commodities (pm&bm) - term structures & implied volatilities - futures & etfs.pdf
DESCRIPTION
Commodities (PM&BM) - Term Structures & Implied Volatilities - Futures & ETFs.pdfResearch Bullish Gold, Palladium, Copper Go long with ETCs Long gold – negative real rates, weaker USD, central bank diversification Long palladium - growing market deficit over the next 5 years Long copper - positioning for a China rebound Long gold – negative real rates, weaker USD, central bank diversification QE is helping to push US real 10 year yields deeper into negative territory. Attention will focus on the FOMC’s next meeting on December 12th and the possible extension of QE to include longer-term Treasury debt. Gold and silver returns perform well when short- and long-term real interest rates are low or negative Gold has been a reliable source of positive returns. On an annual basis, the last time gold posted negative returns was in 2000. When measured in real terms, and versus physical and financial assets we believe gold prices need to move in excess of USD 2,200 to move into territory that can be considered extreme. Official purchases, largely from emerging markets, have been consistent and generally increasing; the breadth of buying is significant. Current Spot price at 1,720 USD/oz vs Q2 2013 forecast of 2,100 USD/OzLong palladium - growing market deficit over the next 5 yearsPalladium fundamentals are strong with a rising market deficit over the next few years. US labour market trends are worth watching closely since these will determine the extent and scale of any further recovery in auto sales. Current Spot price at 679 USD/oz vs Q2 2013 forecast of 700 USD/OzLong copper - positioning for a China rebound Industrial metals are poised to benefit as the Chinese economy recovers. Supply has disappointed over the past 10 years, and is doing so again in 2012. In fact, upcoming expiration of labour contracts could pose risks for production disruption in Q4 this year and Q1 next year. Over the medium term, cost inflation remains a key challenge as does the decline in quality exploitable resources. Chile output levels may not reach its potential due to power/water bottlenecks and grade decline. Current Spot price at 7,720 USD/MT vs Q2 2013 forecast of 8,200 USD/MTTRANSCRIPT
30.11.2012
Ticker Name ATM RefConvenience Yield (%
p.a.)
ATM Vol - 30D
ATM Vol - 60D
ATM Vol - 90D
ATM Vol - 6M
ATM Vol - 12M
ATM Vol - 18M
ATM Vol - 24M
Skew (a) - 30D
Skew (a) - 60D
Skew (a) - 90D
Skew (a) - 6M
Skew (a) - 12M
Skew (a) - 18M
Skew (a) - 24M
Skew (b) - 30D
Skew (b) - 60D
Skew (b) - 90D
Skew (b) - 6M
Skew (b) - 12M
Skew (b) - 18M
Skew (b) - 24M
