+++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAR10 H 2237 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 1087 33.41 1.00 MAR10 1150 0 33.41 0.00 1062 33.41 1.00 MAR10 1175 0 33.41 0.00 1037 33.41 1.00 MAR10 1200 0 33.41 0.00 1012 33.41 1.00 MAR10 1225 0 33.41 0.00 987 33.41 1.00 MAR10 1250 0 33.41 0.00 962 33.41 1.00 MAR10 1275 0 33.41 0.00 937 33.41 1.00 MAR10 1300 0 33.41 0.00 912 33.41 1.00 MAR10 1325 0 33.41 0.00 887 33.41 1.00 MAR10 1350 0 33.41 0.00 862 33.41 1.00 MAR10 1375 0 33.41 0.00 837 33.41 1.00 MAR10 1400 0 33.41 0.00 812 33.41 1.00 MAR10 1425 0 33.41 0.00 787 33.43 1.00 MAR10 1450 0 33.43 0.00 762 33.43 1.00 MAR10 1475 0 33.43 0.00 737 33.43 1.00 MAR10 1500 0 33.43 0.00 712 33.43 1.00 MAR10 1525 0 33.43 0.00 687 33.43 1.00 MAR10 1550 0 33.43 0.00 662 33.43 1.00 MAR10 1575 0 33.43 0.00 637 33.43 1.00 MAR10 1600 0 33.43 0.00 612 33.43 1.00 MAR10 1625 0 33.43 0.00 587 33.40 1.00 MAR10 1650 0 33.40 0.00 562 33.29 1.00 MAR10 1675 0 33.29 0.00 537 33.25 1.00 MAR10 1700 0 33.25 0.00 512 33.21 1.00 MAR10 1725 0 33.21 0.00 487 33.24 1.00 MAR10 1750 0 33.24 0.00 462 33.21 1.00 MAR10 1775 0 33.21 0.00 437 33.24 1.00 MAR10 1800 0 33.24 0.00 412 33.21 1.00 MAR10 1825 0 33.21 0.00 387 33.10 0.99 MAR10 1850 0 33.10 -0.01 363 33.10 0.99 MAR10 1875 1 33.10 -0.01 338 33.16 0.99 MAR10 1900 1 33.16 -0.01 313 33.14 0.98 MAR10 1925 1 33.14 -0.02 289 33.14 0.97 MAR10 1950 2 33.14 -0.03 265 33.14 0.95 MAR10 1975 3 33.14 -0.05 243 34.56 0.93 MAR10 2000 6 34.56 -0.07 219 33.14 0.91 MAR10 2025 7 33.14 -0.09 197 33.21 0.88 MAR10 2050 10 33.21 -0.12 176 33.27 0.85 MAR10 2075 14 33.27 -0.15 156 33.36 0.81 MAR10 2100 19 33.36 -0.19 137 33.44 0.76 MAR10 2125 25 33.44 -0.24 119 33.45 0.71 MAR10 2150 32 33.45 -0.29 103 33.53 0.66 MAR10 2175 41 33.53 -0.34 88 33.70 0.60 MAR10 2200 51 33.70 -0.40 75 33.71 0.54 MAR10 2225 63 33.71 -0.46 63 33.94 0.49 MAR10 2250 76 33.94 -0.51 53 34.09 0.43 MAR10 2275 91 34.09 -0.57 43 34.09 0.38 MAR10 2300 106 34.09 -0.62 35 34.17 0.32 MAR10 2325 123 34.17 -0.68 29 34.14 0.28 MAR10 2350 142 34.14 -0.72 23 34.23 0.23 MAR10 2375 161 34.23 -0.77 18 34.47 0.20 MAR10 2400 181 34.47 -0.80 15 34.62 0.16 MAR10 2425 203 34.62 -0.84 12 34.82 0.13 MAR10 2450 225 34.82 -0.87 9 34.88 0.11 MAR10 2475 247 34.88 -0.89 7 34.92 0.09 MAR10 2500 270 34.92 -0.91 5 35.02 0.07 MAR10 2525 293 35.02 -0.93 4 35.12 0.06 MAR10 2550 317 35.12 -0.94 3 35.22 0.04 MAR10 2575 341 35.22 -0.96 2 35.32 0.03 MAR10 2600 365 35.32 -0.97 2 35.97 0.03 MAR10 2625 390 35.97 -0.97 2 36.44 0.02 MAR10 2650 415 36.44 -0.98 1 36.57 0.02 MAR10 2675 439 36.57 -0.98 1 36.67 0.01 MAR10 2700 464 36.67 -0.99 1 36.77 0.01 MAR10 2725 489 36.77 -0.99 0 36.87 0.01 MAR10 2750 513 36.87 -0.99 0 36.95 0.01 MAR10 2775 538 36.95 -0.99 0 37.05 0.00 MAR10 2800 563 37.05 -1.00 0 37.15 0.00 MAR10 2825 588 37.15 -1.00 0 37.25 0.00 MAR10 2850 613 37.25 -1.00 0 37.35 0.00 MAR10 2875 638 37.35 -1.00 0 37.45 0.00 MAR10 2900 663 37.45 -1.00 0 37.55 0.00 MAR10 2925 688 37.55 -1.00 0 37.65 0.00 MAR10 2950 713 37.65 -1.00 0 37.75 0.00 MAR10 2975 738 37.75 -1.00 0 37.85 0.00 MAR10 3000 763 37.85 -1.00 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY10 K 2214 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 989 34.95 1.00 MAY10 1225 0 34.95 0.00 964 34.95 1.00 MAY10 1250 0 34.95 0.00 939 34.95 1.00 MAY10 1275 0 34.95 0.00 914 34.95 1.00 MAY10 1300 0 34.95 0.00 889 35.00 1.00 MAY10 1325 0 35.00 0.00 864 35.00 1.00 MAY10 1350 0 35.00 0.00 839 35.00 1.00 MAY10 1375 0 35.00 0.00 814 35.00 1.00 MAY10 1400 0 35.00 0.00 789 35.00 1.00 MAY10 1425 0 35.00 0.00 765 35.00 1.00 MAY10 1450 1 35.00 0.00 740 35.00 0.99 MAY10 1475 1 35.00 -0.01 715 34.97 0.99 MAY10 1500 1 34.97 -0.01 690 35.03 0.99 MAY10 1525 1 35.03 -0.01 666 35.07 0.99 MAY10 1550 2 35.07 -0.01 641 35.00 0.98 MAY10 1575 2 35.00 -0.02 617 35.00 0.98 MAY10 1600 3 35.00 -0.02 593 34.92 0.97 MAY10 1625 4 34.92 -0.03 569 34.89 0.97 MAY10 1650 5 34.89 -0.03 545 34.66 0.96 MAY10 1675 6 34.66 -0.04 521 34.56 0.95 MAY10 1700 7 34.56 -0.05 498 34.43 0.95 MAY10 1725 9 34.43 -0.05 475 34.28 0.94 MAY10 1750 11 34.28 -0.06 452 34.15 0.93 MAY10 1775 13 34.15 -0.07 429 34.15 0.91 MAY10 1800 15 34.15 -0.09 407 34.13 0.90 MAY10 1825 18 34.13 -0.10 386 34.18 0.88 MAY10 1850 22 34.18 -0.12 365 34.13 0.87 MAY10 1875 26 34.13 -0.13 344 34.10 0.85 MAY10 1900 30 34.10 -0.15 325 34.07 0.83 MAY10 1925 36 34.07 -0.17 304 33.59 0.81 MAY10 1950 40 33.59 -0.19 287 34.07 0.78 MAY10 1975 48 34.07 -0.22 269 34.12 0.76 MAY10 2000 55 34.12 -0.24 251 34.02 0.74 MAY10 2025 62 34.02 -0.26 234 33.88 0.71 MAY10 2050 70 33.88 -0.29 219 34.10 0.69 MAY10 2075 80 34.10 -0.31 203 34.10 0.66 MAY10 2100 89 34.10 -0.34 189 34.10 0.63 MAY10 2125 100 34.10 -0.37 175 34.20 0.60 MAY10 2150 111 34.20 -0.40 161 33.95 0.58 MAY10 2175 122 33.95 -0.42 149 34.02 0.55 MAY10 2200 135 34.02 -0.45 138 34.18 0.52 MAY10 2225 149 34.18 -0.48 127 34.33 0.49 MAY10 2250 163 34.33 -0.51 119 34.72 0.47 MAY10 2275 180 34.72 -0.53 110 35.05 0.44 MAY10 2300 196 35.05 -0.56 102 35.29 0.42 MAY10 2325 213 35.29 -0.58 94 35.36 0.39 MAY10 2350 230 35.36 -0.61 86 35.48 0.37 MAY10 2375 247 35.48 -0.63 81 35.96 0.35 MAY10 2400 267 35.96 -0.65 74 35.87 0.33 MAY10 2425 285 35.87 -0.67 67 35.93 0.31 MAY10 2450 303 35.93 -0.69 61 35.74 0.28 MAY10 2475 322 35.74 -0.72 55 35.68 0.26 MAY10 2500 341 35.68 -0.74 50 35.62 0.24 MAY10 2525 361 35.62 -0.76 45 35.56 0.23 MAY10 2550 381 35.56 -0.77 40 35.23 0.21 MAY10 2575 401 35.23 -0.79 36 35.31 0.19 MAY10 2600 422 35.31 -0.81 32 35.33 0.18 MAY10 2625 443 35.33 -0.82 29 35.25 0.16 MAY10 2650 465 35.25 -0.84 26 35.25 0.15 MAY10 2675 487 35.25 -0.85 23 35.26 0.13 MAY10 2700 509 35.26 -0.87 21 35.16 0.12 MAY10 2725 532 35.16 -0.88 19 35.11 0.11 MAY10 2750 555 35.11 -0.89 16 35.06 0.10 MAY10 2775 577 35.06 -0.90 15 35.03 0.09 MAY10 2800 601 35.03 -0.91 13 35.06 0.08 MAY10 2825 624 35.06 -0.92 12 34.98 0.07 MAY10 2850 648 34.98 -0.93 10 34.98 0.07 MAY10 2875 671 34.98 -0.93 9 34.93 0.06 MAY10 2900 695 34.93 -0.94 6 35.13 0.04 MAY10 3000 792 35.13 -0.96 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JUL10 N 2196 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 971 33.82 1.00 JUL10 1225 0 33.82 0.00 946 33.90 1.00 JUL10 1250 0 33.90 0.00 922 33.90 1.00 JUL10 1275 1 33.90 0.00 897 33.87 1.00 JUL10 1300 1 33.87 0.00 872 33.93 0.99 JUL10 1325 1 33.93 -0.01 847 33.96 0.99 JUL10 1350 1 33.96 -0.01 823 33.93 0.99 JUL10 1375 2 33.93 -0.01 798 33.90 0.99 JUL10 1400 2 33.90 -0.01 774 33.93 0.98 JUL10 1425 3 33.93 -0.02 750 33.90 0.98 JUL10 1450 4 33.90 -0.02 725 33.81 0.98 JUL10 1475 4 33.81 -0.02 701 33.73 0.97 JUL10 1500 5 33.73 -0.03 677 33.64 0.97 JUL10 1525 6 33.64 -0.03 654 33.52 0.96 JUL10 1550 8 33.52 -0.04 630 33.52 0.95 JUL10 1575 9 33.52 -0.05 607 33.46 0.95 JUL10 1600 11 33.46 -0.05 584 33.40 0.94 JUL10 1625 13 33.40 -0.06 562 33.50 0.93 JUL10 1650 16 33.50 -0.07 540 33.74 0.92 JUL10 1675 19 33.74 -0.08 519 33.89 0.91 JUL10 1700 23 33.89 -0.09 497 33.94 0.89 JUL10 1725 26 33.94 -0.11 476 33.94 0.88 JUL10 1750 30 33.94 -0.12 456 34.06 0.87 JUL10 1775 35 34.06 -0.13 437 34.29 0.85 JUL10 1800 41 34.29 -0.15 417 34.33 0.83 JUL10 1825 46 34.33 -0.17 398 34.38 0.82 JUL10 1850 52 34.38 -0.18 380 34.43 0.80 JUL10 1875 59 34.43 -0.20 362 34.43 0.78 JUL10 1900 66 34.43 -0.22 344 34.33 0.76 JUL10 1925 73 34.33 -0.24 327 34.33 0.75 JUL10 1950 81 34.33 -0.25 310 34.35 0.73 JUL10 1975 89 34.35 -0.27 294 34.38 0.71 JUL10 2000 98 34.38 -0.29 279 34.33 0.69 JUL10 2025 108 34.33 -0.31 261 33.76 0.67 JUL10 2050 115 33.76 -0.33 248 34.09 0.65 JUL10 2075 127 34.09 -0.35 234 34.00 0.62 JUL10 2100 138 34.00 -0.38 222 34.17 0.60 JUL10 2125 151 34.17 -0.40 210 34.44 0.58 JUL10 2150 164 34.44 -0.42 199 34.63 0.56 JUL10 2175 178 34.63 -0.44 188 34.76 0.54 JUL10 2200 192 34.76 -0.46 178 34.97 0.52 JUL10 2225 207 34.97 -0.48 168 35.03 0.50 JUL10 2250 222 35.03 -0.50 159 35.12 0.48 JUL10 2275 238 35.12 -0.52 150 35.21 0.46 JUL10 2300 254 35.21 -0.54 141 35.30 0.44 JUL10 2325 270 35.30 -0.56 133 35.36 0.42 JUL10 2350 287 35.36 -0.58 125 35.45 0.40 JUL10 2375 304 35.45 -0.60 117 35.48 0.39 JUL10 2400 321 35.48 -0.61 110 35.54 0.37 JUL10 2425 339 35.54 -0.63 104 35.77 0.35 JUL10 2450 358 35.77 -0.65 99 35.97 0.34 JUL10 2475 378 35.97 -0.66 93 36.15 0.32 JUL10 2500 397 36.15 -0.68 70 35.97 0.26 JUL10 2600 474 35.97 -0.74 54 36.29 0.21 JUL10 2700 558 36.29 -0.79 45 36.53 0.18 JUL10 2775 624 36.53 -0.82 42 36.76 0.17 JUL10 2800 646 36.76 -0.83 32 36.93 0.14 JUL10 2900 736 36.93 -0.86 24 37.01 0.11 JUL10 3000 828 37.01 -0.89 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- SEP10 U 2176 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 952 33.05 0.99 SEP10 1225 1 33.05 -0.01 928 33.05 0.99 SEP10 1250 2 33.05 -0.01 903 33.05 0.99 SEP10 1275 2 33.05 -0.01 879 33.05 0.99 SEP10 1300 3 33.05 -0.01 855 33.05 0.98 SEP10 1325 4 33.05 -0.02 830 33.05 0.98 SEP10 1350 4 33.05 -0.02 806 33.05 0.98 SEP10 1375 5 33.05 -0.02 782 33.05 0.97 SEP10 1400 6 33.05 -0.03 759 33.05 0.97 SEP10 1425 8 33.05 -0.03 735 33.05 0.96 SEP10 1450 9 33.05 -0.04 712 33.05 0.95 SEP10 1475 11 33.05 -0.05 689 33.05 0.95 SEP10 1500 13 33.05 -0.05 666 33.05 0.94 SEP10 1525 15 33.05 -0.06 644 33.05 0.93 SEP10 1550 18 33.05 -0.07 622 33.05 0.92 SEP10 1575 21 33.05 -0.08 600 33.05 0.91 SEP10 1600 24 33.05 -0.09 578 33.05 0.90 SEP10 1625 27 33.05 -0.10 557 33.06 0.89 SEP10 1650 31 33.06 -0.11 536 33.05 0.88 SEP10 1675 35 33.05 -0.12 516 33.05 0.87 SEP10 1700 40 33.05 -0.13 496 33.05 0.86 SEP10 1725 45 33.05 -0.14 476 33.05 0.84 SEP10 1750 50 33.05 -0.16 457 33.05 0.83 SEP10 1775 56 33.05 -0.17 438 32.99 0.81 SEP10 1800 62 32.99 -0.19 420 33.05 0.80 SEP10 1825 69 33.05 -0.20 402 32.98 0.78 SEP10 1850 76 32.98 -0.22 385 33.08 0.77 SEP10 1875 84 33.08 -0.23 369 33.25 0.75 SEP10 1900 93 33.25 -0.25 353 33.33 0.73 SEP10 1925 102 33.33 -0.27 338 33.41 0.71 SEP10 1950 112 33.41 -0.29 324 33.62 0.70 SEP10 1975 123 33.62 -0.30 310 33.86 0.68 SEP10 2000 134 33.86 -0.32 296 33.93 0.66 SEP10 2025 145 33.93 -0.34 283 33.99 0.64 SEP10 2050 157 33.99 -0.36 271 34.13 0.62 SEP10 2075 170 34.13 -0.38 259 34.27 0.61 SEP10 2100 183 34.27 -0.39 247 34.33 0.59 SEP10 2125 196 34.33 -0.41 235 34.41 0.57 SEP10 2150 209 34.41 -0.43 224 34.48 0.55 SEP10 2175 223 34.48 -0.45 214 34.56 0.53 SEP10 2200 238 34.56 -0.47 204 34.63 0.52 SEP10 2225 253 34.63 -0.48 194 34.71 0.50 SEP10 2250 268 34.71 -0.50 185 34.79 0.48 SEP10 2275 284 34.79 -0.52 177 35.03 0.47 SEP10 2300 301 35.03 -0.53 167 34.95 0.45 SEP10 2325 316 34.95 -0.55 159 35.03 0.44 SEP10 2350 333 35.03 -0.56 152 35.11 0.42 SEP10 2375 351 35.11 -0.58 144 35.16 0.41 SEP10 2400 368 35.16 -0.59 137 35.24 0.39 SEP10 2425 386 35.24 -0.61 130 35.28 0.38 SEP10 2450 404 35.28 -0.62 124 35.37 0.36 SEP10 2475 423 35.37 -0.64 118 35.41 0.35 SEP10 2500 442 35.41 -0.65 77 35.83 0.25 SEP10 2700 601 35.83 -0.75 43 36.89 0.15 SEP10 3000 867 36.89 -0.85 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- DEC10 Z 2165 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 739 33.93 0.93 DEC10 1450 24 33.93 -0.07 717 33.93 0.92 DEC10 1475 27 33.93 -0.08 696 33.93 0.91 DEC10 1500 31 33.93 -0.09 674 33.93 0.90 DEC10 1525 34 33.93 -0.10 654 33.93 0.89 DEC10 1550 39 33.93 -0.11 633 33.92 0.88 DEC10 1575 43 33.92 -0.12 613 33.95 0.87 DEC10 1600 48 33.95 -0.13 593 33.94 0.86 DEC10 1625 53 33.94 -0.14 574 33.97 0.85 DEC10 1650 59 33.97 -0.15 555 34.00 0.84 DEC10 1675 65 34.00 -0.16 536 33.98 0.83 DEC10 1700 71 33.98 -0.17 519 34.07 0.81 DEC10 1725 79 34.07 -0.19 501 34.06 0.80 DEC10 1750 86 34.06 -0.20 483 34.06 0.79 DEC10 1775 93 34.06 -0.21 466 34.08 0.77 DEC10 1800 101 34.08 -0.23 450 34.11 0.76 DEC10 1825 110 34.11 -0.24 434 34.12 0.75 DEC10 1850 119 34.12 -0.25 418 34.16 0.73 DEC10 1875 128 34.16 -0.27 403 34.14 0.72 DEC10 1900 138 34.14 -0.28 387 34.11 0.70 DEC10 1925 147 34.11 -0.30 373 34.14 0.69 DEC10 1950 158 34.14 -0.31 359 34.13 0.67 DEC10 1975 169 34.13 -0.33 345 34.15 0.66 DEC10 2000 180 34.15 -0.34 332 34.16 0.64 DEC10 2025 192 34.16 -0.36 320 34.22 0.63 DEC10 2050 205 34.22 -0.37 307 34.25 0.61 DEC10 2075 217 34.25 -0.39 296 34.33 