CBT C Sep 24, 2020

At the money vols and strikes (approx)

  • C U[25] 2020 Vol= 0.1675 Strike= 3.65
  • C V[23] 2020 Vol= 0.1946 Strike= 3.65
  • C X[20] 2020 Vol= 0.1937 Strike= 3.65
  • C G[19] 2021 Vol= 0.1843 Strike= 3.7
  • C J[23] 2021 Vol= 0.1822 Strike= 3.8
  • C M[25] 2021 Vol= 0.1817 Strike= 3.8
  • C Q[27] 2021 Vol= 0.1787 Strike= 3.8
  • C X[26] 2021 Vol= 0.1628 Strike= 3.8
  • C G[18] 2022 Vol= 0.1414 Strike= 3.9
  • C M[24] 2022 Vol= 0.1387 Strike= 4
  • C X[25] 2022 Vol= 0.1182 Strike= 3.9
The information above is the product code, expiration month codethe exact last day of trading is in the brackets finally we have the expiry year. This is generally not the standard form for symbology. However, with some contracts we may have two or more expiries with the same contract month. The contracts may even share expiry year, so in order to disambiguate the contracts we show extra detail.The vol is next, and finally the actual strike.