commodities term structures & implied volatilities - futures, etfs

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

ture

Live

st

ock

Ener

gyPr

ecio

us

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

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

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

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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


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


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

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


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


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

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


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


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

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


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


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

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


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


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

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


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


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

www.qmsadv.com

commodities term structures & implied volatilities - futures, etfs

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