0.60 DEC10 2100 231 34.33 -0.40 285 34.42 0.59 DEC10 2125 245 34.42 -0.41 274 34.46 0.57 DEC10 2150 259 34.46 -0.43 263 34.50 0.56 DEC10 2175 273 34.50 -0.44 253 34.56 0.54 DEC10 2200 288 34.56 -0.46 243 34.64 0.53 DEC10 2225 303 34.64 -0.47 234 34.72 0.51 DEC10 2250 319 34.72 -0.49 225 34.80 0.50 DEC10 2275 335 34.80 -0.50 216 34.85 0.49 DEC10 2300 351 34.85 -0.51 208 34.93 0.47 DEC10 2325 368 34.93 -0.53 199 34.96 0.46 DEC10 2350 384 34.96 -0.54 192 35.08 0.45 DEC10 2375 402 35.08 -0.55 185 35.21 0.43 DEC10 2400 420 35.21 -0.57 178 35.30 0.42 DEC10 2425 438 35.30 -0.58 174 35.75 0.41 DEC10 2450 459 35.75 -0.59 168 35.87 0.40 DEC10 2475 478 35.87 -0.60 159 35.66 0.39 DEC10 2500 494 35.66 -0.61 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAR11 C 2140 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 683 32.35 0.89 MAR11 1500 43 32.35 -0.11 664 32.49 0.88 MAR11 1525 49 32.49 -0.12 644 32.49 0.87 MAR11 1550 54 32.49 -0.13 623 32.35 0.86 MAR11 1575 58 32.35 -0.14 604 32.35 0.85 MAR11 1600 64 32.35 -0.15 585 32.35 0.84 MAR11 1625 70 32.35 -0.16 567 32.35 0.83 MAR11 1650 77 32.35 -0.17 549 32.35 0.82 MAR11 1675 84 32.35 -0.18 531 32.35 0.80 MAR11 1700 91 32.35 -0.20 514 32.35 0.79 MAR11 1725 99 32.35 -0.21 497 32.35 0.78 MAR11 1750 107 32.35 -0.22 480 32.35 0.77 MAR11 1775 115 32.35 -0.23 465 32.41 0.75 MAR11 1800 125 32.41 -0.25 449 32.46 0.74 MAR11 1825 134 32.46 -0.26 434 32.52 0.73 MAR11 1850 144 32.52 -0.27 423 32.97 0.71 MAR11 1875 158 32.97 -0.29 408 32.97 0.70 MAR11 1900 168 32.97 -0.30 395 33.02 0.68 MAR11 1925 180 33.02 -0.32 381 33.07 0.67 MAR11 1950 191 33.07 -0.33 368 33.12 0.66 MAR11 1975 203 33.12 -0.34 356 33.18 0.64 MAR11 2000 216 33.18 -0.36 344 33.28 0.63 MAR11 2025 229 33.28 -0.37 334 33.49 0.62 MAR11 2050 244 33.49 -0.38 323 33.64 0.60 MAR11 2075 258 33.64 -0.40 314 33.88 0.59 MAR11 2100 274 33.88 -0.41 304 34.01 0.58 MAR11 2125 289 34.01 -0.42 295 34.21 0.56 MAR11 2150 305 34.21 -0.44 286 34.38 0.55 MAR11 2175 321 34.38 -0.45 276 34.46 0.54 MAR11 2200 336 34.46 -0.46 268 34.65 0.53 MAR11 2225 353 34.65 -0.47 260 34.78 0.52 MAR11 2250 370 34.78 -0.48 251 34.86 0.50 MAR11 2275 386 34.86 -0.50 244 35.02 0.49 MAR11 2300 404 35.02 -0.51 234 34.91 0.48 MAR11 2325 419 34.91 -0.52 226 35.00 0.47 MAR11 2350 436 35.00 -0.53 218 34.96 0.46 MAR11 2375 453 34.96 -0.54 209 34.85 0.44 MAR11 2400 469 34.85 -0.56 205 35.27 0.44 MAR11 2425 490 35.27 -0.56 198 35.36 0.42 MAR11 2450 508 35.36 -0.58 192 35.43 0.41 MAR11 2475 527 35.43 -0.59 186 35.60 0.40 MAR11 2500 546 35.60 -0.60 143 36.16 0.33 MAR11 2700 703 36.16 -0.67 89 35.71 0.23 MAR11 3000 949 35.71 -0.77 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY11 E 2135 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 698 34.10 0.87 MAY11 1500 63 34.10 -0.13 678 34.10 0.86 MAY11 1525 68 34.10 -0.14 660 34.10 0.85 MAY11 1550 75 34.10 -0.15 641 34.10 0.84 MAY11 1575 81 34.10 -0.16 623 34.10 0.83 MAY11 1600 88 34.10 -0.17 605 34.10 0.82 MAY11 1625 95 34.10 -0.18 588 34.10 0.81 MAY11 1650 103 34.10 -0.19 571 34.06 0.80 MAY11 1675 111 34.06 -0.20 554 34.11 0.79 MAY11 1700 119 34.11 -0.21 538 34.07 0.77 MAY11 1725 128 34.07 -0.23 521 34.01 0.76 MAY11 1750 136 34.01 -0.24 505 34.01 0.75 MAY11 1775 145 34.01 -0.25 490 34.01 0.74 MAY11 1800 155 34.01 -0.26 475 34.01 0.73 MAY11 1825 165 34.01 -0.27 461 34.01 0.72 MAY11 1850 176 34.01 -0.28 446 34.01 0.70 MAY11 1875 186 34.01 -0.30 432 34.01 0.69 MAY11 1900 197 34.01 -0.31 419 34.01 0.68 MAY11 1925 209 34.01 -0.32 406 34.01 0.67 MAY11 1950 221 34.01 -0.33 393 34.01 0.65 MAY11 1975 233 34.01 -0.35 380 34.01 0.64 MAY11 2000 245 34.01 -0.36 368 34.04 0.63 MAY11 2025 258 34.04 -0.37 357 34.14 0.62 MAY11 2050 272 34.14 -0.38 347 34.25 0.60 MAY11 2075 287 34.25 -0.40 337 34.36 0.59 MAY11 2100 302 34.36 -0.41 327 34.49 0.58 MAY11 2125 317 34.49 -0.42 317 34.60 0.57 MAY11 2150 332 34.60 -0.43 308 34.72 0.56 MAY11 2175 348 34.72 -0.44 299 34.82 0.55 MAY11 2200 364 34.82 -0.45 291 34.98 0.53 MAY11 2225 381 34.98 -0.47 283 35.15 0.52 MAY11 2250 398 35.15 -0.48 276 35.33 0.51 MAY11 2275 416 35.33 -0.49 269 35.52 0.50 MAY11 2300 434 35.52 -0.50 262 35.73 0.49 MAY11 2325 452 35.73 -0.51 203 40.64 0.38 MAY11 2700 768 40.64 -0.62 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JUL11 L 2134 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 641 37.28 0.80 JUL11 1625 132 37.28 -0.20 625 37.28 0.79 JUL11 1650 141 37.28 -0.21 609 37.28 0.78 JUL11 1675 150 37.28 -0.22 593 37.28 0.77 JUL11 1700 159 37.28 -0.23 578 37.28 0.76 JUL11 1725 169 37.28 -0.24 563 37.28 0.75 JUL11 1750 179 37.28 -0.25 549 37.28 0.74 JUL11 1775 190 37.28 -0.26 534 37.28 0.73 JUL11 1800 200 37.28 -0.27 520 37.31 0.72 JUL11 1825 211 37.31 -0.28 507 37.31 0.71 JUL11 1850 223 37.31 -0.29 493 37.31 0.70 JUL11 1875 234 37.31 -0.30 480 37.31 0.69 JUL11 1900 246 37.31 -0.31 468 37.31 0.68 JUL11 1925 259 37.31 -0.32 455 37.31 0.66 JUL11 1950 271 37.31 -0.34 443 37.31 0.65 JUL11 1975 284 37.31 -0.35 431 37.31 0.64 JUL11 2000 297 37.31 -0.36 419 37.31 0.63 JUL11 2025 310 37.31 -0.37 408 37.31 0.62 JUL11 2050 324 37.31 -0.38 397 37.31 0.61 JUL11 2075 338 37.31 -0.39 388 37.52 0.60 JUL11 2100 354 37.52 -0.40 379 37.68 0.59 JUL11 2125 370 37.68 -0.41 370 37.81 0.58 JUL11 2150 386 37.81 -0.42 360 37.79 0.57 JUL11 2175 401 37.79 -0.43 351 37.86 0.56 JUL11 2200 417 37.86 -0.44 342 37.95 0.55 JUL11 2225 433 37.95 -0.45 335 38.13 0.54 JUL11 2250 451 38.13 -0.46 327 38.28 0.53 JUL11 2275 468 38.28 -0.47 320 38.44 0.52 JUL11 2300 486 38.44 -0.48 313 38.62 0.52 JUL11 2325 504 38.62 -0.48 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- SEP11 P 2134 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 551 37.04 0.73 SEP11 1800 217 37.04 -0.27 537 37.04 0.72 SEP11 1825 228 37.04 -0.28 523 37.04 0.71 SEP11 1850 239 37.04 -0.29 510 37.04 0.70 SEP11 1875 251 37.04 -0.30 497 37.04 0.69 SEP11 1900 263 37.04 -0.31 485 37.04 0.68 SEP11 1925 276 37.04 -0.32 473 37.04 0.67 SEP11 1950 289 37.04 -0.33 461 37.04 0.65 SEP11 1975 302 37.04 -0.35 449 37.04 0.64 SEP11 2000 315 37.04 -0.36 437 37.04 0.63 SEP11 2025 328 37.04 -0.37 426 37.04 0.62 SEP11 2050 342 37.04 -0.38 415 37.04 0.61 SEP11 2075 356 37.04 -0.39 407 37.27 0.61 SEP11 2100 373 37.27 -0.39 398 37.44 0.60 SEP11 2125 389 37.44 -0.40 389 37.47 0.59 SEP11 2150 405 37.47 -0.41 378 37.45 0.58 SEP11 2175 419 37.45 -0.42 370 37.55 0.57 SEP11 2200 436 37.55 -0.43 361 37.61 0.56 SEP11 2225 452 37.61 -0.44 354 37.79 0.55 SEP11 2250 470 37.79 -0.45 346 37.91 0.54 SEP11 2275 487 37.91 -0.46 339 38.06 0.53 SEP11 2300 505 38.06 -0.47 332 38.21 0.52 SEP11 2325 523 38.21 -0.48 +++ Cocoa (C /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- DEC11 T 2134 +++ Cocoa (C /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 481 36.31 0.66 DEC11 1975 322 36.31 -0.34 474 36.72 0.65 DEC11 2000 340 36.72 -0.35 466 37.04 0.64 DEC11 2025 357 37.04 -0.36 458 37.27 0.63 DEC11 2050 374 37.27 -0.37 449 37.44 0.62 DEC11 2075 390 37.44 -0.38 439 37.52 0.61 DEC11 2100 405 37.52 -0.39 431 37.69 0.60 DEC11 2125 422 37.69 -0.40 421 37.72 0.59 DEC11 2150 437 37.72 -0.41 411 37.70 0.59 DEC11 2175 452 37.70 -0.41 403 37.80 0.58 DEC11 2200 469 37.80 -0.42 394 37.86 0.57 DEC11 2225 485 37.86 -0.43 387 38.04 0.56 DEC11 2250 503 38.04 -0.44 380 38.16 0.55 DEC11 2275 521 38.16 -0.45 373 38.31 0.54 DEC11 2300 539 38.31 -0.46 367 38.58 0.54 DEC11 2325 558 38.58 -0.46 +++ Cocoa Cash Settled Swap (CNF/F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAR10 H 2205 MAY10 K 2205 JUL10 N 2205 SEP10 U 2205 DEC10 Z 2205 MAR11 C 2205 MAY11 E 2205 JUL11 L 2205 SEP11 P 2205 DEC11 T 2205 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 1055 33.41 1.00 MAR10 1150 0 33.41 0.00 1030 33.41 1.00 MAR10 1175 0 33.41 0.00 1005 33.41 1.00 MAR10 1200 0 33.41 0.00 980 33.41 1.00 MAR10 1225 0 33.41 0.00 955 33.41 1.00 MAR10 1250 0 33.41 0.00 930 33.41 1.00 MAR10 1275 0 33.41 0.00 905 33.41 1.00 MAR10 1300 0 33.41 0.00 880 33.41 1.00 MAR10 1325 0 33.41 0.00 855 33.41 1.00 MAR10 1350 0 33.41 0.00 830 33.41 1.00 MAR10 1375 0 33.41 0.00 805 33.41 1.00 MAR10 1400 0 33.41 0.00 780 33.41 1.00 MAR10 1425 0 33.41 0.00 755 33.43 1.00 MAR10 1450 0 33.43 0.00 730 33.43 1.00 MAR10 1475 0 33.43 0.00 705 33.43 1.00 MAR10 1500 0 33.43 0.00 680 33.43 1.00 MAR10 1525 0 33.43 0.00 655 33.43 1.00 MAR10 1550 0 33.43 0.00 630 33.43 1.00 MAR10 1575 0 33.43 0.00 605 33.43 1.00 MAR10 1600 0 33.43 0.00 580 33.43 1.00 MAR10 1625 0 33.43 0.00 555 33.40 1.00 MAR10 1650 0 33.40 0.00 530 33.29 1.00 MAR10 1675 0 33.29 0.00 505 33.25 1.00 MAR10 1700 0 33.25 0.00 480 33.21 1.00 MAR10 1725 0 33.21 0.00 455 33.24 1.00 MAR10 1750 0 33.24 0.00 430 33.21 1.00 MAR10 1775 0 33.21 0.00 405 33.24 1.00 MAR10 1800 0 33.24 0.00 380 33.21 1.00 MAR10 1825 0 33.21 0.00 355 33.10 1.00 MAR10 1850 0 33.10 0.00 330 33.10 1.00 MAR10 1875 0 33.10 0.00 305 33.16 1.00 MAR10 1900 0 33.16 0.00 280 33.14 1.00 MAR10 1925 0 33.14 0.00 255 33.14 0.99 MAR10 1950 0 33.14 -0.01 230 33.14 0.99 MAR10 1975 0 33.14 -0.01 206 34.56 0.97 MAR10 2000 1 34.56 -0.03 182 33.14 0.96 MAR10 2025 2 33.14 -0.04 158 33.21 0.93 MAR10 2050 3 33.21 -0.07 135 33.27 0.90 MAR10 2075 5 33.27 -0.10 114 33.36 0.84 MAR10 2100 9 33.36 -0.16 94 33.44 0.78 MAR10 2125 14 33.44 -0.22 76 33.45 0.70 MAR10 2150 21 33.45 -0.30 60 33.53 0.62 MAR10 2175 30 33.53 -0.38 46 33.70 0.53 MAR10 2200 41 33.70 -0.47 35 33.71 0.44 MAR10 2225 55 33.71 -0.56 26 33.94 0.35 MAR10 2250 71 33.94 -0.65 18 34.09 0.28 MAR10 2275 88 34.09 -0.72 13 34.09 0.21 MAR10 2300 108 34.09 -0.79 9 34.17 0.15 MAR10 2325 129 34.17 -0.85 6 34.14 0.11 MAR10 2350 151 34.14 -0.89 4 34.23 0.07 MAR10 2375 174 34.23 -0.93 2 34.47 0.05 MAR10 2400 197 34.47 -0.95 1 34.62 0.03 MAR10 2425 221 34.62 -0.97 1 34.82 0.02 MAR10 2450 246 34.82 -0.98 1 34.88 0.01 MAR10 2475 271 34.88 -0.99 0 34.92 0.01 MAR10 2500 295 34.92 -0.99 0 37.05 0.00 MAR10 2800 595 37.05 -1.00 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 980 34.95 1.00 MAY10 1225 0 34.95 0.00 955 34.95 1.00 MAY10 1250 0 34.95 0.00 930 34.95 1.00 MAY10 1275 0 34.95 0.00 905 34.95 1.00 MAY10 1300 0 34.95 0.00 880 35.00 1.00 MAY10 1325 0 35.00 0.00 855 35.00 1.00 MAY10 1350 0 35.00 0.00 830 35.00 1.00 MAY10 1375 0 35.00 0.00 805 35.00 1.00 MAY10 1400 0 35.00 0.00 780 35.00 1.00 MAY10 1425 0 35.00 0.00 755 35.00 1.00 MAY10 1450 0 35.00 0.00 730 35.00 1.00 MAY10 1475 0 35.00 0.00 705 34.97 1.00 MAY10 1500 0 34.97 0.00 681 35.03 1.00 MAY10 1525 1 35.03 0.00 656 35.07 0.99 MAY10 1550 1 35.07 -0.01 631 35.00 0.99 MAY10 1575 1 35.00 -0.01 606 35.00 0.99 MAY10 1600 1 35.00 -0.01 582 34.92 0.98 MAY10 1625 2 34.92 -0.02 557 34.89 0.98 MAY10 1650 2 34.89 -0.02 533 34.66 0.98 MAY10 1675 3 34.66 -0.02 509 34.56 0.97 MAY10 1700 4 34.56 -0.03 485 34.43 0.96 MAY10 1725 5 34.43 -0.04 461 34.28 0.95 MAY10 1750 6 34.28 -0.05 438 34.15 0.94 MAY10 1775 8 34.15 -0.06 415 34.15 0.93 MAY10 1800 10 34.15 -0.07 392 34.13 0.92 MAY10 1825 12 34.13 -0.08 370 34.18 0.90 MAY10 1850 15 34.18 -0.10 349 34.13 0.89 MAY10 1875 19 34.13 -0.11 327 34.10 0.87 MAY10 1900 22 34.10 -0.13 307 34.07 0.85 MAY10 1925 27 34.07 -0.15 286 33.59 0.83 MAY10 1950 31 33.59 -0.17 268 34.07 0.80 MAY10 1975 38 34.07 -0.20 249 34.12 0.77 MAY10 2000 44 34.12 -0.23 231 34.02 0.75 MAY10 2025 51 34.02 -0.25 213 33.88 0.72 MAY10 2050 58 33.88 -0.28 198 34.10 0.69 MAY10 2075 68 34.10 -0.31 182 34.10 0.66 MAY10 2100 77 34.10 -0.34 167 34.10 0.63 MAY10 2125 87 34.10 -0.37 154 34.20 0.60 MAY10 2150 99 34.20 -0.40 140 33.95 0.57 MAY10 2175 110 33.95 -0.43 128 34.02 0.53 MAY10 2200 123 34.02 -0.47 117 34.18 0.50 MAY10 2225 137 34.18 -0.50 106 34.33 0.47 MAY10 2250 151 34.33 -0.53 98 34.72 0.44 MAY10 2275 168 34.72 -0.56 90 35.05 0.42 MAY10 2300 185 35.05 -0.58 82 35.29 0.39 MAY10 2325 202 35.29 -0.61 74 35.36 0.36 MAY10 2350 219 35.36 -0.64 67 35.48 0.34 MAY10 2375 237 35.48 -0.66 62 35.96 0.31 MAY10 2400 257 35.96 -0.69 55 35.87 0.29 MAY10 2425 275 35.87 -0.71 50 35.93 0.27 MAY10 2450 295 35.93 -0.73 44 35.74 0.24 MAY10 2475 314 35.74 -0.76 39 35.68 0.22 MAY10 2500 334 35.68 -0.78 21 35.33 0.13 MAY10 2625 441 35.33 -0.87 18 35.25 0.12 MAY10 2650 463 35.25 -0.88 16 35.25 