RSA Comdty CANOLA FUTR (WCE) Jan13 594.00 15.81 15.99 15.39 15.38 14.97 0.122 0.128 0.068 0.007 0.003 -0.004 -0.001 -0.002 0.000 0.000
CCA Comdty COCOA FUTURE Mar13 2492.00 24.44 24.95 25.36 25.54 25.99 26.02 0.010 0.073 0.056 0.047 0.026 0.022 -0.004 -0.001 0.000 0.000 0.000 0.000
KCA Comdty COFFEE 'C' FUTURE Mar13 155.30 31.14 30.06 29.79 29.40 28.86 28.08 28.09 0.154 0.113 0.104 0.065 0.045 0.021 0.018 -0.002 -0.001 0.000 0.000 0.000 0.000 0.000
C A Comdty CORN FUTURE Mar13 756.25 17.36 20.02 21.90 23.97 24.24 22.78 21.87 -0.008 0.078 0.065 0.056 0.012 0.016 0.017 -0.003 0.000 0.000 -0.001 0.000 0.000 0.000
CTA Comdty COTTON NO.2 FUTR Mar13 73.40 20.81 20.81 20.81 20.57 20.56 20.03 19.12 -0.014 -0.014 -0.004 -0.024 -0.009 -0.008 -0.008 0.000 0.000 0.000 0.000 0.000 0.000 0.000
JOA Comdty FCOJ-A FUTURE Jan13 124.10 36.66 38.23 38.58 32.88 32.05 32.03 32.09 0.035 0.126 0.151 0.038 0.015 0.013 0.012 -0.001 -0.001 -0.001 -0.001 0.000 0.000 0.000
LBA Comdty LUMBER FUTURE Jan13 342.80 28.73 27.40 25.98 17.93 -0.055 -0.003 0.052 -0.007 -0.004 -0.003 -0.002 -0.001
O A Comdty OAT FUTURE Mar13 372.50 20.68 20.68 20.55 19.07 19.07 0.041 0.041 0.053 0.194 0.194 -0.001 -0.001 -0.001 -0.001 -0.001
RRA Comdty R O U G H R I C E ( C B O T ) J a n 1 3 15.19 12.73 13.85 14.60 12.33 12.33 0.387 0.338 0.285 0.143 0.143 -0.004 -0.003 -0.002 -0.001 -0.001
S A Comdty SOYBEAN FUTURE Jan13 1438.25 17.55 20.68 21.26 20.57 20.34 0.028 0.122 0.139 0.132 0.056 -0.003 -0.001 -0.001 -0.001 0.000
SMA Comdty SOYBEAN MEAL FUTR Jan13 432.50 20.22 21.93 22.46 21.04 19.52 0.064 0.142 0.189 0.131 0.096 -0.006 -0.002 -0.001 -0.001 -0.001
BOA Comdty SOYBEAN OIL FUTR Jan13 49.92 18.43 18.14 18.67 18.14 18.15 0.169 0.244 0.092 0.107 0.007 -0.004 -0.004 -0.001 -0.001 0.000
SBA Comdty SUGAR #11 (WORLD) Mar13 19.29 23.32 23.13 22.99 22.17 20.70 20.69 20.35 0.028 0.098 0.081 0.027 0.012 0.021 -0.001 -0.006 -0.002 -0.001 -0.001 0.000 0.000 0.000
W A Comdty WHEAT FUTURE(CBT) Mar13 877.50 22.06 24.56 25.20 25.53 24.68 0.127 0.107 0.102 0.087 0.044 0.000 0.000 0.000 0.000 0.000
KWA Comdty WHEAT FUTURE(KCB) Mar13 926.00 24.98 24.98 24.94 24.15 24.34 0.073 0.073 0.071 0.053 0.000 -0.001 -0.001 -0.001 0.000 0.000
FCA Comdty CATTLE FEEDER FUT Jan13 146.95 10.59 10.59 10.78 11.28 -0.020 -0.020 -0.040 -0.115 -0.002 -0.002 -0.001 0.000
LHA Comdty LEAN HOGS FUTURE Feb13 86.83 12.71 14.25 15.35 14.29 13.87 -0.135 -0.120 -0.108 -0.106 -0.100 -0.009 -0.004 -0.001 0.000 0.000
LCA Comdty LIVE CATTLE FUTR Feb13 132.10 9.51 9.93 10.08 9.75 -0.072 -0.149 -0.142 -0.105 -0.006 -0.002 -0.001 -0.001
