| Option Summary | |
| Option Scan is a report generally run at the end of the trading day in order to report detailed option strike information. The report can generate the individual strike price and the associated Greek factors for each month and market selected in the report. This information can then be distributed automatically using an email management program or WinFax to clients and customers. | |
OPTIONS CME S & P 500 20-oct-1998 Copyright (c) Optionomics Corp. 1998 SPX1998 DaysToExp=31 O= H= L= C=1074.00 +/-= D%=5.00 F%= Average Volatilities: C=28.61 P=29.78 C+P=29.20 ---------------------------------------------------- ---------------------------------------------------- Strike Prem Iv Dlta Gamma Vega Theta ThVal Strike Prem Iv Dlta Gamma Vega Theta ThVal ---------------------------------------------------- ---------------------------------------------------- 1025C 77.50 40.62 67.2 0.3 1.12 5.35 68.52 : 1025P 33.70 45.01 33.5 0.3 1.14 6.08 19.74 1030C 72.00 38.51 66.3 0.3 1.14 5.13 64.65 : 1030P 35.00 44.45 34.8 0.3 1.16 6.10 20.85 1035C 60.80 31.38 67.1 0.4 1.13 4.13 60.85 : 1035P 36.40 43.92 36.1 0.3 1.17 6.11 22.03 1040C 57.10 30.89 65.4 0.4 1.15 4.17 57.13 : 1040P 23.30 30.93 34.2 0.4 1.15 4.21 23.29 1045C 53.50 : 1045P 24.60 30.39 36.0 0.4 1.17 4.22 24.64 1050C 50.50 30.38 61.5 0.4 1.19 4.28 49.96 : 1050P 26.00 29.86 37.9 0.4 1.19 4.23 26.07 1055C 46.40 29.35 59.7 0.4 1.21 4.19 46.50 : 1055P 27.50 29.35 39.9 0.4 1.21 4.22 27.60 1060C 47.00 32.10 57.2 0.4 1.22 4.67 43.15 : 1060P 29.20 28.93 42.0 0.4 1.22 4.21 29.23 1065C 40.00 28.55 55.5 0.4 1.23 4.18 39.90 : 1065P 30.90 28.42 44.1 0.4 1.23 4.18 30.96 1070C 41.50 31.82 53.2 0.4 1.24 4.70 36.76 : 1070P 32.70 27.91 46.4 0.5 1.24 4.13 32.80 1075C 39.00 31.76 51.2 0.4 1.24 4.71 33.74 : 1075P 51.00 40.59 47.8 0.3 1.24 6.02 34.76 1080C 30.20 26.55 48.5 0.5 1.24 3.94 30.83 : 1080P 31.00 22.37 51.9 0.6 1.24 3.32 36.83 1085C 27.40 26.08 46.0 0.5 1.24 3.85 28.05 : 1085P 30.50 19.70 55.7 0.6 1.23 2.88 39.03 1090C 24.70 25.58 43.4 0.5 1.23 3.74 25.40 : 1090P 33.00 19.31 59.0 0.6 1.21 2.77 41.36 1095C 22.10 25.06 40.8 0.5 1.21 3.61 22.88 : 1095P 43.82 1100C 19.70 24.59 38.2 0.5 1.19 3.47 20.50 : 1100P 40.00 19.80 64.8 0.6 1.16 2.69 46.42 1105C 17.40 24.09 35.4 0.5 1.16 3.31 18.26 : 1105P 49.16 1110C 15.40 23.72 32.8 0.5 1.13 3.15 16.16 : 1110P 51.90 24.26 66.4 0.5 1.14 3.22 52.04 1115C 13.50 23.31 30.1 0.5 1.09 2.97 14.20 : 1115P 