0.11 MAY10 2675 486 35.25 -0.89 14 35.26 0.10 MAY10 2700 509 35.26 -0.90 12 35.16 0.09 MAY10 2725 532 35.16 -0.91 11 35.11 0.08 MAY10 2750 556 35.11 -0.92 9 35.06 0.07 MAY10 2775 579 35.06 -0.93 8 35.03 0.06 MAY10 2800 603 35.03 -0.94 7 35.06 0.05 MAY10 2825 627 35.06 -0.95 6 34.98 0.05 MAY10 2850 651 34.98 -0.95 5 34.98 0.04 MAY10 2875 675 34.98 -0.96 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 980 33.82 1.00 JUL10 1225 0 33.82 0.00 955 33.90 1.00 JUL10 1250 0 33.90 0.00 930 33.90 1.00 JUL10 1275 0 33.90 0.00 905 33.87 1.00 JUL10 1300 0 33.87 0.00 881 33.93 1.00 JUL10 1325 1 33.93 0.00 856 33.96 0.99 JUL10 1350 1 33.96 -0.01 831 33.93 0.99 JUL10 1375 1 33.93 -0.01 806 33.90 0.99 JUL10 1400 1 33.90 -0.01 782 33.93 0.99 JUL10 1425 2 33.93 -0.01 757 33.90 0.99 JUL10 1450 2 33.90 -0.01 733 33.81 0.98 JUL10 1475 3 33.81 -0.02 709 33.73 0.98 JUL10 1500 4 33.73 -0.02 684 33.64 0.97 JUL10 1525 4 33.64 -0.03 660 33.52 0.97 JUL10 1550 5 33.52 -0.03 637 33.52 0.96 JUL10 1575 7 33.52 -0.04 613 33.46 0.96 JUL10 1600 8 33.46 -0.04 590 33.40 0.95 JUL10 1625 10 33.40 -0.05 567 33.50 0.94 JUL10 1650 12 33.50 -0.06 545 33.74 0.93 JUL10 1675 15 33.74 -0.07 523 33.89 0.92 JUL10 1700 18 33.89 -0.08 501 33.94 0.91 JUL10 1725 21 33.94 -0.09 479 33.94 0.90 JUL10 1750 24 33.94 -0.10 458 34.06 0.88 JUL10 1775 28 34.06 -0.12 438 34.29 0.87 JUL10 1800 33 34.29 -0.13 418 34.33 0.85 JUL10 1825 38 34.33 -0.15 399 34.38 0.83 JUL10 1850 44 34.38 -0.17 380 34.43 0.82 JUL10 1875 50 34.43 -0.18 361 34.43 0.80 JUL10 1900 56 34.43 -0.20 342 34.33 0.78 JUL10 1925 62 34.33 -0.22 325 34.33 0.76 JUL10 1950 70 34.33 -0.24 308 34.35 0.74 JUL10 1975 78 34.35 -0.26 292 34.38 0.72 JUL10 2000 87 34.38 -0.28 275 34.33 0.70 JUL10 2025 95 34.33 -0.30 257 33.76 0.68 JUL10 2050 102 33.76 -0.32 244 34.09 0.66 JUL10 2075 114 34.09 -0.34 229 34.00 0.63 JUL10 2100 124 34.00 -0.37 217 34.17 0.61 JUL10 2125 137 34.17 -0.39 205 34.44 0.59 JUL10 2150 150 34.44 -0.41 194 34.63 0.57 JUL10 2175 164 34.63 -0.43 182 34.76 0.55 JUL10 2200 177 34.76 -0.45 172 34.97 0.52 JUL10 2225 192 34.97 -0.48 162 35.03 0.50 JUL10 2250 207 35.03 -0.50 152 35.12 0.48 JUL10 2275 222 35.12 -0.52 143 35.21 0.46 JUL10 2300 238 35.21 -0.54 134 35.30 0.44 JUL10 2325 254 35.30 -0.56 125 35.36 0.42 JUL10 2350 270 35.36 -0.58 118 35.45 0.40 JUL10 2375 288 35.45 -0.60 110 35.48 0.38 JUL10 2400 305 35.48 -0.62 103 35.54 0.36 JUL10 2425 323 35.54 -0.64 97 35.77 0.35 JUL10 2450 342 35.77 -0.65 91 35.97 0.33 JUL10 2475 361 35.97 -0.67 86 36.15 0.31 JUL10 2500 381 36.15 -0.69 20 37.01 0.10 JUL10 3000 815 37.01 -0.90 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 981 33.05 1.00 SEP10 1225 1 33.05 0.00 956 33.05 0.99 SEP10 1250 1 33.05 -0.01 931 33.05 0.99 SEP10 1275 1 33.05 -0.01 907 33.05 0.99 SEP10 1300 2 33.05 -0.01 882 33.05 0.99 SEP10 1325 2 33.05 -0.01 858 33.05 0.99 SEP10 1350 3 33.05 -0.01 833 33.05 0.98 SEP10 1375 3 33.05 -0.02 809 33.05 0.98 SEP10 1400 4 33.05 -0.02 785 33.05 0.98 SEP10 1425 5 33.05 -0.02 761 33.05 0.97 SEP10 1450 6 33.05 -0.03 738 33.05 0.97 SEP10 1475 8 33.05 -0.03 714 33.05 0.96 SEP10 1500 9 33.05 -0.04 691 33.05 0.95 SEP10 1525 11 33.05 -0.05 668 33.05 0.95 SEP10 1550 13 33.05 -0.05 645 33.05 0.94 SEP10 1575 15 33.05 -0.06 623 33.05 0.93 SEP10 1600 18 33.05 -0.07 601 33.05 0.92 SEP10 1625 21 33.05 -0.08 579 33.06 0.91 SEP10 1650 24 33.06 -0.09 557 33.05 0.90 SEP10 1675 27 33.05 -0.10 536 33.05 0.89 SEP10 1700 31 33.05 -0.11 515 33.05 0.88 SEP10 1725 35 33.05 -0.12 495 33.05 0.86 SEP10 1750 40 33.05 -0.14 475 33.05 0.85 SEP10 1775 45 33.05 -0.15 455 32.99 0.84 SEP10 1800 50 32.99 -0.16 436 33.05 0.82 SEP10 1825 56 33.05 -0.18 418 32.98 0.81 SEP10 1850 63 32.98 -0.19 400 33.08 0.79 SEP10 1875 70 33.08 -0.21 383 33.25 0.77 SEP10 1900 78 33.25 -0.23 366 33.33 0.75 SEP10 1925 86 33.33 -0.25 350 33.41 0.74 SEP10 1950 95 33.41 -0.26 335 33.62 0.72 SEP10 1975 105 33.62 -0.28 321 33.86 0.70 SEP10 2000 116 33.86 -0.30 306 33.93 0.68 SEP10 2025 126 33.93 -0.32 292 33.99 0.66 SEP10 2050 137 33.99 -0.34 279 34.13 0.64 SEP10 2075 149 34.13 -0.36 266 34.27 0.63 SEP10 2100 161 34.27 -0.37 254 34.33 0.61 SEP10 2125 174 34.33 -0.39 241 34.41 0.59 SEP10 2150 186 34.41 -0.41 230 34.48 0.57 SEP10 2175 200 34.48 -0.43 219 34.56 0.55 SEP10 2200 214 34.56 -0.45 208 34.63 0.53 SEP10 2225 228 34.63 -0.47 198 34.71 0.52 SEP10 2250 243 34.71 -0.48 188 34.79 0.50 SEP10 2275 258 34.79 -0.50 180 35.03 0.48 SEP10 2300 275 35.03 -0.52 170 34.95 0.47 SEP10 2325 290 34.95 -0.53 161 35.03 0.45 SEP10 2350 306 35.03 -0.55 153 35.11 0.43 SEP10 2375 323 35.11 -0.57 145 35.16 0.42 SEP10 2400 340 35.16 -0.58 138 35.24 0.40 SEP10 2425 358 35.24 -0.60 131 35.28 0.38 SEP10 2450 376 35.28 -0.62 124 35.37 0.37 SEP10 2475 394 35.37 -0.63 118 35.41 0.36 SEP10 2500 413 35.41 -0.64 40 36.89 0.15 SEP10 3000 835 36.89 -0.85 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 729 33.93 0.93 DEC10 1500 24 33.93 -0.07 707 33.93 0.92 DEC10 1525 27 33.93 -0.08 686 33.93 0.91 DEC10 1550 31 33.93 -0.09 665 33.92 0.90 DEC10 1575 35 33.92 -0.10 644 33.95 0.89 DEC10 1600 39 33.95 -0.11 624 33.94 0.88 DEC10 1625 44 33.94 -0.12 604 33.97 0.87 DEC10 1650 49 33.97 -0.13 584 34.00 0.86 DEC10 1675 54 34.00 -0.14 564 33.98 0.85 DEC10 1700 59 33.98 -0.15 546 34.07 0.84 DEC10 1725 66 34.07 -0.16 527 34.06 0.82 DEC10 1750 72 34.06 -0.18 509 34.06 0.81 DEC10 1775 79 34.06 -0.19 491 34.08 0.80 DEC10 1800 86 34.08 -0.20 474 34.11 0.78 DEC10 1825 94 34.11 -0.22 457 34.12 0.77 DEC10 1850 102 34.12 -0.23 441 34.16 0.76 DEC10 1875 111 34.16 -0.24 425 34.14 0.74 DEC10 1900 120 34.14 -0.26 409 34.11 0.73 DEC10 1925 129 34.11 -0.27 394 34.14 0.71 DEC10 1950 139 34.14 -0.29 379 34.13 0.70 DEC10 1975 149 34.13 -0.30 364 34.15 0.68 DEC10 2000 159 34.15 -0.32 350 34.16 0.67 DEC10 2025 170 34.16 -0.33 337 34.22 0.65 DEC10 2050 182 34.22 -0.35 324 34.25 0.64 DEC10 2075 194 34.25 -0.36 312 34.33 0.62 DEC10 2100 207 34.33 -0.38 300 34.42 0.61 DEC10 2125 220 34.42 -0.39 288 34.46 0.59 DEC10 2150 233 34.46 -0.41 277 34.50 0.58 DEC10 2175 247 34.50 -0.42 266 34.56 0.56 DEC10 2200 261 34.56 -0.44 256 34.64 0.55 DEC10 2225 276 34.64 -0.45 246 34.72 0.53 DEC10 2250 291 34.72 -0.47 236 34.80 0.52 DEC10 2275 306 34.80 -0.48 227 34.85 0.51 DEC10 2300 322 34.85 -0.49 218 34.93 0.49 DEC10 2325 338 34.93 -0.51 209 34.96 0.48 DEC10 2350 354 34.96 -0.52 201 35.08 0.46 DEC10 2375 371 35.08 -0.54 194 35.21 0.45 DEC10 2400 389 35.21 -0.55 186 35.30 0.44 DEC10 2425 406 35.30 -0.56 182 35.75 0.43 DEC10 2450 427 35.75 -0.57 175 35.87 0.42 DEC10 2475 445 35.87 -0.58 166 35.66 0.40 DEC10 2500 461 35.66 -0.60 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 740 32.35 0.91 MAR11 1500 35 32.35 -0.09 719 32.49 0.90 MAR11 1525 39 32.49 -0.10 699 32.49 0.89 MAR11 1550 44 32.49 -0.11 678 32.35 0.88 MAR11 1575 48 32.35 -0.12 658 32.35 0.87 MAR11 1600 53 32.35 -0.13 638 32.35 0.86 MAR11 1625 58 32.35 -0.14 619 32.35 0.85 MAR11 1650 64 32.35 -0.15 600 32.35 0.84 MAR11 1675 70 32.35 -0.16 581 32.35 0.83 MAR11 1700 76 32.35 -0.17 563 32.35 0.82 MAR11 1725 83 32.35 -0.18 545 32.35 0.81 MAR11 1750 90 32.35 -0.19 528 32.35 0.80 MAR11 1775 98 32.35 -0.20 511 32.41 0.78 MAR11 1800 106 32.41 -0.22 495 32.46 0.77 MAR11 1825 115 32.46 -0.23 479 32.52 0.76 MAR11 1850 124 32.52 -0.24 466 32.97 0.74 MAR11 1875 136 32.97 -0.26 451 32.97 0.73 MAR11 1900 146 32.97 -0.27 436 33.02 0.72 MAR11 1925 156 33.02 -0.28 422 33.07 0.70 MAR11 1950 167 33.07 -0.30 408 33.12 0.69 MAR11 1975 178 33.12 -0.31 394 33.18 0.68 MAR11 2000 189 33.18 -0.32 381 33.28 0.66 MAR11 2025 201 33.28 -0.34 370 33.49 0.65 MAR11 2050 215 33.49 -0.35 358 33.64 0.64 MAR11 2075 228 33.64 -0.36 348 33.88 0.62 MAR11 2100 243 33.88 -0.38 337 34.01 0.61 MAR11 2125 257 34.01 -0.39 327 34.21 0.60 MAR11 2150 272 34.21 -0.40 317 34.38 0.58 MAR11 2175 287 34.38 -0.42 307 34.46 0.57 MAR11 2200 302 34.46 -0.43 298 34.65 0.56 MAR11 2225 318 34.65 -0.44 289 34.78 0.55 MAR11 2250 334 34.78 -0.45 280 34.86 0.53 MAR11 2275 350 34.86 -0.47 271 35.02 0.52 MAR11 2300 366 35.02 -0.48 261 34.91 0.51 MAR11 2325 381 34.91 -0.49 252 35.00 0.50 MAR11 2350 397 35.00 -0.50 243 34.95 0.49 MAR11 2375 413 34.95 -0.51 234 34.85 0.47 MAR11 2400 429 34.85 -0.53 229 35.27 0.46 MAR11 2425 449 35.27 -0.54 222 35.36 0.45 MAR11 2450 467 35.36 -0.55 215 35.43 0.44 MAR11 2475 485 35.43 -0.56 208 35.60 0.43 MAR11 2500 503 35.60 -0.57 161 36.16 0.36 MAR11 2700 656 36.16 -0.64 101 35.71 0.25 MAR11 3000 896 35.71 -0.75 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 756 34.10 0.89 MAY11 1500 51 34.10 -0.11 736 34.10 0.88 MAY11 1525 56 34.10 -0.12 717 34.10 0.87 MAY11 1550 62 34.10 -0.13 697 34.10 0.86 MAY11 1575 67 34.10 -0.14 678 34.10 0.85 MAY11 1600 73 34.10 -0.15 660 34.10 0.84 MAY11 1625 80 34.10 -0.16 641 34.10 0.83 MAY11 1650 86 34.10 -0.17 623 34.06 0.82 MAY11 1675 93 34.06 -0.18 606 34.11 0.81 MAY11 1700 101 34.11 -0.19 588 34.07 0.80 MAY11 1725 108 34.07 -0.20 571 34.01 0.79 MAY11 1750 116 34.01 -0.21 554 34.01 0.78 MAY11 1775 124 34.01 -0.22 538 34.01 0.77 MAY11 1800 133 34.01 -0.23 522 34.01 0.76 MAY11 1825 142 34.01 -0.24 507 34.01 0.75 MAY11 1850 152 34.01 -0.25 491 34.01 0.73 MAY11 1875 161 34.01 -0.27 477 34.01 0.72 MAY11 1900 172 34.01 -0.28 462 34.01 0.71 MAY11 1925 182 34.01 -0.29 448 34.01 0.70 MAY11 1950 193 34.01 -0.30 434 34.01 0.69 MAY11 1975 204 34.01 -0.31 421 34.01 0.67 MAY11 2000 216 34.01 -0.33 408 34.04 0.66 MAY11 2025 228 34.04 -0.34 396 34.14 0.65 MAY11 2050 241 34.14 -0.35 384 34.25 0.64 MAY11 2075 254 34.25 -0.36 373 34.36 0.62 MAY11 2100 268 34.36 -0.38 363 34.49 0.61 MAY11 2125 283 34.49 -0.39 352 34.60 0.60 MAY11 2150 297 34.60 -0.40 342 34.72 0.59 MAY11 2175 312 34.72 -0.41 332 34.82 0.58 MAY11 2200 327 34.82 -0.42 323 34.98 0.57 MAY11 2225 343 34.98 -0.43 315 35.15 0.55 MAY11 2250 360 35.15 -0.45 306 35.33 0.54 MAY11 2275 376 35.33 -0.46 298 35.52 0.53 MAY11 2300 393 35.52 -0.47 291 35.73 0.52 MAY11 2325 411 35.73 -0.48 224 40.64 0.41 MAY11 2700 719 40.64 -0.59 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 694 37.28 0.82 JUL11 1625 114 37.28 -0.18 677 37.28 0.81 JUL11 1650 122 37.28 -0.19 660 37.28 0.80 JUL11 1675 130 37.28 -0.20 644 37.28 0.79 JUL11 1700 139 37.28 -0.21 628 37.28 0.78 JUL11 1725 148 37.28 -0.22 612 37.28 0.77 JUL11 1750 157 37.28 -0.23 597 37.28 0.76 JUL11 1775 167 37.28 -0.24 582 37.28 0.75 JUL11 1800 177 37.28 -0.25 567 37.31 0.74 JUL11 1825 187 37.31 -0.26 552 37.31 0.73 JUL11 1850 197 37.31 -0.27 538 37.31 0.72 JUL11 1875 208 37.31 -0.28 524 37.31 0.71 JUL11 1900 219 37.31 -0.29 511 37.31 0.70 JUL11 1925 231 37.31 -0.30 497 37.31 0.69 JUL11 1950 242 37.31 -0.31 484 37.31 0.68 JUL11 1975 254 37.31 -0.32 472 37.31 0.67 JUL11 2000 267 37.31 -0.33 459 37.31 0.66 JUL11 2025 279 37.31 -0.34 447 37.31 0.65 JUL11 2050 292 37.31 -0.35 435 37.31 0.64 JUL11 2075 305 37.31 -0.36 426 37.52 0.63 JUL11 2100 321 37.52 -0.37 416 37.68 0.62 JUL11 2125 336 37.68 -0.38 406 37.81 0.61 JUL11 2150 351 37.81 -0.39 395 37.79 0.60 JUL11 2175 365 37.79 -0.40 385 37.86 0.59 JUL11 2200 380 37.86 -0.41 376 37.95 0.58 JUL11 2225 396 37.95 -0.42 368 38.13 0.57 JUL11 2250 413 38.13 -0.43 359 38.28 0.56 JUL11 2275 429 38.28 -0.44 352 38.44 0.55 JUL11 2300 447 38.44 -0.45 344 38.62 0.54 JUL11 2325 464 38.62 -0.46 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 598 37.04 0.75 SEP11 1800 193 37.04 -0.25 584 37.04 0.74 SEP11 1825 204 37.04 -0.26 569 37.04 0.73 SEP11 1850 214 37.04 -0.27 555 37.04 0.72 SEP11 1875 225 37.04 -0.28 542 37.04 0.71 SEP11 1900 237 37.04 -0.29 528 37.04 0.70 SEP11 1925 248 37.04 -0.30 515 37.04 0.69 SEP11 1950 260 37.04 -0.31 503 37.04 0.68 SEP11 1975 273 37.04 -0.32 490 37.04 0.67 SEP11 2000 285 37.04 -0.33 478 37.04 0.66 SEP11 2025 298 37.04 -0.34 466 37.04 0.65 SEP11 2050 311 37.04 -0.35 454 37.04 0.64 SEP11 2075 324 37.04 -0.36 445 37.27 0.63 SEP11 2100 340 37.27 -0.37 436 37.44 0.62 SEP11 2125 356 37.44 -0.38 425 37.47 0.61 SEP11 2150 370 37.47 -0.39 414 37.45 0.60 SEP11 2175 384 37.45 -0.40 405 37.55 0.59 SEP11 2200 400 37.55 -0.41 396 37.61 0.58 SEP11 2225 416 37.61 -0.42 388 37.79 0.58 SEP11 2250 433 37.79 -0.42 379 37.91 0.57 SEP11 2275 