CLA Comdty WTI CRUDE FUTURE Jan13 87.95 27.55 27.58 28.23 29.31 27.62 25.35 23.76 -0.163 -0.147 -0.145 -0.095 -0.097 -0.053 -0.073 -0.001 0.000 0.000 0.000 0.000 0.000 0.000
COA Comdty BRENT CRUDE FUTR Jan13 110.49 23.55 24.53 25.96 26.72 26.56 24.65 23.54 0.046 -0.014 -0.032 -0.066 -0.050 -0.095 -0.058 0.000 0.000 0.000 0.000 0.000 0.000 0.000
XBA Comdty GASOLINE RBOB FUT Dec12 277.30 23.30 25.77 25.53 25.39 26.20 26.20 26.20 0.108 0.078 -0.026 -0.022 0.000 0.000 0.000 -0.001 0.001 0.000 0.000 0.000 0.000 0.000
HOA Comdty HEATING OIL FUTR Dec12 303.33 20.82 21.80 22.25 23.28 21.38 21.38 21.38 -0.126 -0.076 -0.043 -0.036 -0.019 -0.019 -0.019 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000
QSA Comdty GAS OIL FUT (ICE) Jan13 947.75 20.94 21.27 21.88 23.32 22.11 20.57 19.36 -0.021 -0.053 -0.079 -0.060 -0.010 -0.053 -0.009 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000
NGA Comdty NATURAL GAS FUTR Jan13 3.63 37.17 35.36 35.55 30.95 27.34 24.66 23.15 0.058 0.062 0.046 -0.018 -0.024 -0.007 0.000 0.001 -0.001 0.000 0.000 0.000 0.000 0.000
GCA Comdty GOLD 100 OZ FUTR Feb13 1731.40 10.60 11.82 12.52 14.56 16.88 18.38 18.85 -0.073 -0.006 0.003 0.012 0.009 0.007 0.005 0.000 0.000 0.000 0.000 0.000 0.000 0.000
SIA Comdty SILVER FUTURE Mar13 34.33 20.61 21.60 22.18 23.88 25.93 26.14 26.49 -0.064 -0.062 -0.072 -0.079 -0.007 -0.006 -0.003 -0.002 -0.001 -0.001 0.000 0.000 0.000 0.000
PLA Comdty PLATINUM FUTURE Jan13 1621.00 18.06 19.66 19.80 19.90 -0.057 0.036 0.074 0.101 -0.005 -0.001 -0.001 -0.002
PAA Comdty PALLADIUM FUTURE Mar13 692.05 33.03 29.46 26.73 26.73 0.011 0.045 0.070 0.070 0.000 -0.001 -0.001 -0.001
LAA Comdty LME PRI ALUM FUTR Dec12 2073.00 17.80 17.56 18.27 18.43 18.43 18.43 18.43 -0.055 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LPA Comdty LME COPPER FUTURE Dec12 7890.25 15.64 19.18 20.11 20.11 20.11 20.11 20.11 -0.053 -0.049 -0.045 -0.045 -0.045 -0.045 -0.045 -0.001 0.001 0.001 0.001 0.001 0.001 0.001
LLA Comdty LME LEAD FUTURE Dec12 2216.50 25.97 26.39 26.87 27.88 27.88 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LNA Comdty LME NICKEL FUTURE Dec12 16963.00 26.31 26.85 27.03 27.03 27.03 27.03 27.03 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
LXA Comdty LME ZINC FUTURE Dec12 2020.00 21.58 19.94 19.94 19.94 19.94 19.94 19.94 -0.171 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Agr
icul
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Live
st
ock
Ener
gyPr
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Met
als
At The Money Implied Volatilities by Terms
Indu
stria
l M
etal
s
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx
2 + ct
www.qmsadv.com
30.11.2012
Ticker Name ATM RefConvenience Yield (%
p.a.)
