Theoretical value and delta of futures options for next trading session. Strike prices across the page, futures prices down the page. Volatilities with a plus or minus range from last value. DEC 98 CBOT 30YR T-BONDS OPTIONS Evaluation date: 09/29/98 Expiration date: 11/20/98 # days: 52 Futures last: 129-17 Implied volatility: 8.99% Interest rate: 4.43% | 134-00 | 132-00 | 130-00 | 128-00 | 126-00 | | Call Put | Call Put | Call Put | Call Put | Call Put | 131-16 @10.00% | 0-63 31 3-30 -68| 1-47 46 2-15 -53| 2-51 62 1-19 -37| 4-10 76 0-43 -23| 5-50 87 0-20 -12| @ 9.50% | 0-58 30 3-25 -69| 1-41 46 2-08 -53| 2-45 63 1-13 -37| 4-05 77 0-39 -22| 5-47 88 0-17 -11| @ 9.00% | 0-52 29 3-19 -70| 1-34 46 2-02 -53| 2-39 63 1-07 -36| 4-01 79 0-34 -21| 5-44 89 0-14 -10| @ 8.50% | 0-47 28 3-14 -71| 1-28 46 1-60 -54| 2-33 64 1-01 -35| 3-60 80 0-30 -19| 5-41 91 0-11 -9| @ 8.00% | 0-41 27 3-08 -72| 1-22 45 1-54 -54| 2-27 65 0-60 -34| 3-56 81 0-25 -18| 5-39 92 0-09 -8| 131-08 @10.00% | 0-58 30 3-41 -70| 1-40 44 2-23 -55| 2-41 60 1-25 -39| 3-62 75 0-47 -25| 5-36 86 0-22 -13| @ 9.50% | 0-53 29 3-36 -71| 1-33 44 2-17 -55| 2-35 61 1-19 -39| 3-57 76 0-42 -24| 5-33 87 0-19 -12| @ 9.00% | 0-48 27 3-30 -72| 1-27 44 2-11 -56| 2-29 61 1-13 -38| 3-52 77 0-37 -22| 5-29 88 0-16 -11| @ 8.50% | 0-42 26 3-25 -73| 1-21 43 2-05 -56| 2-23 62 1-07 -37| 3-48 78 0-33 -21| 5-27 90 0-13 -10| @ 8.00% | 0-37 25 3-20 -74| 1-15 43 1-62 -57| 2-17 63 1-01 -37| 3-43 80 0-28 -20| 5-24 91 0-10 -9| 131-00 @10.00% | 0-54 28 3-52 -71| 1-33 42 2-32 -57| 2-31 58 1-32 -41| 3-50 73 0-51 -26| 5-22 85 0-24 -15| @ 9.50% | 0-48 27 3-47 -73| 1-27 42 2-26 -57| 2-25 59 1-26 -41| 3-45 74 0-46 -25| 5-19 86 0-21 -13| @ 9.00% | 0-43 26 3-42 -74| 1-20 42 2-20 -58| 2-19 59 1-20 -40| 3-40 75 0-41 -24| 5-15 87 0-17 -12| @ 8.50% | 0-38 24 3-37 -75| 1-14 41 2-14 -58| 2-13 60 1-13 -40| 3-35 76 0-36 -23| 5-12 88 0-14 -11| @ 8.00% | 0-33 23 3-32 -76| 1-08 40 2-08 -59| 2-07 60 1-07 -39| 3-30 78 0-32 -22| 5-09 90 0-12 -10| 130-24 @10.00% | 0-49 26 4-00 -73| 1-26 41 2-42 -59| 2-22 56 1-38 -43| 3-38 72 0-56 -28| 5-09 84 0-27 -16| @ 9.50% | 0-44 25 3-59 -74| 1-20 40 2-35 -59| 2-16 57 1-32 -43| 3-33 72 0-50 -27| 5-05 85 0-23 -15| @ 9.00% | 0-39 24 3-54 -76| 1-14 39 2-29 -60| 2-10 57 1-26 -42| 3-28 74 0-45 -26| 5-02 86 0-19 -13| @ 8.50% | 0-34 23 3-49 -77| 1-08 39 2-23 -61| 2-04 57 1-20 -42| 3-23 75 0-40 -25| 4-62 87 0-16 -12| @ 8.00% | 0-30 21 3-45 -78| 1-02 38 2-17 -61| 1-62 58 1-14 -42| 3-18 76 0-35 -23| 4-59 89 0-13 -11| 130-16 @10.00% | 0-45 25 4-12 -75| 1-20 39 2-51 -61| 2-13 54 1-45 -45| 3-27 70 0-60 -30| 