449 37.91 -0.43 371 38.06 0.56 SEP11 2300 466 38.06 -0.44 364 38.21 0.55 SEP11 2325 484 38.21 -0.45 +++ Cocoa Cash Settled European (CNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 523 36.31 0.68 DEC11 1975 293 36.31 -0.32 515 36.72 0.67 DEC11 2000 310 36.72 -0.33 506 37.04 0.66 DEC11 2025 326 37.04 -0.34 497 37.27 0.65 DEC11 2050 342 37.27 -0.35 487 37.44 0.64 DEC11 2075 357 37.44 -0.36 477 37.52 0.64 DEC11 2100 372 37.52 -0.36 468 37.69 0.63 DEC11 2125 388 37.69 -0.37 458 37.72 0.62 DEC11 2150 403 37.72 -0.38 447 37.70 0.61 DEC11 2175 417 37.70 -0.39 438 37.80 0.60 DEC11 2200 433 37.80 -0.40 429 37.86 0.59 DEC11 2225 449 37.86 -0.41 421 38.04 0.58 DEC11 2250 466 38.04 -0.42 413 38.16 0.58 DEC11 2275 483 38.16 -0.42 405 38.31 0.57 DEC11 2300 500 38.31 -0.43 399 38.58 0.56 DEC11 2325 519 38.58 -0.44 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JAN10 1296 MAR10 H 1296 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 296 25.61 1.00 MAR10 1000 0 25.61 0.00 246 25.27 1.00 MAR10 1050 0 25.27 0.00 196 24.96 1.00 MAR10 1100 0 24.96 0.00 146 24.75 1.00 MAR10 1150 0 24.75 0.00 96 24.09 0.98 MAR10 1200 0 24.09 -0.02 50 23.36 0.84 MAR10 1250 4 23.36 -0.16 14 20.13 0.47 MAR10 1300 18 20.13 -0.53 4 24.52 0.15 MAR10 1350 58 24.52 -0.85 1 26.50 0.03 MAR10 1400 105 26.50 -0.97 0 33.41 0.02 MAR10 1450 154 33.41 -0.98 0 33.91 0.00 MAR10 1500 204 33.91 -1.00 0 37.54 0.00 MAR10 1550 254 37.54 -1.00 0 32.82 0.00 MAR10 1600 304 32.82 -1.00 0 33.78 0.00 MAR10 1650 354 33.78 -1.00 0 33.81 0.00 MAR10 1700 404 33.81 -1.00 0 34.05 0.00 MAR10 1750 454 34.05 -1.00 0 34.45 0.00 MAR10 1800 504 34.45 -1.00 0 34.48 0.00 MAR10 1850 554 34.48 -1.00 0 34.83 0.00 MAR10 1900 604 34.83 -1.00 0 34.66 0.00 MAR10 1950 654 34.66 -1.00 0 35.00 0.00 MAR10 2000 704 35.00 -1.00 0 35.35 0.00 MAR10 2050 754 35.35 -1.00 0 35.78 0.00 MAR10 2100 804 35.78 -1.00 0 36.20 0.00 MAR10 2150 854 36.20 -1.00 0 36.75 0.00 MAR10 2200 904 36.75 -1.00 0 37.03 0.00 MAR10 2250 954 37.03 -1.00 0 37.32 0.00 MAR10 2300 1004 37.32 -1.00 0 37.61 0.00 MAR10 2350 1054 37.61 -1.00 0 38.04 0.00 MAR10 2400 1104 38.04 -1.00 0 38.28 0.00 MAR10 2450 1154 38.28 -1.00 0 38.55 0.00 MAR10 2500 1204 38.55 -1.00 0 38.84 0.00 MAR10 2550 1254 38.84 -1.00 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY10 K 1330 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 184 22.48 0.93 MAY10 1150 4 22.48 -0.07 140 22.48 0.86 MAY10 1200 10 22.48 -0.14 102 22.87 0.74 MAY10 1250 22 22.87 -0.26 67 21.75 0.61 MAY10 1300 37 21.75 -0.39 42 21.62 0.46 MAY10 1350 62 21.62 -0.54 24 21.04 0.31 MAY10 1400 94 21.04 -0.69 14 21.64 0.20 MAY10 1450 134 21.64 -0.80 8 22.58 0.13 MAY10 1500 178 22.58 -0.87 6 25.12 0.10 MAY10 1550 226 25.12 -0.90 5 27.58 0.08 MAY10 1600 275 27.58 -0.92 4 29.08 0.06 MAY10 1650 324 29.08 -0.94 3 30.38 0.04 MAY10 1700 373 30.38 -0.96 2 30.68 0.03 MAY10 1750 422 30.68 -0.97 1 30.68 0.02 MAY10 1800 471 30.68 -0.98 1 30.62 0.01 MAY10 1850 521 30.62 -0.99 0 30.52 0.01 MAY10 1900 570 30.52 -0.99 0 30.43 0.00 MAY10 1950 620 30.43 -1.00 0 32.08 0.00 MAY10 2000 670 32.08 -1.00 0 32.06 0.00 MAY10 2050 720 32.06 -1.00 0 32.09 0.00 MAY10 2100 770 32.09 -1.00 0 32.18 0.00 MAY10 2150 820 32.18 -1.00 0 32.37 0.00 MAY10 2200 870 32.37 -1.00 0 32.46 0.00 MAY10 2250 920 32.46 -1.00 0 32.71 0.00 MAY10 2300 970 32.71 -1.00 0 32.99 0.00 MAY10 2350 1020 32.99 -1.00 0 33.29 0.00 MAY10 2400 1070 33.29 -1.00 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JUL10 N 1360 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 221 24.16 0.89 JUL10 1150 11 24.16 -0.11 179 24.16 0.83 JUL10 1200 19 24.16 -0.17 142 24.16 0.75 JUL10 1250 32 24.16 -0.25 110 24.16 0.65 JUL10 1300 50 24.16 -0.35 83 24.26 0.55 JUL10 1350 73 24.26 -0.45 63 25.00 0.45 JUL10 1400 103 25.00 -0.55 43 24.16 0.35 JUL10 1450 133 24.16 -0.65 32 24.66 0.28 JUL10 1500 172 24.66 -0.72 23 25.32 0.21 JUL10 1550 213 25.32 -0.79 17 26.03 0.17 JUL10 1600 257 26.03 -0.83 13 26.79 0.13 JUL10 1650 303 26.79 -0.87 10 27.63 0.10 JUL10 1700 350 27.63 -0.90 8 28.46 0.08 JUL10 1750 398 28.46 -0.92 6 29.25 0.06 JUL10 1800 446 29.25 -0.94 5 29.96 0.05 JUL10 1850 495 29.96 -0.95 4 30.52 0.04 JUL10 1900 544 30.52 -0.96 3 30.99 0.03 JUL10 1950 593 30.99 -0.97 2 31.43 0.02 JUL10 2000 642 31.43 -0.98 2 31.78 0.02 JUL10 2050 692 31.78 -0.98 1 32.07 0.01 JUL10 2100 741 32.07 -0.99 1 32.36 0.01 JUL10 2150 791 32.36 -0.99 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- SEP10 U 1388 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 219 25.99 0.81 SEP10 1200 31 25.99 -0.19 183 25.99 0.74 SEP10 1250 45 25.99 -0.26 154 26.80 0.67 SEP10 1300 66 26.80 -0.33 127 26.98 0.59 SEP10 1350 89 26.98 -0.41 103 27.00 0.52 SEP10 1400 115 27.00 -0.48 85 27.74 0.45 SEP10 1450 147 27.74 -0.55 71 28.38 0.39 SEP10 1500 183 28.38 -0.61 59 29.11 0.34 SEP10 1550 221 29.11 -0.66 49 29.84 0.29 SEP10 1600 261 29.84 -0.71 42 30.58 0.25 SEP10 1650 304 30.58 -0.75 36 31.49 0.22 SEP10 1700 348 31.49 -0.78 32 32.74 0.20 SEP10 1750 394 32.74 -0.80 29 33.99 0.18 SEP10 1800 441 33.99 -0.82 27 35.24 0.16 SEP10 1850 489 35.24 -0.84 25 36.49 0.15 SEP10 1900 537 36.49 -0.85 23 37.74 0.13 SEP10 1950 585 37.74 -0.87 22 38.99 0.13 SEP10 2000 634 38.99 -0.87 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- NOV10 X 1412 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 257 28.45 0.79 NOV10 1200 45 28.45 -0.21 223 28.45 0.74 NOV10 1250 61 28.45 -0.26 192 28.45 0.68 NOV10 1300 80 28.45 -0.32 164 28.53 0.62 NOV10 1350 102 28.53 -0.38 140 28.53 0.56 NOV10 1400 128 28.53 -0.44 117 28.45 0.50 NOV10 1450 155 28.45 -0.50 101 28.96 0.45 NOV10 1500 189 28.96 -0.55 90 30.26 0.40 NOV10 1550 228 30.26 -0.60 81 31.50 0.37 NOV10 1600 269 31.50 -0.63 71 32.08 0.33 NOV10 1650 309 32.08 -0.67 62 32.69 0.29 NOV10 1700 350 32.69 -0.71 54 33.13 0.26 NOV10 1750 392 33.13 -0.74 48 33.67 0.24 NOV10 1800 436 33.67 -0.76 43 34.27 0.21 NOV10 1850 481 34.27 -0.79 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JAN11 F 1432 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 282 28.06 0.79 JAN11 1200 50 28.06 -0.21 248 28.06 0.74 JAN11 1250 66 28.06 -0.26 216 28.06 0.69 JAN11 1300 84 28.06 -0.31 188 28.06 0.64 JAN11 1350 106 28.06 -0.36 162 28.06 0.59 JAN11 1400 130 28.06 -0.41 140 28.06 0.53 JAN11 1450 158 28.06 -0.47 119 28.06 0.48 JAN11 1500 187 28.06 -0.52 102 28.06 0.43 JAN11 1550 220 28.06 -0.57 88 28.45 0.39 JAN11 1600 256 28.45 -0.61 78 29.12 0.35 JAN11 1650 296 29.12 -0.65 69 29.79 0.31 JAN11 1700 337 29.79 -0.69 61 30.30 0.28 JAN11 1750 379 30.30 -0.72 54 30.73 0.25 JAN11 1800 422 30.73 -0.75 48 31.38 0.23 JAN11 1850 466 31.38 -0.77 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAR11 C 1455 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 276 27.99 0.75 MAR11 1250 71 27.99 -0.25 245 27.99 0.71 MAR11 1300 90 27.99 -0.29 216 27.99 0.66 MAR11 1350 111 27.99 -0.34 190 27.99 0.61 MAR11 1400 135 27.99 -0.39 166 27.99 0.56 MAR11 1450 161 27.99 -0.44 145 27.99 0.51 MAR11 1500 190 27.99 -0.49 126 27.99 0.47 MAR11 1550 221 27.99 -0.53 112 28.42 0.43 MAR11 1600 257 28.42 -0.57 100 28.96 0.39 MAR11 1650 295 28.96 -0.61 91 29.76 0.36 MAR11 1700 336 29.76 -0.64 82 30.34 0.33 MAR11 1750 377 30.34 -0.67 73 30.75 0.30 MAR11 1800 418 30.75 -0.70 67 31.31 0.27 MAR11 1850 462 31.31 -0.73 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY11 E 1450 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 285 28.32 0.74 MAY11 1250 85 28.32 -0.26 252 27.86 0.70 MAY11 1300 102 27.86 -0.30 224 27.86 0.65 MAY11 1350 124 27.86 -0.35 199 27.86 0.61 MAY11 1400 149 27.86 -0.39 176 27.86 0.56 MAY11 1450 176 27.86 -0.44 155 27.86 0.52 MAY11 1500 205 27.86 -0.48 136 27.86 0.47 MAY11 1550 236 27.86 -0.53 122 28.29 0.44 MAY11 1600 272 28.29 -0.56 110 28.80 0.40 MAY11 1650 310 28.80 -0.60 101 29.48 0.37 MAY11 1700 351 29.48 -0.63 92 30.04 0.34 MAY11 1750 392 30.04 -0.66 83 30.34 0.31 MAY11 1800 433 30.34 -0.69 76 30.88 0.29 MAY11 1850 476 30.88 -0.71 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JUL11 L 1440 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 311 26.99 0.77 JUL11 1200 71 26.99 -0.23 283 27.59 0.73 JUL11 1250 93 27.59 -0.27 255 27.86 0.68 JUL11 1300 115 27.86 -0.32 228 27.86 0.64 JUL11 1350 138 27.86 -0.36 203 27.86 0.60 JUL11 1400 163 27.86 -0.40 181 27.86 0.56 JUL11 1450 191 27.86 -0.44 161 27.86 0.51 JUL11 1500 221 27.86 -0.49 142 27.86 0.47 JUL11 1550 252 27.86 -0.53 128 28.29 0.44 JUL11 1600 288 28.29 -0.56 117 28.80 0.41 JUL11 1650 327 28.80 -0.59 108 29.48 0.38 JUL11 1700 368 29.48 -0.62 102 30.48 0.35 JUL11 1750 412 30.48 -0.65 +++ Robusta Coffee 10 Tonne (RC /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- SEP11 P 1440 +++ Robusta Coffee 10 Tonne (RC /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 292 27.59 0.72 SEP11 1250 102 27.59 -0.28 265 27.86 0.68 SEP11 1300 125 27.86 -0.32 239 27.86 0.64 SEP11 1350 149 27.86 -0.36 214 27.86 0.60 SEP11 1400 174 27.86 -0.40 192 27.86 0.56 SEP11 1450 202 27.86 -0.44 172 27.86 0.52 SEP11 1500 232 27.86 -0.48 154 27.86 0.48 SEP11 1550 264 27.86 -0.52 140 28.29 0.45 SEP11 1600 300 28.29 -0.55 129 28.80 0.42 SEP11 1650 339 28.80 -0.58 +++ Robusta Cash Settled Swap (RNF/F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY10 K 1295 JUL10 N 1295 SEP10 U 1295 NOV10 X 1295 JAN11 F 1295 MAR11 H 1295 MAY11 E 1295 JUL11 L 1295 SEP11 P 1295 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 149 23.34 0.92 MAY10 1150 4 23.34 -0.08 107 23.34 0.82 MAY10 1200 12 23.34 -0.18 71 23.34 0.67 MAY10 1250 26 23.34 -0.33 43 23.34 0.50 MAY10 1300 48 23.34 -0.50 24 23.21 0.33 MAY10 1350 79 23.21 -0.67 11 22.63 0.19 MAY10 1400 116 22.63 -0.81 6 23.23 0.11 MAY10 1450 161 23.23 -0.89 3 24.17 0.06 MAY10 1500 208 24.17 -0.94 2 26.71 0.04 MAY10 1550 257 26.71 -0.96 2 29.17 0.03 MAY10 1600 307 29.17 -0.97 1 30.67 0.02 MAY10 1650 356 30.67 -0.98 1 31.97 0.01 MAY10 1700 406 31.97 -0.99 0 32.27 0.01 MAY10 1750 455 32.27 -0.99 0 32.27 0.00 MAY10 1800 505 32.27 -1.00 0 32.21 0.00 MAY10 1850 555 32.21 -1.00 0 32.11 0.00 MAY10 1900 605 32.11 -1.00 0 32.02 0.00 MAY10 1950 655 32.02 -1.00 0 32.08 0.00 MAY10 2000 705 32.08 -1.00 0 32.06 0.00 MAY10 2050 755 32.06 -1.00 0 32.09 0.00 MAY10 2100 805 32.09 -1.00 0 32.18 0.00 MAY10 2150 855 32.18 -1.00 0 32.37 0.00 MAY10 2200 905 32.37 -1.00 0 32.46 0.00 MAY10 2250 955 32.46 -1.00 0 32.71 0.00 MAY10 2300 1005 32.71 -1.00 0 32.99 0.00 MAY10 2350 1055 32.99 -1.00 0 33.29 0.00 MAY10 2400 1105 33.29 -1.00 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 162 24.16 0.83 JUL10 1150 17 24.16 -0.17 125 24.16 0.74 JUL10 1200 30 24.16 -0.26 93 24.16 0.63 JUL10 1250 48 24.16 -0.37 67 24.16 0.52 JUL10 1300 72 24.16 -0.48 47 24.16 0.40 JUL10 1350 102 24.16 -0.60 34 25.00 0.31 JUL10 1400 139 25.00 -0.69 21 24.16 0.22 JUL10 1450 176 24.16 -0.78 14 24.66 0.16 JUL10 1500 219 24.66 -0.84 10 25.32 0.11 JUL10 1550 265 25.32 -0.89 7 26.03 0.08 JUL10 1600 312 26.03 -0.92 5 26.79 0.06 JUL10 1650 360 26.79 -0.94 4 27.63 0.05 JUL10 1700 409 27.63 -0.95 3 28.46 0.03 JUL10 1750 458 28.46 -0.97 2 29.25 0.03 JUL10 1800 507 29.25 -0.97 1 29.96 0.02 JUL10 1850 556 29.96 -0.98 1 30.52 0.01 JUL10 1900 606 30.52 -0.99 1 30.99 0.01 JUL10 1950 656 30.99 -0.99 1 31.43 0.01 JUL10 2000 706 31.43 -0.99 0 31.78 0.01 JUL10 2050 755 31.78 -0.99 0 32.07 0.00 JUL10 2100 805 32.07 -1.00 0 32.36 0.00 JUL10 2150 855 32.36 -1.00 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 144 25.99 0.70 SEP10 1200 49 25.99 -0.30 115 25.99 0.61 SEP10 1250 70 25.99 -0.39 93 26.80 0.53 SEP10 1300 98 26.80 -0.47 73 26.98 0.45 SEP10 1350 128 26.98 -0.55 56 27.00 0.37 SEP10 1400 161 27.00 -0.63 44 27.74 0.31 SEP10 1450 199 27.74 -0.69 35 28.38 0.26 SEP10 1500 240 28.38 -0.74 28 29.11 0.21 SEP10 1550 283 29.11 -0.79 23 29.84 0.18 SEP10 1600 328 29.84 -0.82 19 30.58 0.15 SEP10 1650 374 30.58 -0.85 16 31.49 0.12 SEP10 1700 421 31.49 -0.88 14 32.74 0.11 SEP10 1750 469 32.74 -0.89 13 33.99 0.10 SEP10 1800 518 33.99 -0.90 12 35.24 0.09 SEP10 1850 567 35.24 -0.91 11 36.49 0.08 SEP10 1900 616 36.49 -0.92 10 37.74 0.07 SEP10 1950 665 37.74 -0.93 9 38.99 0.07 SEP10 2000 714 38.99 -0.93 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 