ATM Vol - 30D
ATM Vol - 60D
ATM Vol - 90D
ATM Vol - 6M
ATM Vol - 12M
ATM Vol - 18M
ATM Vol - 24M
Skew (a) - 30D
Skew (a) - 60D
Skew (a) - 90D
Skew (a) - 6M
Skew (a) - 12M
Skew (a) - 18M
Skew (a) - 24M
Skew (b) - 30D
Skew (b) - 60D
Skew (b) - 90D
Skew (b) - 6M
Skew (b) - 12M
Skew (b) - 18M
Skew (b) - 24M
UNG US Equity US NATURAL GAS FUND LP 20.81 36.31 36.09 36.24 36.27 36.54 37.29 38.05 -0.007 -0.020 -0.030 -0.026 0.019 0.019 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000HNU CN Equity HORIZONS BETA NYMEX NAT BULL 14.45 64.57 67.69 70.43 71.24 -0.318 -0.138 -0.108 -0.165 0.000 0.001 0.001 0.000SLV US Equity ISHARES SILVER TRUST 33.13 22.04 22.31 22.76 24.25 26.11 27.15 27.84 -0.091 -0.067 -0.069 -0.069 -0.076 -0.085 -0.092 -0.007 -0.003 -0.002 -0.001 -0.001 0.000 0.000HND CN Equity HORIZONS BETA NYMEX NAT BEAR 3.65 73.86 95.52 101.99 88.61 -1.713 -1.463 -0.962 -1.384 -0.013 -0.005 -0.007 -0.009GLD US Equity SPDR GOLD TRUST 167.18 11.56 12.08 12.80 14.51 17.07 19.20 20.46 -0.098 -0.035 -0.010 0.013 0.016 0.022 0.018 -0.008 -0.004 -0.003 -0.002 -0.001 -0.001 0.000USO US Equity UNITED STATES OIL FUND LP 32.17 26.26 27.09 28.23 29.99 30.98 31.23 31.25 -0.174 -0.151 -0.143 -0.124 -0.102 -0.103 -0.111 -0.004 -0.002 -0.001 0.000 0.000 0.000 0.000HOU CN Equity HORIZONS BETA NYMEX CRUDE BU 4.10 61.10 59.79 59.31 62.11 -0.354 -0.064 -0.266 -0.149 -0.006 -0.003 -0.001 0.000IAU US Equity ISHARES GOLD TRUST 16.79 12.26 12.75 13.31 14.63 17.42 19.27 20.60 -0.067 -0.103 -0.044 0.016 -0.004 0.002 0.015 0.000 -0.001 -0.001 -0.001 -0.001 0.000 0.000HOD CN Equity HORIZONS BETA NYMEX CRUDE BE 6.19 67.29 88.30 124.62 133.52 -0.530 0.583 -0.552 -0.768 0.000 0.001 -0.007 -0.001ZSL US Equity PROSHARES ULTRASHORT SILVER 39.86 39.47 41.18 45.89 49.01 72.94 0.076 -0.013 0.026 0.092 -0.896 -0.002 0.000 -0.001 0.000 -0.002UCO US Equity PROSHRE ULT DJ-UBS CRUDE OIL 27.37 46.41 46.89 51.19 55.85 57.65 58.59 58.97 0.057 0.236 0.059 -0.101 -0.084 -0.065 -0.035 -0.003 -0.002 -0.001 0.000 0.000 0.000 0.000DBA US Equity P O W E R S H A R E S D B A G R I C U L T U R E F 29.08 12.94 13.75 14.71 16.09 17.71 18.37 18.61 -0.033 -0.049 -0.028 -0.011 -0.017 -0.013 -0.007 0.000 -0.001 -0.001 -0.001 0.000 0.000 0.000DBC US Equity POWERSHARES DB COMMODITY IND 28.08 15.10 16.13 16.96 18.43 19.96 20.39 20.47 -0.324 -0.390 -0.318 -0.226 -0.182 -0.150 -0.120 -0.004 -0.005 -0.003 -0.001 0.000 0.000 -0.001SCO US Equity PROSHRE U/S DJ-UBS CRUDE OIL 43.75 52.63 54.70 56.41 59.00 61.45 63.27 64.83 0.152 0.125 0.112 0.107 0.083 0.070 0.067 -0.002 -0.001 0.000 0.000 0.000 0.000 0.000AGQ US Equity PROSHARES ULTRA SILVER 56.60 44.08 44.71 45.83 48.07 51.52 53.69 55.24 -0.083 -0.061 -0.066 -0.043 -0.014 -0.038 -0.078 -0.003 -0.001 -0.001 -0.001 0.000 0.000 0.000GSG US Equity