CBT S Feb 8, 2019

At the money vols and strikes (approx)

  • S G[22] 2019 Vol= 0.1323 Strike= 9.1
  • S H[22] 2019 Vol= 0.1381 Strike= 9.3
  • S J[26] 2019 Vol= 0.1443 Strike= 9.3
  • S M[21] 2019 Vol= 0.1508 Strike= 9.4
  • S N[26] 2019 Vol= 0.1556 Strike= 9.4
  • S Q[23] 2019 Vol= 0.1594 Strike= 9.6
  • S V[25] 2019 Vol= 0.1595 Strike= 9.6
  • S Z[27] 2019 Vol= 0.1531 Strike= 9.6
  • S G[21] 2020 Vol= 0.1461 Strike= 9.8
  • S J[24] 2020 Vol= 0.1260 Strike= 9.8
  • S V[23] 2020 Vol= 0.1271 Strike= 9.8
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.