167 28.45 0.67 NOV10 1200 72 28.45 -0.33 140 28.45 0.61 NOV10 1250 95 28.45 -0.39 115 28.45 0.54 NOV10 1300 120 28.45 -0.46 95 28.53 0.47 NOV10 1350 150 28.53 -0.53 77 28.53 0.41 NOV10 1400 182 28.53 -0.59 62 28.45 0.35 NOV10 1450 217 28.45 -0.65 52 28.96 0.30 NOV10 1500 257 28.96 -0.70 46 30.26 0.27 NOV10 1550 301 30.26 -0.73 41 31.50 0.24 NOV10 1600 346 31.50 -0.76 35 32.08 0.21 NOV10 1650 390 32.08 -0.79 30 32.69 0.18 NOV10 1700 435 32.69 -0.82 26 33.13 0.16 NOV10 1750 481 33.13 -0.84 22 33.67 0.14 NOV10 1800 527 33.67 -0.86 19 34.27 0.12 NOV10 1850 574 34.27 -0.88 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 179 28.06 0.67 JAN11 1200 84 28.06 -0.33 152 28.06 0.60 JAN11 1250 107 28.06 -0.40 128 28.06 0.54 JAN11 1300 133 28.06 -0.46 108 28.06 0.49 JAN11 1350 163 28.06 -0.51 90 28.06 0.43 JAN11 1400 195 28.06 -0.57 74 28.06 0.37 JAN11 1450 229 28.06 -0.63 61 28.06 0.33 JAN11 1500 266 28.06 -0.67 50 28.06 0.28 JAN11 1550 305 28.06 -0.72 43 28.45 0.24 JAN11 1600 348 28.45 -0.76 37 29.12 0.22 JAN11 1650 392 29.12 -0.78 32 29.79 0.19 JAN11 1700 437 29.79 -0.81 28 30.30 0.17 JAN11 1750 483 30.30 -0.83 24 30.73 0.15 JAN11 1800 529 30.73 -0.85 22 31.38 0.13 JAN11 1850 577 31.38 -0.87 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 164 27.99 0.60 MAR11 1250 119 27.99 -0.40 141 27.99 0.55 MAR11 1300 146 27.99 -0.45 120 27.99 0.50 MAR11 1350 175 27.99 -0.50 102 27.99 0.44 MAR11 1400 207 27.99 -0.56 86 27.99 0.39 MAR11 1450 241 27.99 -0.61 73 27.99 0.35 MAR11 1500 278 27.99 -0.65 61 27.99 0.31 MAR11 1550 316 27.99 -0.69 53 28.42 0.27 MAR11 1600 358 28.42 -0.73 46 28.96 0.24 MAR11 1650 401 28.96 -0.76 42 29.76 0.22 MAR11 1700 447 29.76 -0.78 37 30.34 0.20 MAR11 1750 492 30.34 -0.80 33 30.75 0.18 MAR11 1800 538 30.75 -0.82 30 31.31 0.16 MAR11 1850 585 31.31 -0.84 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 177 28.32 0.61 MAY11 1250 132 28.32 -0.39 151 27.86 0.55 MAY11 1300 156 27.86 -0.45 131 27.86 0.50 MAY11 1350 186 27.86 -0.50 112 27.86 0.46 MAY11 1400 217 27.86 -0.54 96 27.86 0.41 MAY11 1450 251 27.86 -0.59 82 27.86 0.37 MAY11 1500 287 27.86 -0.63 70 27.86 0.32 MAY11 1550 325 27.86 -0.68 62 28.29 0.29 MAY11 1600 367 28.29 -0.71 55 28.80 0.26 MAY11 1650 410 28.80 -0.74 50 29.48 0.24 MAY11 1700 455 29.48 -0.76 45 30.04 0.22 MAY11 1750 500 30.04 -0.78 40 30.34 0.20 MAY11 1800 545 30.34 -0.80 36 30.88 0.18 MAY11 1850 591 30.88 -0.82 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 205 26.99 0.66 JUL11 1200 110 26.99 -0.34 183 27.59 0.61 JUL11 1250 138 27.59 -0.39 162 27.86 0.56 JUL11 1300 167 27.86 -0.44 141 27.86 0.51 JUL11 1350 196 27.86 -0.49 123 27.86 0.47 JUL11 1400 228 27.86 -0.53 107 27.86 0.42 JUL11 1450 262 27.86 -0.58 93 27.86 0.38 JUL11 1500 298 27.86 -0.62 80 27.86 0.34 JUL11 1550 335 27.86 -0.66 71 28.29 0.31 JUL11 1600 376 28.29 -0.69 64 28.80 0.28 JUL11 1650 419 28.80 -0.72 59 29.48 0.26 JUL11 1700 464 29.48 -0.74 56 30.48 0.25 JUL11 1750 511 30.48 -0.75 +++ Robusta Cash Settled European (RNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 193 27.59 0.61 SEP11 1250 148 27.59 -0.39 172 27.86 0.56 SEP11 1300 177 27.86 -0.44 152 27.86 0.52 SEP11 1350 207 27.86 -0.48 133 27.86 0.48 SEP11 1400 238 27.86 -0.52 117 27.86 0.43 SEP11 1450 272 27.86 -0.57 103 27.86 0.40 SEP11 1500 308 27.86 -0.60 90 27.86 0.36 SEP11 1550 345 27.86 -0.64 81 28.29 0.33 SEP11 1600 386 28.29 -0.67 73 28.80 0.30 SEP11 1650 428 28.80 -0.70 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAR10 H 97.50 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 4.50 18.27 1.00 MAR10 9300 0.00 18.27 0.00 3.50 18.27 0.99 MAR10 9400 0.00 18.27 -0.01 2.55 18.27 0.94 MAR10 9500 0.05 18.27 -0.06 1.65 18.27 0.83 MAR10 9600 0.15 18.27 -0.17 0.90 18.27 0.63 MAR10 9700 0.40 18.27 -0.37 0.45 18.27 0.38 MAR10 9800 0.95 18.27 -0.62 0.15 18.27 0.18 MAR10 9900 1.65 18.27 -0.82 0.05 18.27 0.06 MAR10 10000 2.55 18.27 -0.94 0.00 18.27 0.02 MAR10 10100 3.50 18.27 -0.98 0.00 18.27 0.00 MAR10 10200 4.50 18.27 -1.00 0.00 18.27 0.00 MAR10 10300 5.50 18.27 -1.00 0.00 18.32 0.00 MAR10 10400 6.50 18.32 -1.00 0.00 18.34 0.00 MAR10 10500 7.50 18.34 -1.00 0.00 18.39 0.00 MAR10 10600 8.50 18.39 -1.00 0.00 18.45 0.00 MAR10 10700 9.50 18.45 -1.00 0.00 18.50 0.00 MAR10 10800 10.50 18.50 -1.00 0.00 18.54 0.00 MAR10 10900 11.50 18.54 -1.00 0.00 18.55 0.00 MAR10 11000 12.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11100 13.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11200 14.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11300 15.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11400 16.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11500 17.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11600 18.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11700 19.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11800 20.50 18.55 -1.00 0.00 18.55 0.00 MAR10 11900 21.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12000 22.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12100 23.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12200 24.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12300 25.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12400 26.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12500 27.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12600 28.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12700 29.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12800 30.50 18.55 -1.00 0.00 18.55 0.00 MAR10 12900 31.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13000 32.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13100 33.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13200 34.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13300 35.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13400 36.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13500 37.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13600 38.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13700 39.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13800 40.50 18.55 -1.00 0.00 18.55 0.00 MAR10 13900 41.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14000 42.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14100 43.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14200 44.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14300 45.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14400 46.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14500 47.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14600 48.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14700 49.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14800 50.50 18.55 -1.00 0.00 18.55 0.00 MAR10 14900 51.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15000 52.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15100 53.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15200 54.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15300 55.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15400 56.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15500 57.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15600 58.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15700 59.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15800 60.50 18.55 -1.00 0.00 18.55 0.00 MAR10 15900 61.50 18.55 -1.00 0.00 18.55 0.00 MAR10 16000 62.50 18.55 -1.00 0.00 18.55 0.00 MAR10 16100 63.50 18.55 -1.00 0.00 18.55 0.00 MAR10 16200 64.50 18.55 -1.00 0.00 18.55 0.00 MAR10 16300 65.50 18.55 -1.00 0.00 18.55 0.00 MAR10 16400 66.50 18.55 -1.00 0.00 18.55 0.00 MAR10 16500 67.50 18.55 -1.00 0.00 18.55 0.00 MAR10 16600 68.50 18.55 -1.00 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY10 K 100.25 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 7.15 25.37 0.72 MAY10 9500 1.90 25.37 -0.28 6.50 25.37 0.68 MAY10 9600 2.25 25.37 -0.32 5.90 25.37 0.64 MAY10 9700 2.65 25.37 -0.36 5.30 25.37 0.61 MAY10 9800 3.05 25.37 -0.39 4.75 25.37 0.57 MAY10 9900 3.50 25.37 -0.43 4.25 25.37 0.53 MAY10 10000 4.00 25.37 -0.47 3.75 25.37 0.49 MAY10 10100 4.50 25.37 -0.51 3.35 25.37 0.45 MAY10 10200 5.10 25.37 -0.55 2.95 25.37 0.42 MAY10 10300 5.70 25.37 -0.58 2.60 25.42 0.38 MAY10 10400 6.35 25.42 -0.62 2.25 25.48 0.35 MAY10 10500 7.00 25.48 -0.65 2.00 25.49 0.31 MAY10 10600 7.75 25.49 -0.69 1.70 25.52 0.28 MAY10 10700 8.45 25.52 -0.72 1.50 25.52 0.25 MAY10 10800 9.25 25.52 -0.75 1.30 25.52 0.22 MAY10 10900 10.05 25.52 -0.78 1.10 25.52 0.20 MAY10 11000 10.85 25.52 -0.80 0.95 25.52 0.18 MAY10 11100 11.70 25.52 -0.82 0.80 25.52 0.15 MAY10 11200 12.55 25.52 -0.85 0.65 25.52 0.13 MAY10 11300 13.40 25.52 -0.87 0.55 25.52 0.12 MAY10 11400 14.30 25.52 -0.88 0.50 25.52 0.10 MAY10 11500 15.25 25.52 -0.90 0.40 25.52 0.09 MAY10 11600 16.15 25.52 -0.91 0.35 25.52 0.07 MAY10 11700 17.10 25.52 -0.93 0.30 25.52 0.06 MAY10 11800 18.05 25.52 -0.94 0.25 25.52 0.05 MAY10 11900 19.00 25.52 -0.95 0.20 25.52 0.05 MAY10 12000 19.95 25.52 -0.95 0.15 25.52 0.04 MAY10 12100 20.90 25.52 -0.96 0.15 25.52 0.03 MAY10 12200 21.90 25.52 -0.97 0.10 25.52 0.03 MAY10 12300 22.85 25.52 -0.97 0.10 25.52 0.02 MAY10 12400 23.85 25.52 -0.98 0.05 25.52 0.02 MAY10 12500 24.80 25.52 -0.98 0.05 25.52 0.02 MAY10 12600 25.80 25.52 -0.98 0.05 25.52 0.01 MAY10 12700 26.80 25.52 -0.99 0.05 25.52 0.01 MAY10 12800 27.80 25.52 -0.99 0.05 25.52 0.01 MAY10 12900 28.80 25.52 -0.99 0.00 25.52 0.01 MAY10 13000 29.75 25.52 -0.99 0.00 25.52 0.01 MAY10 13100 30.75 25.52 -0.99 0.00 25.52 0.00 MAY10 13200 31.75 25.52 -1.00 0.00 25.52 0.00 MAY10 13300 32.75 25.52 -1.00 0.00 25.52 0.00 MAY10 13400 33.75 25.52 -1.00 0.00 25.52 0.00 MAY10 13500 34.75 25.52 -1.00 0.00 25.52 0.00 MAY10 13600 35.75 25.52 -1.00 0.00 25.52 0.00 MAY10 13700 36.75 25.52 -1.00 0.00 25.52 0.00 MAY10 13800 37.75 25.52 -1.00 0.00 25.52 0.00 MAY10 13900 38.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14000 39.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14100 40.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14200 41.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14300 42.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14400 43.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14500 44.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14600 45.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14700 46.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14800 47.75 25.52 -1.00 0.00 25.52 0.00 MAY10 14900 48.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15000 49.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15100 50.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15200 51.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15300 52.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15400 53.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15500 54.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15600 55.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15700 56.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15800 57.75 25.52 -1.00 0.00 25.52 0.00 MAY10 15900 58.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16000 59.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16100 60.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16200 61.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16300 62.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16400 63.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16500 64.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16600 65.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16700 66.