ISHARES S&P GSCI COMMODITY I 32.87 16.73 17.65 18.32 19.52 -0.274 -0.273 -0.207 -0.135 -0.003 -0.002 -0.002 -0.001GAS CN Equity ISHARES NATURAL GAS COMMODIT 12.83 129.11 57.15 115.87 87.40 51.50 -2.516 0.047 0.224 0.088 0.162 -0.002 0.003 0.013 0.005 0.001OIL US Equity IPATH GOLDMAN SACHS CRUDE 21.01 26.85 28.71 29.81 31.29 32.41 32.74 32.86 -0.128 -0.121 -0.144 -0.128 -0.109 -0.099 -0.091 -0.004 -0.001 -0.001 0.000 0.000 0.000 0.000RJA US Equity ELEMENTS ROGERS AGRI TOT RET 9.44 19.04 19.04 19.05 19.39 -0.042 -0.042 -0.042 0.051 0.000 0.000 0.000 0.000DJP US Equity IPATH DOW JONES-UBS COMMDTY 42.59 14.72 15.51 16.04 17.12 -0.155 -0.212 -0.224 -0.213 -0.001 -0.001 -0.001 -0.001DBB US Equity POWERSHARES DB BASE METALS F 18.94 21.59 22.17 23.02 24.19 -0.077 -0.188 -0.232 -0.211 0.000 0.000 0.000 0.000S IVR US Equ i t yETFS PHYSICAL SILVER SHARES 33.91 21.89 22.16 22.79 24.23 -0.125 -0.031 -0.062 -0.077 -0.005 -0.003 -0.002 -0.001RJI US Equity ELEMENTS ROGERS TOTAL RETURN 8.69 17.85 17.85 17.85 17.85 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000GAZ US Equity IPATH DJ-UBS NAT GAS SUBINDX 3.12 45.74 46.47 48.00 47.01 0.000 0.153 0.363 0.186 0.000 -0.001 -0.003 -0.001JJC US Equity IPATH DJ-UBS COPPER SUBINDX 45.37 21.59 22.86 23.69 24.91 -0.133 -0.201 -0.174 -0.167 -0.002 -0.001 -0.001 0.000GLL US Equity PROSHARES ULTRASHORT GOLD 59.10 23.45 24.93 26.06 28.88 0.014 -0.008 0.022 0.008 -0.006 -0.003 -0.001 0.000DBO US Equity POWERSHARES DB OIL FUND 25.09 23.77 24.14 24.71 25.81 -0.159 -0.205 -0.175 -0.134 -0.001 -0.001 -0.001 -0.001UGL US Equity PROSHARES ULTRA GOLD 91.05 23.15 24.73 25.93 28.59 -0.151 -0.021 0.012 0.024 -0.006 -0.003 -0.002 -0.001USL US Equity U N I T E D S T A T E S 1 2 M O N T H O I L 38.65 24.88 25.81 26.87 27.74 27.39 -0.136 -0.191 -0.167 -0.175 0.092 -0.002 -0.001 -0.001 -0.001 0.001CGL CN Equity ISHARES GOLD BULLION FUND 15.44 22.41 21.37 20.32 23.08 -0.397 -0.261 -0.286 -0.181 -0.040 -0.018 -0.011 -0.003SGOL US Equity ETFS GOLD TRUST 170.44 11.54 12.22 13.02 14.70 -0.117 -0.044 -0.004 0.003 -0.002 -0.002 -0.003 -0.002DBE US Equity POWERSHARES DB ENERGY FUND 27.99 21.31 21.42 21.89 23.06 -0.096 -0.132 -0.139 -0.139 -0.001 -0.002 -0.002 -0.001BAL US Equity IPATH DJ-UBS COTTON SUBINDX 47.78 26.24 27.70 29.19 30.84 -0.001 -0.063 -0.059 -0.053 -0.002 -0.001 -0.001 0.000DBP US Equity POWERSHARES DB PREC METALS F 60.09 13.66 14.42 15.19 16.91 0.009 0.045 0.030 0.007 -0.001 -0.001 -0.002 -0.001RJN US Equity ELEMENTS ROGERS ENERGY TR 6.42 30.04 30.04 30.05 -0.092 -0.092 -0.092 0.000 0.000 0.000DBS US Equity POWERSHARES DB SILVER FUND 59.09 22.56 22.74 23.44 24.84 -0.125 -0.142 -0.112 -0.089 -0.003 -0.002 -0.002 -0.001CORN US Equity TEUCRIUM CORN FUND 48.07 19.02 19.78 20.51 22.59 23.24 23.42 23.48 0.067 