CBT S Sep 24, 2020

At the money vols and strikes (approx)

  • S U[25] 2020 Vol= 0.1231 Strike= 10
  • S V[23] 2020 Vol= 0.1718 Strike= 10
  • S X[20] 2020 Vol= 0.1639 Strike= 10
  • S Z[24] 2020 Vol= 0.1571 Strike= 10
  • S G[19] 2021 Vol= 0.1622 Strike= 10
  • S J[23] 2021 Vol= 0.1519 Strike= 10
  • S M[25] 2021 Vol= 0.1432 Strike= 10
  • S N[23] 2021 Vol= 0.1427 Strike= 10
  • S Q[27] 2021 Vol= 0.1336 Strike= 9.6
  • S V[22] 2021 Vol= 0.1233 Strike= 9.4
  • S Z[23] 2021 Vol= 0.1110 Strike= 9.4
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.