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16800 67.75 25.52 -1.00 0.00 25.52 0.00 MAY10 16900 68.75 25.52 -1.00 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JUL10 N 103.25 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 11.15 30.07 0.69 JUL10 9600 3.90 30.07 -0.31 10.55 30.07 0.67 JUL10 9700 4.30 30.07 -0.33 9.95 30.07 0.65 JUL10 9800 4.70 30.07 -0.35 9.35 30.07 0.63 JUL10 9900 5.10 30.07 -0.37 8.80 30.07 0.61 JUL10 10000 5.55 30.07 -0.39 8.30 30.07 0.58 JUL10 10100 6.05 30.07 -0.42 7.80 30.07 0.56 JUL10 10200 6.55 30.07 -0.44 7.30 30.07 0.54 JUL10 10300 7.05 30.07 -0.46 6.85 30.07 0.52 JUL10 10400 7.60 30.07 -0.48 6.40 30.07 0.50 JUL10 10500 8.15 30.07 -0.50 6.00 30.07 0.47 JUL10 10600 8.75 30.07 -0.53 5.60 30.07 0.45 JUL10 10700 9.35 30.07 -0.55 5.20 30.07 0.43 JUL10 10800 9.95 30.07 -0.57 4.85 30.07 0.41 JUL10 10900 10.60 30.07 -0.59 4.50 30.07 0.39 JUL10 11000 11.25 30.07 -0.61 4.20 30.07 0.37 JUL10 11100 11.95 30.07 -0.63 3.90 30.07 0.35 JUL10 11200 12.65 30.07 -0.65 3.60 30.07 0.33 JUL10 11300 13.35 30.07 -0.67 3.35 30.07 0.32 JUL10 11400 14.10 30.07 -0.68 3.10 30.07 0.30 JUL10 11500 14.85 30.07 -0.70 2.90 30.07 0.28 JUL10 11600 15.65 30.07 -0.72 2.65 30.07 0.26 JUL10 11700 16.40 30.07 -0.74 2.45 30.07 0.25 JUL10 11800 17.20 30.07 -0.75 2.25 30.07 0.23 JUL10 11900 18.00 30.07 -0.77 2.10 30.07 0.22 JUL10 12000 18.85 30.07 -0.78 1.90 30.07 0.21 JUL10 12100 19.65 30.07 -0.79 1.75 30.07 0.19 JUL10 12200 20.50 30.07 -0.81 1.65 30.07 0.18 JUL10 12300 21.40 30.07 -0.82 1.50 30.07 0.17 JUL10 12400 22.25 30.07 -0.83 1.35 30.07 0.16 JUL10 12500 23.10 30.07 -0.84 1.25 30.07 0.15 JUL10 12600 24.00 30.07 -0.85 1.15 30.07 0.14 JUL10 12700 24.90 30.07 -0.86 1.05 30.07 0.13 JUL10 12800 25.80 30.07 -0.87 0.95 30.07 0.12 JUL10 12900 26.70 30.07 -0.88 0.90 30.07 0.11 JUL10 13000 27.65 30.07 -0.89 0.80 30.07 0.10 JUL10 13100 28.55 30.07 -0.90 0.75 30.07 0.09 JUL10 13200 29.50 30.07 -0.91 0.65 30.07 0.09 JUL10 13300 30.40 30.07 -0.91 0.60 30.07 0.08 JUL10 13400 31.35 30.07 -0.92 0.55 30.07 0.07 JUL10 13500 32.30 30.07 -0.93 0.50 30.07 0.07 JUL10 13600 33.25 30.07 -0.93 0.45 30.07 0.06 JUL10 13700 34.20 30.07 -0.94 0.40 30.07 0.06 JUL10 13800 35.15 30.07 -0.94 0.40 30.07 0.05 JUL10 13900 36.15 30.07 -0.95 0.35 30.07 0.05 JUL10 14000 37.10 30.07 -0.95 0.30 30.07 0.04 JUL10 14100 38.05 30.07 -0.96 0.30 30.07 0.04 JUL10 14200 39.05 30.07 -0.96 0.25 30.07 0.04 JUL10 14300 40.00 30.07 -0.96 0.25 30.07 0.03 JUL10 14400 41.00 30.07 -0.97 0.20 30.07 0.03 JUL10 14500 41.95 30.07 -0.97 0.20 30.07 0.03 JUL10 14600 42.95 30.07 -0.97 0.15 30.07 0.03 JUL10 14700 43.90 30.07 -0.97 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- NOV10 X 103.75 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 10.45 25.25 0.61 NOV10 10000 6.70 25.25 -0.39 9.95 25.25 0.59 NOV10 10100 7.20 25.25 -0.41 9.45 25.25 0.57 NOV10 10200 7.70 25.25 -0.43 8.95 25.25 0.56 NOV10 10300 8.20 25.25 -0.44 8.50 25.25 0.54 NOV10 10400 8.75 25.25 -0.46 8.05 25.25 0.52 NOV10 10500 9.30 25.25 -0.48 7.65 25.25 0.50 NOV10 10600 9.90 25.25 -0.50 7.20 25.25 0.48 NOV10 10700 10.45 25.25 -0.52 6.85 25.25 0.46 NOV10 10800 11.10 25.25 -0.54 6.45 25.25 0.45 NOV10 10900 11.70 25.25 -0.55 6.10 25.25 0.43 NOV10 11000 12.35 25.25 -0.57 5.75 25.25 0.41 NOV10 11100 13.00 25.25 -0.59 5.45 25.25 0.40 NOV10 11200 13.70 25.25 -0.60 5.10 25.25 0.38 NOV10 11300 14.35 25.25 -0.62 4.80 25.25 0.36 NOV10 11400 15.05 25.25 -0.64 4.55 25.25 0.35 NOV10 11500 15.80 25.25 -0.65 4.25 25.25 0.33 NOV10 11600 16.50 25.25 -0.67 4.00 25.25 0.32 NOV10 11700 17.25 25.25 -0.68 3.75 25.25 0.30 NOV10 11800 18.00 25.25 -0.70 3.55 25.25 0.29 NOV10 11900 18.80 25.25 -0.71 3.35 25.25 0.28 NOV10 12000 19.60 25.25 -0.72 3.10 25.25 0.26 NOV10 12100 20.35 25.25 -0.74 2.95 25.25 0.25 NOV10 12200 21.20 25.25 -0.75 2.75 25.25 0.24 NOV10 12300 22.00 25.25 -0.76 2.55 25.25 0.23 NOV10 12400 22.80 25.25 -0.77 2.40 25.25 0.22 NOV10 12500 23.65 25.25 -0.78 2.25 25.25 0.20 NOV10 12600 24.50 25.25 -0.80 2.10 25.25 0.19 NOV10 12700 25.35 25.25 -0.81 1.95 25.25 0.18 NOV10 12800 26.20 25.25 -0.82 1.85 25.25 0.17 NOV10 12900 27.10 25.25 -0.83 1.70 25.25 0.16 NOV10 13000 27.95 25.25 -0.84 1.60 25.25 0.16 NOV10 13100 28.85 25.25 -0.84 1.50 25.25 0.15 NOV10 13200 29.75 25.25 -0.85 1.40 25.25 0.14 NOV10 13300 30.65 25.25 -0.86 1.30 25.25 0.13 NOV10 13400 31.55 25.25 -0.87 1.20 25.25 0.12 NOV10 13500 32.45 25.25 -0.88 1.15 25.25 0.12 NOV10 13600 33.40 25.25 -0.88 1.05 25.25 0.11 NOV10 13700 34.30 25.25 -0.89 1.00 25.25 0.10 NOV10 13800 35.25 25.25 -0.90 0.90 25.25 0.10 NOV10 13900 36.15 25.25 -0.90 0.85 25.25 0.09 NOV10 14000 37.10 25.25 -0.91 0.80 25.25 0.09 NOV10 14100 38.05 25.25 -0.91 0.75 25.25 0.08 NOV10 14200 39.00 25.25 -0.92 0.70 25.25 0.08 NOV10 14300 39.95 25.25 -0.92 0.65 25.25 0.07 NOV10 14400 40.90 25.25 -0.93 0.60 25.25 0.07 NOV10 14500 41.85 25.25 -0.93 0.55 25.25 0.06 NOV10 14600 42.80 25.25 -0.94 0.50 25.25 0.06 NOV10 14700 43.75 25.25 -0.94 0.45 25.25 0.05 NOV10 14800 44.70 25.25 -0.95 0.45 25.25 0.05 NOV10 14900 45.70 25.25 -0.95 0.40 25.25 0.05 NOV10 15000 46.65 25.25 -0.95 0.35 25.25 0.05 NOV10 15100 47.60 25.25 -0.95 0.35 25.25 0.04 NOV10 15200 48.60 25.25 -0.96 0.30 25.25 0.04 NOV10 15300 49.55 25.25 -0.96 0.30 25.25 0.04 NOV10 15400 50.55 25.25 -0.96 0.25 25.25 0.03 NOV10 15500 51.50 25.25 -0.97 0.25 25.25 0.03 NOV10 15600 52.50 25.25 -0.97 0.25 25.25 0.03 NOV10 15700 53.50 25.25 -0.97 0.20 25.25 0.03 NOV10 15800 54.45 25.25 -0.97 0.20 25.25 0.03 NOV10 15900 55.45 25.25 -0.97 0.20 25.25 0.02 NOV10 16000 56.45 25.25 -0.98 0.15 25.25 0.02 NOV10 16100 57.40 25.25 -0.98 0.15 25.25 0.02 NOV10 16200 58.40 25.25 -0.98 0.15 25.25 0.02 NOV10 16300 59.40 25.25 -0.98 0.15 25.25 0.02 NOV10 16400 60.40 25.25 -0.98 0.10 25.25 0.02 NOV10 16500 61.35 25.25 -0.98 0.10 25.25 0.01 NOV10 17000 66.35 25.25 -0.99 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JAN11 F 106.30 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 12.65 27.37 0.61 JAN11 10200 8.35 27.37 -0.39 12.15 27.37 0.60 JAN11 10300 8.85 27.37 -0.40 11.65 27.37 0.58 JAN11 10400 9.35 27.37 -0.42 11.20 27.37 0.57 JAN11 10500 9.90 27.37 -0.43 10.70 27.37 0.55 JAN11 10600 10.40 27.37 -0.45 10.25 27.37 0.54 JAN11 10700 10.95 27.37 -0.46 9.85 27.37 0.52 JAN11 10800 11.55 27.37 -0.48 9.40 27.37 0.51 JAN11 10900 12.10 27.37 -0.49 9.00 27.37 0.50 JAN11 11000 12.70 27.37 -0.50 8.65 27.37 0.48 JAN11 11100 13.35 27.37 -0.52 8.25 27.37 0.47 JAN11 11200 13.95 27.37 -0.53 7.90 27.37 0.45 JAN11 11300 14.60 27.37 -0.55 7.55 27.37 0.44 JAN11 11400 15.25 27.37 -0.56 7.20 27.37 0.42 JAN11 11500 15.90 27.37 -0.58 6.90 27.37 0.41 JAN11 11600 16.60 27.37 -0.59 6.55 27.37 0.40 JAN11 11700 17.25 27.37 -0.60 6.25 27.37 0.39 JAN11 11800 17.95 27.37 -0.61 6.00 27.37 0.37 JAN11 11900 18.70 27.37 -0.63 5.70 27.37 0.36 JAN11 12000 19.40 27.37 -0.64 5.45 27.37 0.35 JAN11 12100 20.15 27.37 -0.65 5.20 27.37 0.34 JAN11 12200 20.90 27.37 -0.66 4.95 27.37 0.32 JAN11 12300 21.65 27.37 -0.68 4.70 27.37 0.31 JAN11 12400 22.40 27.37 -0.69 4.50 27.37 0.30 JAN11 12500 23.20 27.37 -0.70 4.25 27.37 0.29 JAN11 12600 23.95 27.37 -0.71 4.05 27.37 0.28 JAN11 12700 24.75 27.37 -0.72 3.85 27.37 0.27 JAN11 12800 25.55 27.37 -0.73 3.65 27.37 0.26 JAN11 12900 26.35 27.37 -0.74 3.50 27.37 0.25 JAN11 13000 27.20 27.37 -0.75 3.30 27.37 0.24 JAN11 13100 28.00 27.37 -0.76 3.15 27.37 0.23 JAN11 13200 28.85 27.37 -0.77 3.00 27.37 0.22 JAN11 13300 29.70 27.37 -0.78 2.85 27.37 0.21 JAN11 13400 30.55 27.37 -0.79 2.70 27.37 0.20 JAN11 13500 31.40 27.37 -0.80 2.55 27.37 0.19 JAN11 13600 32.25 27.37 -0.81 2.45 27.37 0.19 JAN11 13700 33.15 27.37 -0.81 2.30 27.37 0.18 JAN11 13800 34.00 27.37 -0.82 2.20 27.37 0.17 JAN11 13900 34.90 27.37 -0.83 2.10 27.37 0.16 JAN11 14000 35.80 27.37 -0.84 1.95 27.37 0.16 JAN11 14100 36.65 27.37 -0.84 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAR11 C 109.30 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 13.50 26.17 0.61 MAR11 10500 9.20 26.17 -0.39 13.00 26.17 0.60 MAR11 10600 9.70 26.17 -0.40 12.50 26.17 0.58 MAR11 10700 10.20 26.17 -0.42 12.00 26.17 0.57 MAR11 10800 10.70 26.17 -0.43 11.55 26.17 0.56 MAR11 10900 11.25 26.17 -0.44 11.10 26.17 0.54 MAR11 11000 11.80 26.17 -0.46 10.70 26.17 0.53 MAR11 11100 12.40 26.17 -0.47 10.25 26.17 0.52 MAR11 11200 12.95 26.17 -0.48 9.85 26.17 0.50 MAR11 11300 13.55 26.17 -0.50 9.45 26.17 0.49 MAR11 11400 14.15 26.17 -0.51 9.10 26.17 0.48 MAR11 11500 14.80 26.17 -0.52 8.70 26.17 0.46 MAR11 11600 15.40 26.17 -0.54 8.35 26.17 0.45 MAR11 11700 16.05 26.17 -0.55 8.05 26.17 0.44 MAR11 11800 16.75 26.17 -0.56 7.70 26.17 0.42 MAR11 11900 17.40 26.17 -0.58 7.40 26.17 0.41 MAR11 12000 18.10 26.17 -0.59 7.05 26.17 0.40 MAR11 12100 18.75 26.17 -0.60 6.75 26.17 0.39 MAR11 12200 19.45 26.17 -0.61 6.50 26.17 0.38 MAR11 12300 20.20 26.17 -0.62 6.20 26.17 0.36 MAR11 12400 20.90 26.17 -0.64 5.95 26.17 0.35 MAR11 12500 21.65 26.17 -0.65 5.70 26.17 0.34 MAR11 12600 22.40 26.17 -0.66 5.45 26.17 0.33 MAR11 12700 23.15 26.17 -0.67 5.20 26.17 0.32 MAR11 12800 23.90 26.17 -0.68 5.00 26.17 0.31 MAR11 12900 24.70 26.17 -0.69 4.75 26.17 0.30 MAR11 13000 25.45 26.17 -0.70 4.55 26.17 0.29 MAR11 13100 26.25 26.17 -0.71 4.35 26.17 0.28 MAR11 13200 27.05 26.17 -0.72 4.15 26.17 0.27 MAR11 13300 27.85 26.17 -0.73 3.95 26.17 0.26 MAR11 13400 28.65 26.17 -0.74 3.80 26.17 0.25 MAR11 13500 29.50 26.17 -0.75 3.60 26.17 0.24 MAR11 13600 30.30 26.17 -0.76 3.45 26.17 0.23 MAR11 13700 31.15 26.17 -0.77 3.30 26.17 0.22 MAR11 13800 32.00 26.17 -0.78 3.15 26.17 0.22 MAR11 13900 32.85 26.17 -0.78 3.00 26.17 0.21 MAR11 14000 33.70 26.17 -0.79 2.85 26.17 0.20 MAR11 14100 34.55 26.17 -0.80 2.75 26.17 0.19 MAR11 14200 35.45 26.17 -0.81 2.60 26.17 0.19 MAR11 14300 36.30 26.17 -0.81 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY11 E 111.25 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 14.80 25.57 0.62 MAY11 10600 9.55 25.57 -0.38 14.30 25.57 0.61 MAY11 10700 10.05 25.57 -0.39 13.80 25.57 0.60 MAY11 10800 10.55 25.57 -0.40 13.35 25.57 0.58 MAY11 10900 11.10 25.57 -0.42 12.85 25.57 0.57 MAY11 11000 11.60 25.57 -0.43 12.40 25.57 0.56 MAY11 11100 12.15 25.57 -0.44 11.95 25.57 0.55 MAY11 11200 12.70 25.57 -0.45 11.55 25.57 0.53 MAY11 11300 13.30 25.57 -0.47 11.10 25.57 0.52 MAY11 11400 13.85 25.57 -0.48 10.70 25.57 0.51 MAY11 11500 14.45 25.57 -0.49 10.30 25.57 0.50 MAY11 11600 15.05 25.57 -0.50 9.95 25.57 0.48 MAY11 11700 15.70 25.57 -0.52 9.55 25.57 0.47 MAY11 11800 16.30 25.57 -0.53 9.20 25.57 0.46 MAY11 11900 16.95 25.57 -0.54 8.85 25.57 0.45 MAY11 12000 17.60 25.57 -0.55 8.55 25.57 0.44 MAY11 12100 18.30 25.57 -0.56 8.20 25.57 0.42 MAY11 12200 18.95 25.57 -0.58 7.90 25.57 0.41 MAY11 12300 19.65 25.57 -0.59 7.60 25.57 0.40 MAY11 12400 20.35 25.57 -0.60 7.30 25.57 0.39 MAY11 12500 21.05 25.57 -0.61 7.00 25.57 0.38 MAY11 12600 21.75 25.57 -0.62 6.75 25.57 0.37 MAY11 12700 22.50 25.57 -0.63 6.50 25.57 0.36 MAY11 12800 23.25 25.57 -0.64 6.20 25.57 0.35 MAY11 12900 23.95 25.57 -0.65 6.00 25.57 0.34 MAY11 13000 24.75 25.57 -0.66 5.75 25.57 0.33 MAY11 13100 25.50 25.57 -0.67 5.50 25.57 0.32 MAY11 13200 26.25 25.57 -0.68 5.30 25.57 0.31 MAY11 13300 27.05 25.57 -0.69 5.05 25.57 0.30 MAY11 13400 27.80 25.57 -0.70 4.85 25.57 0.29 MAY11 13500 28.60 25.57 -0.71 4.65 25.57 0.28 MAY11 13600 29.40 25.57 -0.72 4.50 25.57 0.27 MAY11 13700 30.25 25.57 -0.73 4.30 25.57 0.26 MAY11 13800 31.05 25.57 -0.74 4.10 25.57 0.25 MAY11 13900 31.85 25.57 -0.75 3.95 25.57 0.25 MAY11 14000 32.70 25.57 -0.75 3.80 25.57 0.24 MAY11 14100 33.55 25.57 -0.76 3.65 25.57 0.23 MAY11 14200 34.40 25.57 -0.77 3.50 25.57 0.22 MAY11 14300 35.25 25.57 -0.78 3.35 25.57 0.21 MAY11 14400 36.10 25.57 -0.79 3.20 25.57 0.21 MAY11 14500 36.95 25.57 -0.79 3.05 25.57 0.20 MAY11 14600 37.80 25.57 -0.80 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- JUL11 L 115.05 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 16.40 25.57 0.63 JUL11 10900 10.35 25.57 -0.37 15.90 25.57 0.62 JUL11 11000 10.85 25.57 -0.38 15.40 25.57 0.61 JUL11 11100 11.35 25.57 -0.39 14.90 25.57 0.59 JUL11 11200 11.85 25.57 -0.41 14.45 25.57 0.58 JUL11 11300 12.40 25.57 -0.42 14.00 25.57 0.57 JUL11 11400 12.95 25.57 -0.43 13.55 25.57 0.56 JUL11 11500 13.50 25.57 -0.44 13.10 25.57 0.55 JUL11 11600 14.05 25.57 -0.45 12.65 25.57 0.54 JUL11 11700 14.60 25.57 -0.46 12.25 25.57 0.52 JUL11 11800 15.20 25.57 -0.48 11.85 25.57 0.51 JUL11 11900 15.80 25.57 -0.49 11.45 25.57 0.50 JUL11 12000 16.40 25.57 -0.50 11.10 25.57 0.49 JUL11 12100 17.05 25.57 -0.51 10.70 25.57 0.48 JUL11 12200 17.65 25.57 -0.52 10.35 25.57 0.47 JUL11 12300 18.30 25.57 -0.53 10.00 25.57 0.46 JUL11 12400 18.95 25.57 -0.54 9.65 25.57 0.45 JUL11 12500 19.60 25.57 -0.55 9.35 25.57 0.44 JUL11 12600 20.30 25.57 -0.56 9.00 25.57 