0.065 0.023 0.025 0.038 0.024 0.005 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000UGA US Equity UNITED STATES GAS FUND LP 57.55 25.14 25.74 26.22 26.74 -0.236 -0.171 -0.154 -0.139 -0.002 -0.001 -0.001 -0.001DGL US Equity POWERSHARES DB GOLD FUND 59.28 11.69 12.27 13.00 14.62 -0.032 0.025 0.006 -0.002 -0.001 -0.001 -0.002 -0.002COW US Equity IPATH DJ-UBS LIVESTOCK SUB 28.64 15.80 16.01 16.95 18.12 -0.078 -0.076 -0.041 -0.018 0.000 -0.001 -0.001 0.000UNL US Equity UNITED STATES 12 MONTH NATUR 18.29 21.21 21.43 21.68 21.13 -0.030 0.120 0.276 0.052 0.000 -0.001 -0.003 -0.001DNO US Equity UNITED STATES SHORT OIL FUND 39.51 27.28 28.33 29.50 30.79 0.149 0.144 0.133 0.121 -0.002 -0.001 -0.001 0.000
Mai
n C
omm
odity
ETF
s
At The Money Implied Volatilities by TermsOption Implied Volatility Skew Parameters by Terms:
IVt = atx + btx2 + ct
www.qmsadv.com
30.11.2012
WTI Crude Futures Term Structures & Implied Volatilities
WTI Crude Oil - Forward Curve (Fair Value)
80
82
84
86
88
90
92
Jan-
13
Apr
-13
Jul-1
3
Oct
-13
Jan-
14
Apr
-14
Jul-1
4
Oct
-14
Jan-
15
Apr
-15
Jul-1
5
Oct
-15
Jan-
16
Apr
-16
Jul-1
6
Oct
-16
Jan-
17
Apr
-17
Jul-1
7
Oct
-17
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
Term Structure - Slope (% p.a.) GOLD 100 OZ FUTR Feb13
WTI Crude Oil - Historical 12-Months Implied Volatilities
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
Apr
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
70
75
80
85
90
95
100
105
110
115
6MTH_IMPVOL_90.0%MNY_DF 6MTH_IMPVOL_100.0%MNY_DF6MTH_IMPVOL_110.0%MNY_DF PX_LAST
WTI Crude Oil - 30 Days Implied VS Historical Volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY
3MTH12M
TH
24M
TH
20%
22%
24%
26%
28%
30%
32%
WTI Crude Oil - Implied Volatility Surface
0.300-0.3200.280-0.3000.260-0.2800.240-0.2600.220-0.2400.200-0.220
www.qmsadv.com
30.11.2012
Brent Crude Oil Futures Term Structures & Implied Volatilities
Brent Crude Oil - Forward Curve (Fair Value)
0
20
40
60
80
100
120
Dec
-12
Feb-
13
Apr
-13
Jun-
13A
ug-1
3O
ct-1
3D
ec-1
3
Feb-
14A
pr-1
4Ju
n-14
Aug
-14
Oct
-14
Dec
-14
Feb-
15A
pr-1
5Ju
n-15
Aug
-15
Oct
-15
Dec
-15
Feb-
16A
pr-1
6Ju
n-16
Aug
-16
Oct
-16
Dec
-16
Feb-
17A
pr-1
7
Jun-
17
-20.0%
-18.0%
-16.0%
-14.0%
-12.0%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
Term Structure - Slope (% p.a.) SILVER FUTURE Mar13
Brent Crude Oil - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
Apr
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
80
85
90
95
100
105
110
115
120
125
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_100.0%MNY_DF PX_LAST
Brent Crude Oil - 30 Days Implied VS Historical Volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH
24M
TH
20%21%22%23%24%25%26%27%28%
Brent Crude Oil - Implied Volatility Surface
