
2992
2505
2306
1700
2010

High Open Interest Option Contracts with Parity Energy Indications

Month
Jun '12

Dec '12

Dec '13

Strike
80 P
85 P
90 P
95 P
100 P
120 C
140 C
60 P
80 P
85 P
90 P
95 P
100 P
110 C
120 C
125 C

Settle
0.16
0.31
0.61
1.18
2.19
0.88
0.21
0.37
2.03
2.83
3.83
5.07
6.64
8.74
4.99
3.74

change
0.04
0.07
0.15
0.33
0.58
-0.31
-0.07
0.03
0.17
0.24
0.31
0.42
0.56
-1.06
-0.66
-0.53

Parity Value
0.15
0.30
0.60
1.16
2.18
0.91
0.23
0.41
2.07
2.86
3.86
5.11
6.66
8.79
5.01
3.79

change
0.02
0.06
0.15
0.29
0.55
-0.29
-0.07
0.04
0.24
0.33
0.42
0.53
0.65
-1.20
-0.76
-0.56

Parity Vol
37.6%
35.2%
32.8%
30.8%
29.0%
27.6%
36.9%
41.1%
35.7%
34.3%
32.9%
31.6%
30.2%
28.1%
27.1%
27.1%

change
-0.8
-0.4
-0.1
0.1
0.3
1.4
1.3
-0.1
0.1
0.1
0.0
0.0
-0.1
0.0
0.3
0.4

Parity Delta
-1.8
-3.7
-7.5
-14.7
-26.2
9.7
1.2
-2.4
-11.0
-14.8
-19.4
-25.0
-31.8
49.4
29.6
21.6

Strike OI
36754
35784
33430
31803
44431
26138
30738
26562
61598
27463
38805
26515
68624
29682
39937
26166

130 C

2.89

-0.36

2.90

-0.42

27.4%

0.5

15.5

38248

150 C

1.28

-0.14

1.28

-0.11

30.4%

1.0

4.3

56397

100 P

11.68

0.25

11.86

0.94

26.2%

0.2

-38.3

25937

Copyright 2012 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