0.43 JUL11 12700 20.95 25.57 -0.57 8.70 25.57 0.42 JUL11 12800 21.65 25.57 -0.58 8.40 25.57 0.41 JUL11 12900 22.35 25.57 -0.59 8.10 25.57 0.40 JUL11 13000 23.05 25.57 -0.60 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- NOV11 S 108.50 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 16.35 25.57 0.62 NOV11 10400 11.85 25.57 -0.38 15.85 25.57 0.60 NOV11 10500 12.35 25.57 -0.40 15.40 25.57 0.59 NOV11 10600 12.90 25.57 -0.41 14.95 25.57 0.58 NOV11 10700 13.45 25.57 -0.42 14.50 25.57 0.57 NOV11 10800 14.00 25.57 -0.43 14.05 25.57 0.56 NOV11 10900 14.55 25.57 -0.44 13.65 25.57 0.55 NOV11 11000 15.15 25.57 -0.45 13.25 25.57 0.54 NOV11 11100 15.75 25.57 -0.46 12.80 25.57 0.53 NOV11 11200 16.30 25.57 -0.47 12.45 25.57 0.52 NOV11 11300 16.95 25.57 -0.48 12.05 25.57 0.51 NOV11 11400 17.55 25.57 -0.49 11.70 25.57 0.50 NOV11 11500 18.20 25.57 -0.50 11.30 25.57 0.49 NOV11 11600 18.80 25.57 -0.51 10.95 25.57 0.48 NOV11 11700 19.45 25.57 -0.52 10.60 25.57 0.47 NOV11 11800 20.10 25.57 -0.53 10.30 25.57 0.45 NOV11 11900 20.80 25.57 -0.55 9.95 25.57 0.44 NOV11 12000 21.45 25.57 -0.56 9.65 25.57 0.44 NOV11 12100 22.15 25.57 -0.56 9.35 25.57 0.43 NOV11 12200 22.85 25.57 -0.57 9.05 25.57 0.42 NOV11 12300 23.55 25.57 -0.58 8.75 25.57 0.41 NOV11 12400 24.25 25.57 -0.59 8.50 25.57 0.40 NOV11 12500 25.00 25.57 -0.60 8.20 25.57 0.39 NOV11 12600 25.70 25.57 -0.61 7.95 25.57 0.38 NOV11 12700 26.45 25.57 -0.62 7.70 25.57 0.37 NOV11 12800 27.20 25.57 -0.63 7.45 25.57 0.36 NOV11 12900 27.95 25.57 -0.64 7.20 25.57 0.35 NOV11 13000 28.70 25.57 -0.65 6.95 25.57 0.34 NOV11 13100 29.45 25.57 -0.66 +++ Wheat (T /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY12 3 113.50 +++ Wheat (T /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 19.45 25.57 0.63 MAY12 10800 13.95 25.57 -0.37 19.00 25.57 0.62 MAY12 10900 14.50 25.57 -0.38 18.55 25.57 0.61 MAY12 11000 15.05 25.57 -0.39 18.10 25.57 0.60 MAY12 11100 15.60 25.57 -0.40 17.65 25.57 0.59 MAY12 11200 16.15 25.57 -0.41 17.20 25.57 0.58 MAY12 11300 16.70 25.57 -0.42 16.80 25.57 0.57 MAY12 11400 17.30 25.57 -0.43 16.35 25.57 0.56 MAY12 11500 17.85 25.57 -0.44 15.95 25.57 0.55 MAY12 11600 18.45 25.57 -0.45 15.55 25.57 0.54 MAY12 11700 19.05 25.57 -0.46 15.15 25.57 0.53 MAY12 11800 19.65 25.57 -0.47 14.80 25.57 0.53 MAY12 11900 20.30 25.57 -0.47 14.40 25.57 0.52 MAY12 12000 20.90 25.57 -0.48 14.05 25.57 0.51 MAY12 12100 21.55 25.57 -0.49 +++ White Sugar (W /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY07 352.20 DEC09 724.50 MAR10 H 738.00 MAY10 K 713.80 +++ White Sugar (W /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 413.80 41.89 1.00 MAY10 30000 0.00 41.89 0.00 403.80 41.89 1.00 MAY10 31000 0.00 41.89 0.00 393.80 41.89 1.00 MAY10 32000 0.00 41.89 0.00 383.80 41.89 1.00 MAY10 33000 0.00 41.89 0.00 373.80 41.89 1.00 MAY10 34000 0.00 41.89 0.00 363.80 41.89 1.00 MAY10 35000 0.00 41.89 0.00 353.80 41.89 1.00 MAY10 36000 0.00 41.89 0.00 343.80 41.89 1.00 MAY10 37000 0.00 41.89 0.00 333.80 41.89 1.00 MAY10 38000 0.00 41.89 0.00 323.80 41.89 1.00 MAY10 39000 0.00 41.89 0.00 313.80 41.89 1.00 MAY10 40000 0.00 41.89 0.00 303.80 41.89 1.00 MAY10 41000 0.00 41.89 0.00 293.80 41.89 1.00 MAY10 42000 0.00 41.89 0.00 283.80 41.89 1.00 MAY10 43000 0.00 41.89 0.00 273.85 41.89 1.00 MAY10 44000 0.05 41.89 0.00 263.85 41.89 1.00 MAY10 45000 0.05 41.89 0.00 253.90 41.89 1.00 MAY10 46000 0.10 41.89 0.00 243.95 41.89 1.00 MAY10 47000 0.15 41.89 0.00 234.00 41.89 0.99 MAY10 48000 0.20 41.89 -0.01 224.10 41.89 0.99 MAY10 49000 0.30 41.89 -0.01 214.25 41.89 0.99 MAY10 50000 0.45 41.89 -0.01 204.40 41.89 0.99 MAY10 51000 0.60 41.89 -0.01 194.65 41.89 0.98 MAY10 52000 0.85 41.89 -0.02 185.00 41.92 0.97 MAY10 53000 1.20 41.92 -0.03 175.40 41.89 0.97 MAY10 54000 1.60 41.89 -0.03 165.95 41.85 0.96 MAY10 55000 2.15 41.85 -0.04 156.60 41.88 0.95 MAY10 56000 2.80 41.88 -0.05 147.45 41.87 0.93 MAY10 57000 3.65 41.87 -0.07 138.45 41.87 0.92 MAY10 58000 4.65 41.87 -0.08 129.65 41.87 0.90 MAY10 59000 5.85 41.87 -0.10 121.30 42.19 0.88 MAY10 60000 7.50 42.19 -0.12 112.80 41.87 0.86 MAY10 61000 9.00 41.87 -0.14 104.75 41.86 0.83 MAY10 62000 10.95 41.86 -0.17 97.05 41.86 0.81 MAY10 63000 13.25 41.86 -0.19 89.60 41.86 0.78 MAY10 64000 15.80 41.86 -0.22 82.50 41.85 0.75 MAY10 65000 18.70 41.85 -0.25 75.95 42.09 0.72 MAY10 66000 22.15 42.09 -0.28 69.65 42.25 0.68 MAY10 67000 25.85 42.25 -0.32 63.70 42.33 0.65 MAY10 68000 29.90 42.33 -0.35 58.25 42.55 0.61 MAY10 69000 34.45 42.55 -0.39 53.20 42.84 0.58 MAY10 70000 39.40 42.84 -0.42 48.25 42.84 0.55 MAY10 71000 44.45 42.84 -0.45 43.60 42.84 0.51 MAY10 72000 49.80 42.84 -0.49 39.30 42.84 0.48 MAY10 73000 55.50 42.84 -0.52 35.55 43.05 0.45 MAY10 74000 61.75 43.05 -0.55 32.30 43.44 0.41 MAY10 75000 68.50 43.44 -0.59 29.45 43.92 0.39 MAY10 76000 75.65 43.92 -0.61 27.00 44.56 0.36 MAY10 77000 83.20 44.56 -0.64 24.60 45.03 0.33 MAY10 78000 90.80 45.03 -0.67 22.45 45.51 0.31 MAY10 79000 98.65 45.51 -0.69 +++ White Sugar (W /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- AUG10 Q 665.50 +++ White Sugar (W /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 385.50 39.34 1.00 AUG10 28000 0.00 39.34 0.00 375.50 39.34 1.00 AUG10 29000 0.00 39.34 0.00 365.50 39.34 1.00 AUG10 30000 0.00 39.34 0.00 355.55 39.34 1.00 AUG10 31000 0.05 39.34 0.00 345.55 39.34 1.00 AUG10 32000 0.05 39.34 0.00 335.60 39.34 1.00 AUG10 33000 0.10 39.34 0.00 325.60 39.34 1.00 AUG10 34000 0.10 39.34 0.00 315.65 39.34 1.00 AUG10 35000 0.15 39.34 0.00 305.75 39.34 1.00 AUG10 36000 0.25 39.34 0.00 295.85 39.34 0.99 AUG10 37000 0.35 39.34 -0.01 286.00 39.34 0.99 AUG10 38000 0.50 39.34 -0.01 276.20 39.34 0.99 AUG10 39000 0.70 39.34 -0.01 266.40 39.34 0.99 AUG10 40000 0.90 39.34 -0.01 256.70 39.34 0.98 AUG10 41000 1.20 39.34 -0.02 247.10 39.34 0.98 AUG10 42000 1.60 39.34 -0.02 237.55 39.34 0.97 AUG10 43000 2.05 39.34 -0.03 228.10 39.34 0.96 AUG10 44000 2.60 39.34 -0.04 218.75 39.34 0.96 AUG10 45000 3.25 39.34 -0.04 209.55 39.34 0.95 AUG10 46000 4.05 39.34 -0.05 200.45 39.34 0.94 AUG10 47000 4.95 39.34 -0.06 191.55 39.34 0.93 AUG10 48000 6.05 39.34 -0.07 182.75 39.34 0.91 AUG10 49000 7.25 39.34 -0.09 174.20 39.34 0.90 AUG10 50000 8.70 39.34 -0.10 165.80 39.34 0.89 AUG10 51000 10.30 39.34 -0.11 157.60 39.34 0.87 AUG10 52000 12.10 39.34 -0.13 149.60 39.34 0.85 AUG10 53000 14.10 39.34 -0.15 141.85 39.34 0.83 AUG10 54000 16.35 39.34 -0.17 134.30 39.31 0.81 AUG10 55000 18.80 39.31 -0.19 127.00 39.34 0.79 AUG10 56000 21.50 39.34 -0.21 119.95 39.34 0.77 AUG10 57000 24.45 39.34 -0.23 113.15 39.34 0.75 AUG10 58000 27.65 39.34 -0.25 106.60 39.34 0.73 AUG10 59000 31.10 39.34 -0.27 100.30 39.34 0.71 AUG10 60000 34.80 39.34 -0.29 94.30 39.34 0.68 AUG10 61000 38.80 39.34 -0.32 88.50 39.34 0.66 AUG10 62000 43.00 39.34 -0.34 83.00 39.34 0.64 AUG10 63000 47.50 39.34 -0.36 77.75 39.34 0.61 AUG10 64000 52.25 39.34 -0.39 72.70 39.34 0.59 AUG10 65000 57.20 39.34 -0.41 67.95 39.34 0.56 AUG10 66000 62.45 39.34 -0.44 63.45 39.34 0.54 AUG10 67000 67.95 39.34 -0.46 59.15 39.34 0.51 AUG10 68000 73.65 39.34 -0.49 55.10 39.34 0.49 AUG10 69000 79.60 39.34 -0.51 51.30 39.34 0.47 AUG10 70000 85.80 39.34 -0.53 47.65 39.34 0.44 AUG10 71000 92.15 39.34 -0.56 44.25 39.34 0.42 AUG10 72000 98.75 39.34 -0.58 41.10 39.34 0.40 AUG10 73000 105.60 39.34 -0.60 38.10 39.34 0.38 AUG10 74000 112.60 39.34 -0.62 35.30 39.34 0.36 AUG10 75000 119.80 39.34 -0.64 +++ White Sugar (W /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- OCT10 V 605.50 +++ White Sugar (W /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 266.25 36.28 0.99 OCT10 34000 0.75 36.28 -0.01 256.55 36.28 0.98 OCT10 35000 1.05 36.28 -0.02 246.85 36.28 0.98 OCT10 36000 1.35 36.28 -0.02 237.30 36.28 0.97 OCT10 37000 1.80 36.28 -0.03 227.80 36.28 0.97 OCT10 38000 2.30 36.28 -0.03 218.45 36.28 0.96 OCT10 39000 2.95 36.28 -0.04 209.20 36.28 0.95 OCT10 40000 3.70 36.28 -0.05 200.10 36.28 0.94 OCT10 41000 4.60 36.28 -0.06 191.20 36.28 0.93 OCT10 42000 5.70 36.28 -0.07 182.40 36.28 0.92 OCT10 43000 6.90 36.28 -0.08 173.80 36.28 0.90 OCT10 44000 8.30 36.28 -0.10 165.40 36.28 0.89 OCT10 45000 9.90 36.28 -0.11 157.25 36.28 0.87 OCT10 46000 11.75 36.28 -0.13 149.25 36.28 0.86 OCT10 47000 13.75 36.28 -0.14 141.50 36.28 0.84 OCT10 48000 16.00 36.28 -0.16 134.00 36.28 0.82 OCT10 49000 18.50 36.28 -0.18 126.75 36.28 0.80 OCT10 50000 21.25 36.28 -0.20 119.70 36.28 0.78 OCT10 51000 24.20 36.28 -0.22 112.95 36.28 0.76 OCT10 52000 27.45 36.28 -0.24 106.45 36.28 0.73 OCT10 53000 30.95 36.28 -0.27 100.20 36.28 0.71 OCT10 54000 34.70 36.28 -0.29 94.20 36.28 0.69 OCT10 55000 38.70 36.28 -0.31 88.50 36.28 0.66 OCT10 56000 43.00 36.28 -0.34 83.00 36.28 0.64 OCT10 57000 47.50 36.28 -0.36 77.80 36.28 0.62 OCT10 58000 52.30 36.28 -0.38 72.85 36.28 0.59 OCT10 59000 57.35 36.28 -0.41 68.10 36.28 0.57 OCT10 60000 62.60 36.28 -0.43 63.65 36.28 0.54 OCT10 61000 68.15 36.28 -0.46 59.40 36.28 0.52 OCT10 62000 73.90 36.28 -0.48 55.40 36.28 0.50 OCT10 63000 79.90 36.28 -0.50 51.65 36.28 0.47 OCT10 64000 86.15 36.28 -0.53 48.05 36.28 0.45 OCT10 65000 92.55 36.28 -0.55 44.70 36.28 0.43 OCT10 66000 99.20 36.28 -0.57 +++ White Sugar (W /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- DEC10 Z 563.50 +++ White Sugar (W /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 215.20 31.12 0.97 DEC10 35000 1.70 31.12 -0.03 205.75 31.12 0.97 DEC10 36000 2.25 31.12 -0.03 196.45 31.12 0.96 DEC10 37000 2.95 31.12 -0.04 187.25 31.12 0.95 DEC10 38000 3.75 31.12 -0.05 178.20 31.12 0.94 DEC10 39000 4.70 31.12 -0.06 169.35 31.12 0.92 DEC10 40000 5.85 31.12 -0.08 160.70 31.12 0.91 DEC10 41000 7.20 31.12 -0.09 152.25 31.12 0.89 DEC10 42000 8.75 31.12 -0.11 144.05 31.12 0.87 DEC10 43000 10.55 31.12 -0.13 136.05 31.12 0.86 DEC10 44000 12.55 31.12 -0.14 128.30 31.12 0.84 DEC10 45000 14.80 31.12 -0.16 120.80 31.12 0.81 DEC10 46000 17.30 31.12 -0.19 113.60 31.12 0.79 DEC10 47000 20.10 31.12 -0.21 106.65 31.12 0.77 DEC10 48000 23.15 31.12 -0.23 99.95 31.12 0.74 DEC10 49000 26.45 31.12 -0.26 93.60 31.12 0.72 DEC10 50000 30.10 31.12 -0.28 87.50 31.12 0.69 DEC10 51000 34.00 31.12 -0.31 81.70 31.12 0.67 DEC10 52000 38.20 31.12 -0.33 76.15 31.12 0.64 DEC10 53000 42.65 31.12 -0.36 70.90 31.12 0.62 DEC10 54000 47.40 31.12 -0.38 65.95 31.12 0.59 DEC10 55000 52.45 31.12 -0.41 61.25 31.12 0.56 DEC10 56000 57.75 31.12 -0.44 56.80 31.12 0.54 DEC10 57000 63.30 31.12 -0.46 52.55 31.08 0.51 DEC10 58000 69.05 31.08 -0.49 48.70 31.12 0.48 DEC10 59000 75.20 31.12 -0.52 45.05 31.12 0.46 DEC10 60000 81.55 31.12 -0.54 41.60 31.12 0.43 DEC10 61000 88.10 31.12 -0.57 38.35 31.11 0.41 DEC10 62000 94.85 31.11 -0.59 +++ White Sugar (W /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAR11 C 544.40 +++ White Sugar (W /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 150.40 37.99 0.81 MAR11 42000 26.00 37.99 -0.19 143.60 37.99 0.79 MAR11 43000 29.20 37.99 -0.21 137.00 37.99 0.77 MAR11 44000 32.60 37.99 -0.23 130.65 37.99 0.76 MAR11 45000 36.25 37.99 -0.24 124.50 37.99 0.74 MAR11 46000 40.10 37.99 -0.26 118.60 37.99 0.72 MAR11 47000 44.20 37.99 -0.28 112.90 37.99 0.70 MAR11 48000 48.50 37.99 -0.30 107.45 37.99 0.68 MAR11 49000 53.05 37.99 -0.32 102.20 37.99 0.66 MAR11 50000 57.80 37.99 -0.34 97.15 37.99 0.64 MAR11 51000 62.75 37.99 -0.36 92.30 37.99 0.62 MAR11 52000 67.90 37.99 -0.38 87.65 37.99 0.60 MAR11 53000 73.25 37.99 -0.40 83.25 37.99 0.58 MAR11 54000 78.85 37.99 -0.42 79.00 37.99 0.56 MAR11 55000 84.60 37.99 -0.44 74.95 37.99 0.55 MAR11 56000 90.55 37.99 -0.45 71.05 37.99 0.53 MAR11 57000 96.65 37.99 -0.47 67.40 37.99 0.51 MAR11 58000 103.00 37.99 -0.49 63.85 37.99 0.49 MAR11 59000 109.45 37.99 -0.51 +++ White Sugar (W /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY11 E 522.40 +++ White Sugar (W /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 131.40 38.01 0.75 MAY11 43000 39.00 38.01 -0.25 125.45 38.01 0.73 MAY11 44000 43.05 38.01 -0.27 119.70 38.01 0.72 MAY11 45000 47.30 38.01 -0.28 114.15 38.01 0.70 MAY11 46000 51.75 38.01 -0.30 108.80 38.01 0.68 MAY11 47000 56.40 38.01 -0.32 103.70 38.01 0.66 MAY11 48000 61.30 38.01 -0.34 98.75 38.01 0.64 MAY11 49000 66.35 38.01 -0.36 