0.270-0.2800.260-0.2700.250-0.2600.240-0.2500.230-0.2400.220-0.2300.210-0.2200.200-0.210
www.qmsadv.com
30.11.2012
Natural Gas Futures Term Structures & Implied Volatilities
Natural Gas - Forward Curve (Fair Value)
3
3.2
3.4
3.6
3.8
4
4.2
4.4
4.6
4.8
5
Dec
-12
Mar
-13
Jun-
13
Sep
-13
Dec
-13
Mar
-14
Jun-
14
Sep
-14
Dec
-14
Mar
-15
Jun-
15
Sep
-15
Dec
-15
Mar
-16
Jun-
16
Sep
-16
Dec
-16
Mar
-17
Jun-
17
Sep
-17
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
Term Structure - Slope (% p.a.) NATURAL GAS FUTR Jan13
Natural Gas - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
50%
55%
Nov
-11
Dec
-11
Jan-
12
Feb-
12
Mar
-12
Apr
-12
May
-12
Jun-
12
Jul-1
2
Aug
-12
Sep
-12
Oct
-12
Nov
-12
3
3.2
3.4
3.6
3.8
4
4.2
4.4
4.6
6MTH_IMPVOL_110.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_100.0%MNY_DF PX_LAST
Natural Gas - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
70%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH
24M
TH
20%22%24%26%28%30%32%34%36%38%
Natural Gas - Implied Volatility Surface
0.360-0.3800.340-0.3600.320-0.3400.300-0.3200.280-0.3000.260-0.2800.240-0.2600.220-0.2400.200-0.220
www.qmsadv.com
30.11.2012
Gold Futures Term Structures & Implied Volatilities
Gold - Forward Curve (Fair Value)
1550
1600
1650
1700
1750
1800
1850
Dec
-12
Jan-
13
Feb-
13
Mar
-13
Apr
-13
May
-13
Jun-
13
Jul-1
3
Aug
-13
Sep
-13
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Term Structure - Slope (% p.a.) GOLD 100 OZ FUTR Feb13
Gold - Historical 12-Months Implied Volatilities
16%
18%
20%
22%
24%
26%
28%
30%
32%
Nov
-11
Dec
-11
Dec
-11
Jan-
12Ja
n-12
Feb-
12Fe
b-12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
Apr
-12
May
-12
May
-12
Jun-
12Ju
n-12
Jul-1
2Ju
l-12
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
12MTH_IMPVOL_100.0%MNY_DF 12MTH_IMPVOL_90.0%MNY_DF12MTH_IMPVOL_110.0%MNY_DF PX_LAST
Gold - 30 Days Implied VS Historical Volatility
0%
5%
10%
15%
20%
25%
30%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH
24M
TH
10%11%12%13%14%15%16%17%18%19%
Gold - Implied Volatility Surface
0.180-0.1900.170-0.1800.160-0.1700.150-0.1600.140-0.1500.130-0.1400.120-0.1300.110-0.1200.100-0.110
www.qmsadv.com
30.11.2012
Silver Futures Term Structures & Implied Volatilities
Silver - Forward Curve (Fair Value)
30
30.5
31
31.5
32
32.5
33
33.5
34
34.5
35
Dec
-12
Jan-
13
Feb-
13
Mar
-13
Apr
-13
May
-13
Jun-
13
Jul-1
3
Aug
-13
Sep
-13
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
Term Structure - Slope (% p.a.) SILVER FUTURE Mar13
Silver - Historical 12-Months Implied Volatilities
25%
30%
35%
40%
45%
50%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12Fe
b-12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
Apr
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2A
ug-1
2
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
