GLOSSARY

Terms and Definitions

Term
Definition
Call Option An agreement that gives an investor the right, but not the obligation, to buy an underlying instrument at a specified price within a specific time period.
Call/Put Ratios The ratio of Calls divided by Puts. The ratios are measured by Daily Volume, Open Interest and Total Premium Value.
Contract Size WTI Crude Oil is 1,000 barrels. Henry Hub Natural Gas is 10,000 Mmbtu's.
Contract Symbol CME WTI American Option (LO). CME Natural Gas European Option (LN). Physical CSO (WA). Financial CSO (7A). Average Price Option (AO).
Daily Volume The number of contracts executed on a trade day. Measures strike prices that are active in the short-term.
Designated Contract Market Marketplace in which derivatives and other financial instruments are traded. The CME, ICE and Nasdaq are large commodities exchanges.
Implied Volatility The volatility estimate for an option knowing the other option price inputs and premium. The volatility implied from the traded market.
Lots Represents the standardized quantity of a financial instrument as set out by an exchange.
Open Interest (OI) The cumulative number of contracts outstanding. To determine the total open interest we need only to know the totals from one side or the other, buyers or sellers, not the sum of both. Defines a market view built over a long-term time horizon.
Option Type American, European, or Spread Option.
Put Option An agreement that gives an investor the right, but not the obligation, to sell an underlying instrument at a specified price within a specific time period.
Total Premium Value The dollar value of a given contract. Option premium multiplied by either Daily Volume or Open Interest.
Underlying Asset WTI Crude Oil. Henry Hub Natural Gas.
Weighted Average Strike Price Option strike price weighted by either Daily Volume or Open Interest.