94.05 38.01 0.62 MAY11 50000 71.65 38.01 -0.38 89.55 38.01 0.60 MAY11 51000 77.15 38.01 -0.40 85.20 38.01 0.58 MAY11 52000 82.80 38.01 -0.42 81.05 38.01 0.57 MAY11 53000 88.65 38.01 -0.43 77.10 38.01 0.55 MAY11 54000 94.70 38.01 -0.45 73.30 38.01 0.53 MAY11 55000 100.90 38.01 -0.47 69.65 38.01 0.51 MAY11 56000 107.25 38.01 -0.49 66.20 38.01 0.50 MAY11 57000 113.80 38.01 -0.50 +++ White Sugar (W /F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- AUG11 O 498.40 +++ White Sugar (W /O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 132.20 38.00 0.75 AUG11 41000 43.80 38.00 -0.25 126.45 38.00 0.73 AUG11 42000 48.05 38.00 -0.27 120.95 38.00 0.71 AUG11 43000 52.55 38.00 -0.29 115.65 38.00 0.69 AUG11 44000 57.25 38.00 -0.31 110.50 38.00 0.67 AUG11 45000 62.10 38.00 -0.33 105.60 38.00 0.66 AUG11 46000 67.20 38.00 -0.34 100.90 38.00 0.64 AUG11 47000 72.50 38.00 -0.36 96.35 38.00 0.62 AUG11 48000 77.95 38.00 -0.38 92.00 38.00 0.60 AUG11 49000 83.60 38.00 -0.40 87.85 38.00 0.59 AUG11 50000 89.45 38.00 -0.41 83.85 38.00 0.57 AUG11 51000 95.45 38.00 -0.43 80.00 38.00 0.55 AUG11 52000 101.60 38.00 -0.45 76.35 38.00 0.53 AUG11 53000 107.95 38.00 -0.47 72.80 38.00 0.52 AUG11 54000 114.40 38.00 -0.48 69.45 38.00 0.50 AUG11 55000 121.05 38.00 -0.50 +++ White Sugar Cash Settled Swap (WNF/F) +++ Expiry Delivery Settlement External Spot Date Month Price Settlement Price EDSP ------- -------- ---------- ---------- ---------- ---------- MAY10 K 724.50 AUG10 Q 724.50 OCT10 V 724.50 DEC10 Z 724.50 MAR11 H 724.50 MAY11 E 724.50 AUG11 O 724.50 +++ White Sugar Cash Settled European (WNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 403.50 41.89 1.00 MAY10 30000 0.00 41.89 0.00 393.50 41.89 1.00 MAY10 31000 0.00 41.89 0.00 383.50 41.89 1.00 MAY10 32000 0.00 41.89 0.00 373.50 41.89 1.00 MAY10 33000 0.00 41.89 0.00 363.50 41.89 1.00 MAY10 34000 0.00 41.89 0.00 353.50 41.89 1.00 MAY10 35000 0.00 41.89 0.00 343.50 41.89 1.00 MAY10 36000 0.00 41.89 0.00 333.50 41.89 1.00 MAY10 37000 0.00 41.89 0.00 323.50 41.89 1.00 MAY10 38000 0.00 41.89 0.00 313.50 41.89 1.00 MAY10 39000 0.00 41.89 0.00 303.50 41.89 1.00 MAY10 40000 0.00 41.89 0.00 293.50 41.89 1.00 MAY10 41000 0.00 41.89 0.00 283.50 41.89 1.00 MAY10 42000 0.00 41.89 0.00 273.50 41.89 1.00 MAY10 43000 0.00 41.89 0.00 263.50 41.89 1.00 MAY10 44000 0.00 41.89 0.00 253.50 41.89 1.00 MAY10 45000 0.00 41.89 0.00 243.50 41.89 1.00 MAY10 46000 0.00 41.89 0.00 233.50 41.89 1.00 MAY10 47000 0.00 41.89 0.00 223.55 41.89 1.00 MAY10 48000 0.05 41.89 0.00 213.55 41.89 1.00 MAY10 49000 0.05 41.89 0.00 203.60 41.89 1.00 MAY10 50000 0.10 41.89 0.00 193.65 41.89 0.99 MAY10 51000 0.15 41.89 -0.01 183.75 41.89 0.99 MAY10 52000 0.25 41.89 -0.01 173.90 41.92 0.99 MAY10 53000 0.40 41.92 -0.01 164.10 41.89 0.98 MAY10 54000 0.60 41.89 -0.02 154.40 41.85 0.98 MAY10 55000 0.90 41.85 -0.02 144.80 41.88 0.97 MAY10 56000 1.30 41.88 -0.03 135.30 41.87 0.95 MAY10 57000 1.80 41.87 -0.05 126.00 41.87 0.94 MAY10 58000 2.50 41.87 -0.06 116.85 41.87 0.92 MAY10 59000 3.35 41.87 -0.08 108.10 42.19 0.90 MAY10 60000 4.60 42.19 -0.10 99.30 41.87 0.88 MAY10 61000 5.80 41.87 -0.12 90.95 41.86 0.85 MAY10 62000 7.45 41.86 -0.15 82.95 41.86 0.82 MAY10 63000 9.45 41.86 -0.18 75.30 41.86 0.79 MAY10 64000 11.80 41.86 -0.21 68.00 41.85 0.75 MAY10 65000 14.50 41.85 -0.25 61.35 42.09 0.71 MAY10 66000 17.85 42.09 -0.29 55.05 42.25 0.67 MAY10 67000 21.55 42.25 -0.33 49.10 42.33 0.63 MAY10 68000 25.60 42.33 -0.37 43.75 42.55 0.58 MAY10 69000 30.25 42.55 -0.42 38.90 42.84 0.54 MAY10 70000 35.40 42.84 -0.46 34.20 42.84 0.50 MAY10 71000 40.70 42.84 -0.50 29.95 42.84 0.46 MAY10 72000 46.45 42.84 -0.54 26.10 42.84 0.42 MAY10 73000 52.60 42.84 -0.58 22.85 43.05 0.38 MAY10 74000 59.35 43.05 -0.62 20.05 43.44 0.34 MAY10 75000 66.55 43.44 -0.66 17.65 43.92 0.31 MAY10 76000 74.15 43.92 -0.69 15.65 44.56 0.28 MAY10 77000 82.15 44.56 -0.72 13.75 45.03 0.25 MAY10 78000 90.25 45.03 -0.75 12.10 45.51 0.23 MAY10 79000 98.60 45.51 -0.77 +++ White Sugar Cash Settled European (WNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 423.50 39.34 1.00 AUG10 28000 0.00 39.34 0.00 413.50 39.34 1.00 AUG10 29000 0.00 39.34 0.00 403.50 39.34 1.00 AUG10 30000 0.00 39.34 0.00 393.50 39.34 1.00 AUG10 31000 0.00 39.34 0.00 383.50 39.34 1.00 AUG10 32000 0.00 39.34 0.00 373.50 39.34 1.00 AUG10 33000 0.00 39.34 0.00 363.55 39.34 1.00 AUG10 34000 0.05 39.34 0.00 353.55 39.34 1.00 AUG10 35000 0.05 39.34 0.00 343.55 39.34 1.00 AUG10 36000 0.05 39.34 0.00 333.60 39.34 1.00 AUG10 37000 0.10 39.34 0.00 323.65 39.34 1.00 AUG10 38000 0.15 39.34 0.00 313.70 39.34 1.00 AUG10 39000 0.20 39.34 0.00 303.80 39.34 0.99 AUG10 40000 0.30 39.34 -0.01 293.95 39.34 0.99 AUG10 41000 0.45 39.34 -0.01 284.10 39.34 0.99 AUG10 42000 0.60 39.34 -0.01 274.30 39.34 0.99 AUG10 43000 0.80 39.34 -0.01 264.55 39.34 0.98 AUG10 44000 1.05 39.34 -0.02 254.90 39.34 0.98 AUG10 45000 1.40 39.34 -0.02 245.25 39.34 0.97 AUG10 46000 1.75 39.34 -0.03 235.75 39.34 0.97 AUG10 47000 2.25 39.34 -0.03 226.35 39.34 0.96 AUG10 48000 2.85 39.34 -0.04 217.05 39.34 0.95 AUG10 49000 3.55 39.34 -0.05 207.85 39.34 0.94 AUG10 50000 4.35 39.34 -0.06 198.80 39.34 0.93 AUG10 51000 5.30 39.34 -0.07 189.90 39.34 0.92 AUG10 52000 6.40 39.34 -0.08 181.20 39.34 0.91 AUG10 53000 7.70 39.34 -0.09 172.65 39.34 0.89 AUG10 54000 9.15 39.34 -0.11 164.25 39.31 0.88 AUG10 55000 10.75 39.31 -0.12 156.10 39.34 0.86 AUG10 56000 12.60 39.34 -0.14 148.15 39.34 0.85 AUG10 57000 14.65 39.34 -0.15 140.45 39.34 0.83 AUG10 58000 16.95 39.34 -0.17 132.95 39.34 0.81 AUG10 59000 19.45 39.34 -0.19 125.65 39.34 0.79 AUG10 60000 22.15 39.34 -0.21 118.65 39.34 0.77 AUG10 61000 25.15 39.34 -0.23 111.85 39.34 0.74 AUG10 62000 28.35 39.34 -0.26 105.35 39.34 0.72 AUG10 63000 31.85 39.34 -0.28 99.10 39.34 0.70 AUG10 64000 35.60 39.34 -0.30 93.05 39.34 0.68 AUG10 65000 39.55 39.34 -0.32 87.30 39.34 0.65 AUG10 66000 43.80 39.34 -0.35 81.80 39.34 0.63 AUG10 67000 48.30 39.34 -0.37 76.55 39.34 0.60 AUG10 68000 53.05 39.34 -0.40 71.60 39.34 0.58 AUG10 69000 58.10 39.34 -0.42 66.85 39.34 0.55 AUG10 70000 63.35 39.34 -0.45 62.35 39.34 0.53 AUG10 71000 68.85 39.34 -0.47 58.10 39.34 0.51 AUG10 72000 74.60 39.34 -0.49 54.05 39.34 0.48 AUG10 73000 80.55 39.34 -0.52 50.25 39.34 0.46 AUG10 74000 86.75 39.34 -0.54 46.65 39.34 0.44 AUG10 75000 93.15 39.34 -0.56 +++ White Sugar Cash Settled European (WNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 363.60 36.28 1.00 OCT10 34000 0.10 36.28 0.00 353.65 36.28 1.00 OCT10 35000 0.15 36.28 0.00 343.70 36.28 1.00 OCT10 36000 0.20 36.28 0.00 333.80 36.28 1.00 OCT10 37000 0.30 36.28 0.00 323.90 36.28 0.99 OCT10 38000 0.40 36.28 -0.01 314.05 36.28 0.99 OCT10 39000 0.55 36.28 -0.01 304.20 36.28 0.99 OCT10 40000 0.70 36.28 -0.01 294.45 36.28 0.99 OCT10 41000 0.95 36.28 -0.01 284.70 36.28 0.98 OCT10 42000 1.20 36.28 -0.02 275.05 36.28 0.98 OCT10 43000 1.55 36.28 -0.02 265.50 36.28 0.97 OCT10 44000 2.00 36.28 -0.03 256.00 36.28 0.97 OCT10 45000 2.50 36.28 -0.03 246.60 36.28 0.96 OCT10 46000 3.10 36.28 -0.04 237.30 36.28 0.95 OCT10 47000 3.80 36.28 -0.05 228.15 36.28 0.95 OCT10 48000 4.65 36.28 -0.05 219.10 36.28 0.94 OCT10 49000 5.60 36.28 -0.06 210.20 36.28 0.93 OCT10 50000 6.70 36.28 -0.07 201.45 36.28 0.91 OCT10 51000 7.95 36.28 -0.09 192.85 36.28 0.90 OCT10 52000 9.35 36.28 -0.10 184.45 36.28 0.89 OCT10 53000 10.95 36.28 -0.11 176.20 36.28 0.88 OCT10 54000 12.70 36.28 -0.12 168.15 36.28 0.86 OCT10 55000 14.65 36.28 -0.14 160.30 36.28 0.84 OCT10 56000 16.80 36.28 -0.16 152.70 36.28 0.83 OCT10 57000 19.20 36.28 -0.17 145.25 36.28 0.81 OCT10 58000 21.75 36.28 -0.19 138.05 36.28 0.79 OCT10 59000 24.55 36.28 -0.21 131.10 36.28 0.77 OCT10 60000 27.60 36.28 -0.23 124.35 36.28 0.75 OCT10 61000 30.85 36.28 -0.25 117.85 36.28 0.73 OCT10 62000 34.35 36.28 -0.27 111.55 36.28 0.71 OCT10 63000 38.05 36.28 -0.29 105.50 36.28 0.69 OCT10 64000 42.00 36.28 -0.31 99.70 36.28 0.67 OCT10 65000 46.20 36.28 -0.33 94.10 36.28 0.65 OCT10 66000 50.60 36.28 -0.35 +++ White Sugar Cash Settled European (WNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 353.65 31.12 1.00 DEC10 35000 0.15 31.12 0.00 343.70 31.12 1.00 DEC10 36000 0.20 31.12 0.00 333.75 31.12 1.00 DEC10 37000 0.25 31.12 0.00 323.85 31.12 0.99 DEC10 38000 0.35 31.12 -0.01 314.00 31.12 0.99 DEC10 39000 0.50 31.12 -0.01 304.15 31.12 0.99 DEC10 40000 0.65 31.12 -0.01 294.40 31.12 0.99 DEC10 41000 0.90 31.12 -0.01 284.65 31.12 0.98 DEC10 42000 1.15 31.12 -0.02 275.00 31.12 0.98 DEC10 43000 1.50 31.12 -0.02 265.40 31.12 0.97 DEC10 44000 1.90 31.12 -0.03 255.90 31.12 0.97 DEC10 45000 2.40 31.12 -0.03 246.50 31.12 0.96 DEC10 46000 3.00 31.12 -0.04 237.15 31.12 0.96 DEC10 47000 3.65 31.12 -0.04 228.00 31.12 0.95 DEC10 48000 4.50 31.12 -0.05 218.90 31.12 0.94 DEC10 49000 5.40 31.12 -0.06 210.00 31.12 0.93 DEC10 50000 6.50 31.12 -0.07 201.20 31.12 0.92 DEC10 51000 7.70 31.12 -0.08 192.60 31.12 0.90 DEC10 52000 9.10 31.12 -0.10 184.15 31.12 0.89 DEC10 53000 10.65 31.12 -0.11 175.90 31.12 0.88 DEC10 54000 12.40 31.12 -0.12 167.85 31.12 0.86 DEC10 55000 14.35 31.12 -0.14 160.00 31.12 0.85 DEC10 56000 16.50 31.12 -0.15 152.35 31.12 0.83 DEC10 57000 18.85 31.12 -0.17 144.85 31.08 0.81 DEC10 58000 21.35 31.08 -0.19 137.65 31.12 0.79 DEC10 59000 24.15 31.12 -0.21 130.70 31.12 0.77 DEC10 60000 27.20 31.12 -0.23 123.90 31.12 0.75 DEC10 61000 30.40 31.12 -0.25 117.35 31.11 0.73 DEC10 62000 33.85 31.11 -0.27 +++ White Sugar Cash Settled European (WNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 290.50 37.99 0.94 MAR11 42000 7.00 37.99 -0.06 281.65 37.99 0.94 MAR11 43000 8.15 37.99 -0.06 272.90 37.99 0.93 MAR11 44000 9.40 37.99 -0.07 264.35 37.99 0.92 MAR11 45000 10.85 37.99 -0.08 255.90 37.99 0.91 MAR11 46000 12.40 37.99 -0.09 247.60 37.99 0.90 MAR11 47000 14.10 37.99 -0.10 239.45 37.99 0.89 MAR11 48000 15.95 37.99 -0.11 231.50 37.99 0.88 MAR11 49000 18.00 37.99 -0.12 223.65 37.99 0.87 MAR11 50000 20.15 37.99 -0.13 216.00 37.99 0.86 MAR11 51000 22.50 37.99 -0.14 208.50 37.99 0.84 MAR11 52000 25.00 37.99 -0.16 201.20 37.99 0.83 MAR11 53000 27.70 37.99 -0.17 194.05 37.99 0.82 MAR11 54000 30.55 37.99 -0.18 187.05 37.99 0.80 MAR11 55000 33.55 37.99 -0.20 180.25 37.99 0.79 MAR11 56000 36.75 37.99 -0.21 173.65 37.99 0.78 MAR11 57000 40.15 37.99 -0.22 167.20 37.99 0.76 MAR11 58000 43.70 37.99 -0.24 160.95 37.99 0.75 MAR11 59000 47.45 37.99 -0.25 +++ White Sugar Cash Settled European (WNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 284.70 38.01 0.92 MAY11 43000 11.20 38.01 -0.08 276.30 38.01 0.92 MAY11 44000 12.80 38.01 -0.08 268.00 38.01 0.91 MAY11 45000 14.50 38.01 -0.09 259.85 38.01 0.90 MAY11 46000 16.35 38.01 -0.10 251.85 38.01 0.89 MAY11 47000 18.35 38.01 -0.11 244.00 38.01 0.88 MAY11 48000 20.50 38.01 -0.12 236.30 38.01 0.87 MAY11 49000 22.80 38.01 -0.13 228.75 38.01 0.85 MAY11 50000 25.25 38.01 -0.15 221.40 38.01 0.84 MAY11 51000 27.90 38.01 -0.16 214.20 38.01 0.83 MAY11 52000 30.70 38.01 -0.17 207.15 38.01 0.82 MAY11 53000 33.65 38.01 -0.18 200.30 38.01 0.81 MAY11 54000 36.80 38.01 -0.19 193.55 38.01 0.79 MAY11 55000 40.05 38.01 -0.21 187.00 38.01 0.78 MAY11 56000 43.50 38.01 -0.22 180.65 38.01 0.77 MAY11 57000 47.15 38.01 -0.23 +++ White Sugar Cash Settled European (WNU/O) +++ CALLS PUTS Settlement Volatility Delta Expiry Strike Settlement Volatility Delta ---------- ---------- ------ ------- --------- ---------- ---------- ------ 305.95 38.00 0.93 AUG11 41000 12.45 38.00 -0.07 297.60 38.00 0.92 AUG11 42000 14.10 38.00 -0.08 289.40 38.00 0.91 AUG11 43000 15.90 38.00 -0.09 281.30 38.00 0.90 AUG11 44000 17.80 38.00 -0.10 273.35 38.00 0.89 AUG11 45000 19.85 38.00 -0.11 265.60 38.00 0.88 AUG11 46000 22.10 38.00 -0.12 257.95 38.00 0.87 AUG11 47000 24.45 38.00 -0.13 250.45 38.00 0.86 AUG11 48000 26.95 38.00 -0.14 243.15 38.00 0.85 AUG11 49000 29.65 38.00 -0.15 235.95 38.00 0.84 AUG11 50000 32.45 38.00 -0.16 228.95 38.00 0.83 AUG11 51000 35.45 38.00 -0.17 222.05 38.00 0.82 AUG11 52000 38.55 38.00 -0.18 215.35 38.00 0.81 AUG11 53000 41.85 38.00 -0.19 208.80 38.00 0.79 AUG11 54000 45.30 38.00 -0.21 202.40 38.00 0.78 AUG11 55000 48.90 38.00 -0.22