15
20
25
30
35
40
12MTH_IMPVOL_100.0%MNY_DF 12MTH_IMPVOL_90.0%MNY_DF12MTH_IMPVOL_110.0%MNY_DF PX_LAST
Silver - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
7.5%
IV 1
02.5
%
IV 1
10%
30D
AY3M
TH12M
TH
24M
TH
20%
21%
22%
23%
24%
25%
26%
27%
Silver - Implied Volatility Surface
0.260-0.2700.250-0.2600.240-0.2500.230-0.2400.220-0.2300.210-0.2200.200-0.210
www.qmsadv.com
30.11.2012
Platinum Futures Term Structures & Implied Volatilities
Platinum - Forward Curve (Fair Value)
1600
1605
1610
1615
1620
1625
1630
Dec
-12
Jan-
13
Feb-
13
Mar
-13
Apr
-13
May
-13
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%
0.8%
Term Structure - Slope (% p.a.) PLATINUM FUTURE Jan13
Platinum - Historical 12-Months Implied Volatilities
15%
20%
25%
30%
35%
40%
Nov
-11
Dec
-11
Dec
-11
Jan-
12Ja
n-12
Feb-
12Fe
b-12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
Apr
-12
May
-12
May
-12
Jun-
12Ju
n-12
Jul-1
2Ju
l-12
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
1300
1350
1400
1450
1500
1550
1600
1650
1700
1750
1800
6MTH_IMPVOL_100.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_110.0%MNY_DF PX_LAST
Platinum - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
70%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
5%
IV 9
7.5%
IV 1
00%
30D
AY
60D
AY
3MTH6M
TH12
MTH
18M
TH24
MTH 16%
17%
18%
19%
20%
21%
22%
23%
Platinum - Implied Volatility Surface
0.220-0.2300.210-0.2200.200-0.2100.190-0.2000.180-0.1900.170-0.1800.160-0.170
www.qmsadv.com
30.11.2012
Palladium Futures Term Structures & Implied Volatilities
Palladium - Forward Curve (Fair Value)
650
655
660
665
670
675
680
685
690
695
700
Dec
-12
Jan-
13
Feb-
13
Mar
-13
Apr
-13
May
-13
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
Term Structure - Slope (% p.a.) PALLADIUM FUTURE Mar13
Palladium - Historical 12-Months Implied Volatilities
20%
25%
30%
35%
40%
45%
Nov
-11
Dec
-11
Dec
-11
Jan-
12Ja
n-12
Feb-
12Fe
b-12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
Apr
-12
May
-12
May
-12
Jun-
12Ju
n-12
Jul-1
2Ju
l-12
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
400
450
500
550
600
650
700
750
6MTH_IMPVOL_100.0%MNY_DF 6MTH_IMPVOL_90.0%MNY_DF6MTH_IMPVOL_110.0%MNY_DF PX_LAST
Palladium - 30 Days Implied VS Historical Volatility
0%
10%
20%
30%
40%
50%
60%
70%
Nov
-11
Dec
-11
Dec
-11
Jan-
12
Jan-
12
Feb-
12
Feb-
12
Mar
-12
Mar
-12
Apr
-12
Apr
-12
May
-12
May
-12
May
-12
Jun-
12
Jun-
12
Jul-1
2
Jul-1
2
Aug
-12
Aug
-12
Sep
-12
Sep
-12
Oct
-12
Oct
-12
Oct
-12
Nov
-12
Nov
-12
Historical Volatility (30 Days) 30DAY_IMPVOL_100.0%MNY_DF
IV 9
0%
IV 9
5%
IV 9
7.5%
IV 1
00%
30D
AY
60D
AY
3MTH6M
TH12
MTH
18M
TH24
MTH 22%
24%
26%
28%
30%
32%
34%
Palladium - Implied Volatility Surface
0.320-0.3400.300-0.3200.280-0.3000.260-0.2800.240-0.2600.220-0.240
www.qmsadv.com