55.00 23.89 69.0 0.5 1.10 3.05 55.07 1120C 11.30 22.48 27.1 0.5 1.04 2.71 12.40 : 1120P 62.00 27.01 68.7 0.4 1.11 3.46 58.25 1125C 13.00 25.33 27.6 0.4 1.05 3.08 10.73 : 1125P 61.57 ---------------------------------------------------- ---------------------------------------------------- OPTIONS CME S & P 500 20-oct-1998 Copyright (c) Optionomics Corp. 1998 SPZ1998 DaysToExp=58 O= H= L= C=1074.00 +/-= D%=5.00 F%= Average Volatilities: C=29.38 P=28.52 C+P=28.95 ---------------------------------------------------- ---------------------------------------------------- Strike Prem Iv Dlta Gamma Vega Theta ThVal Strike Prem Iv Dlta Gamma Vega Theta ThVal ---------------------------------------------------- ---------------------------------------------------- 1025C 83.20 33.57 65.6 0.3 1.56 3.16 94.14 : 1025P 35.50 34.13 33.8 0.2 1.56 3.28 45.59 1030C 79.50 33.13 64.4 0.3 1.58 3.17 90.64 : 1030P 35.60 32.94 34.8 0.3 1.58 3.20 47.05 1035C 75.90 32.71 63.2 0.3 1.60 3.17 87.18 : 1035P 36.90 32.49 36.1 0.3 1.60 3.20 48.56 1040C 72.30 32.26 61.9 0.3 1.61 3.17 83.78 : 1040P 38.40 32.12 37.4 0.3 1.62 3.20 50.12 1045C 68.90 31.90 60.5 0.3 1.63 3.17 80.42 : 1045P 39.80 31.66 38.7 0.3 1.63 3.19 51.73 1050C 64.00 30.59 59.3 0.3 1.64 3.07 77.12 : 1050P 41.30 31.23 40.1 0.3 1.65 3.17 53.39 1055C 62.00 31.00 57.7 0.3 1.66 3.14 73.88 : 1055P 42.80 30.75 41.5 0.3 1.66 3.15 55.10 1060C 60.00 31.36 56.2 0.3 1.67 3.21 70.68 : 1060P 44.40 30.30 43.0 0.3 1.67 3.13 56.87 1065C 55.40 30.13 54.8 0.3 1.68 3.10 67.55 : 1065P 46.10 29.87 44.5 0.3 1.68 3.10 58.70 1070C 52.30 29.75 53.2 0.3 1.69 3.08 64.47 : 1070P 47.90 29.46 46.1 0.3 1.69 3.07 60.59 1075C 49.20 29.33 51.6 0.3 1.69 3.05 61.46 : 1075P 50.20 29.29 47.7 0.3 1.69 3.06 62.54 1080C 45.80 28.69 50.0 0.3 1.69 2.99 58.50 : 1080P 45.80 25.14 49.9 0.4 1.70 2.62 64.55 1085C 42.90 28.29 48.3 0.3 1.69 2.95 55.61 : 1085P 54.10 28.42 51.0 0.3 1.70 2.96 66.62 1090C 39.50 27.55 46.5 0.3 1.69 2.86 52.79 : 1090P 48.00 23.14 54.2 0.4 1.69 2.39 68.76 1095C 37.40 27.53 44.8 0.3 1.68 2.85 50.03 : 1095P 58.30 27.52 54.5 0.3 1.69 2.84 70.97 1100C 34.50 26.99 43.0 0.3 1.67 2.77 47.34 : 1100P 60.60 27.12 56.3 0.3 1.67 2.78 73.24 1105C 32.20 26.75 41.2 0.3 1.66 2.72 44.72 : 1105P 62.90 26.66 58.1 0.3 1.66 2.70 75.59 1110C 29.70 26.33 39.4 0.3 1.64 2.65 42.17 : 1110P 65.50 26.32 60.0 0.3 1.64 2.63 78.00 1115C 27.40 25.98 37.5 0.3 1.62 2.58 39.69 : 1115P 68.10 25.93 61.8 0.3 1.62 2.55 