CBT KW Sep 24, 2020

At the money vols and strikes (approx)

  • KW U[25] 2020 Vol= 0.2352 Strike= 4.85
  • KW V[23] 2020 Vol= 0.2583 Strike= 4.85
  • KW X[20] 2020 Vol= 0.2442 Strike= 4.85
  • KW G[19] 2021 Vol= 0.2141 Strike= 4.9
  • KW J[23] 2021 Vol= 0.2062 Strike= 5
  • KW M[25] 2021 Vol= 0.1972 Strike= 5.1
  • KW Q[27] 2021 Vol= 0.1850 Strike= 5.2
  • KW X[26] 2021 Vol= 0.1754 Strike= 5.3
  • KW M[24] 2022 Vol= 0.1615 Strike= 5.2
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.