Friday, March 12, 2010

Analysis of the Futures and Options “LUKOIL”

Saturday, January 30, 2010, 19:11
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Futures on shares of OAO “LUKOIL” (LKH0): in the morning futures LKH0 is in the basis of 110 points, with a 13-00 Moscow time decreasing by 1,3% (Fig. 1).

Fig. 1. History of the basis (within days).

The number of open positions with the beginning of trading has declined by 2500 and amounts to 116,500 contracts (Fig. 2).

Fig. 2. Changing the open position (within days).

In the long term the market remains in a downtrend. The volatility of the March Putov “outside money” higher than the volatility of the March call “outside money” (Fig. 3). We are witnessing “volatility smirk”, which signals that will soon resume downward trend.

Fig. 3. Exchange IV (within days).

If we talk about the number of open positions, the maximum number - of putakh LK17000BO9 (put max, Fig. 4) and Collen LK18000BC9 (call max, Fig. 4).

Fig. 4. Levels of optional support /resistance.

The most likely scenario: a reduction in the area 14000.
Least likely scenario: growth in the region 18000.

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