80.49 1120C 25.20 25.63 35.7 0.3 1.59 2.50 37.29 : 1120P 61.00 19.20 69.1 0.4 1.50 1.72 83.05 1125C 26.50 27.45 35.3 0.3 1.59 2.67 34.96 : 1125P 73.80 25.27 65.5 0.3 1.57 2.39 85.69 ---------------------------------------------------- ---------------------------------------------------- No data for SPF1999 No data for SPG1999 OPTIONS CME S & P 500 20-oct-1998 Copyright (c) Optionomics Corp. 1998 SPH1999 DaysToExp=149 O= H= L= C=1083.20 +/-= D%=5.00 F%= Average Volatilities: C=29.72 P=30.36 C+P=30.04 ---------------------------------------------------- ---------------------------------------------------- Strike Prem Iv Dlta Gamma Vega Theta ThVal Strike Prem Iv Dlta Gamma Vega Theta ThVal ---------------------------------------------------- ---------------------------------------------------- 1035C 115.85 : 1035P 71.00 35.00 37.0 0.2 2.59 2.10 68.95 1040C 107.60 32.03 60.6 0.2 2.59 1.87 111.70 : 1040P 65.30 31.92 37.6 0.2 2.60 1.93 69.70 1045C 107.65 : 1045P 74.30 34.48 38.6 0.2 2.62 2.10 70.56 1050C 104.00 32.63 58.8 0.2 2.62 1.93 103.73 : 1050P 68.50 31.38 39.3 0.2 2.63 1.92 71.54 1055C 99.93 : 1055P 72.30 31.92 40.2 0.2 2.65 1.96 72.64 1060C 94.70 31.01 57.1 0.2 2.65 1.86 96.25 : 1060P 72.00 30.89 41.1 0.2 2.66 1.91 73.86 1065C 92.69 : 1065P 75.90 31.43 42.0 0.2 2.67 1.95 75.21 1070C 88.40 30.46 55.2 0.2 2.67 1.85 89.25 : 1070P 75.50 30.34 43.0 0.2 2.68 1.89 76.68 1075C 85.40 30.22 54.3 0.2 2.68 1.85 85.94 : 1075P 77.40 30.10 43.9 0.2 2.69 1.88 78.28 1080C 82.30 29.93 53.3 0.2 2.69 1.84 82.76 : 1080P 79.20 29.80 44.9 0.2 2.70 1.86 80.01 1085C 81.90 30.62 52.5 0.2 2.69 1.89 79.71 : 1085P 77.60 28.24 46.1 0.2 2.71 1.77 81.86 1090C 78.20 30.07 51.5 0.2 2.70 1.86 76.78 : 1090P 83.85 1095C 75.30 29.81 50.5 0.2 2.70 1.85 73.98 : 1095P 85.96 1100C 70.80 28.93 49.4 0.2 2.71 1.79 71.31 : 1100P 83.00 27.21 49.3 0.2 2.72 1.70 88.20 1105C 69.70 29.29 48.5 0.2 2.71 1.82 68.77 : 1105P 90.57 1110C 65.00 28.31 47.3 0.2 2.70 1.76 66.35 : 1110P 91.30 28.16 51.1 0.2 2.72 1.76 93.07 1115C 64.30 28.79 46.4 0.2 2.70 1.79 64.06 : 1115P 95.69 1120C 61.80 28.58 45.4 0.2 2.69 1.77 61.90 : 1120P 98.45 1125C 57.20 27.57 44.1 0.2 2.69 1.71 59.86 : 1125P 98.20 27.41 54.3 0.2 2.70 1.69 101.32 1130C 54.60 27.29 43.0 0.2 2.68 1.68 57.94 : 1130P 100.50 27.12 55.5 0.2 2.69 1.66 104.32 1135C 56.14 : 1135P 107.44 ---------------------------------------------------- ----------------------------------------------------