4-59 82 0-29 -17| @ 9.50% | 0-40 23 4-07 -76| 1-14 38 2-45 -61| 2-07 55 1-39 -45| 3-22 71 0-55 -29| 4-56 84 0-25 -16| @ 9.00% | 0-36 22 4-02 -77| 1-08 37 2-39 -62| 2-01 55 1-33 -45| 3-16 72 0-49 -28| 4-52 85 0-22 -15| @ 8.50% | 0-31 21 3-62 -79| 1-02 36 2-33 -63| 1-59 55 1-27 -44| 3-11 73 0-44 -27| 4-48 86 0-18 -13| @ 8.00% | 0-27 19 3-57 -80| 0-60 36 2-27 -64| 1-52 55 1-21 -44| 3-06 74 0-39 -25| 4-45 87 0-15 -12| 130-08 @10.00% | 0-41 23 4-24 -76| 1-14 37 2-61 -63| 2-05 52 1-53 -47| 3-16 68 1-01 -31| 4-46 81 0-32 -18| @ 9.50% | 0-37 22 4-19 -78| 1-08 36 2-55 -63| 1-62 53 1-47 -47| 3-11 69 0-60 -31| 4-42 82 0-28 -17| @ 9.00% | 0-32 21 4-15 -79| 1-02 35 2-49 -64| 1-56 53 1-40 -47| 3-05 70 0-54 -30| 4-38 83 0-24 -16| @ 8.50% | 0-28 19 4-10 -80| 0-60 34 2-43 -65| 1-50 53 1-34 -47| 3-00 71 0-49 -29| 4-35 85 0-20 -15| @ 8.00% | 0-24 18 4-06 -82| 0-54 33 2-38 -66| 1-44 53 1-28 -47| 2-58 72 0-43 -28| 4-31 86 0-17 -13| 130-00 @10.00% | 0-38 22 4-36 -78| 1-08 35 3-07 -65| 1-60 50 1-60 -49| 3-05 66 1-06 -33| 4-34 80 0-35 -20| @ 9.50% | 0-33 20 4-32 -79| 1-02 34 3-01 -65| 1-54 50 1-54 -49| 3-00 67 1-01 -32| 4-29 81 0-31 -19| @ 9.00% | 0-29 19 4-27 -80| 0-61 33 2-60 -66| 1-48 50 1-48 -49| 2-58 68 0-59 -32| 4-25 82 0-27 -17| @ 8.50% | 0-25 18 4-23 -82| 0-55 32 2-54 -67| 1-42 50 1-42 -49| 2-53 69 0-53 -31| 4-21 83 0-23 -16| @ 8.00% | 0-21 16 4-19 -83| 0-49 31 2-49 -68| 1-36 50 1-36 -49| 2-47 70 0-48 -30| 4-18 85 0-19 -15| 129-24 @10.00% | 0-35 20 4-49 -79| 1-03 33 3-18 -66| 1-53 48 2-04 -51| 2-59 64 1-12 -35| 4-21 78 0-38 -21| @ 9.50% | 0-30 19 4-45 -81| 0-61 32 3-12 -67| 1-46 48 1-62 -51| 2-53 65 1-06 -34| 4-16 79 0-34 -20| @ 9.00% | 0-26 17 4-40 -82| 0-55 31 3-06 -68| 1-40 48 1-56 -51| 2-47 66 1-00 -34| 4-12 81 0-30 -19| @ 8.50% | 0-22 16 4-37 -83| 0-50 30 3-01 -69| 1-34 48 1-50 -51| 2-42 67 0-59 -33| 4-08 82 0-26 -18| @ 8.00% | 0-19 15 4-33 -85| 0-45 29 2-60 -71| 1-28 48 1-44 -52| 2-36 67 0-53 -32| 4-04 83 0-22 -16| 129-16 @10.00% | 0-31 19 4-62 -81| 0-61 31 3-28 -68| 1-45 46 2-13 -53| 2-49 62 1-17 -37| 4-09 77 0-42 -23| @ 9.50% | 0-27 17 4-58 -82| 0-56 30 3-23 -69| 1-39 46 2-07 -53| 2-43 63 1-12 -36| 4-04 78 0-37 -22| @ 9.00% | 0-23 16 4-54 -83| 0-51 29 3-18 -70| 1-33 46 2-00 -54| 2-37 64 1-06 -36| 3-63 79 0-33 -20| @ 8.50% | 0-20 15 4-50 -85| 0-45 28 3-12 -71| 1-26 46 1-58 -54| 2-31 64 1-00 -35| 3-59 80 0-28 -19| @ 8.00% | 0-16 13 4-47 -86| 0-40 27 3-07 -73| 1-20 45 1-52 -54| 2-26 65 0-58 -34| 3-55 82 0-24 -18| 129-08 @10.00% | 0-29 17 5-11 -82| 0-57 29 3-39 -70| 1-38 44 2-21 -55| 2-39 61 1-23 -39| 3-60 75 0-46 -24| @ 9.50% | 0-25 16 5-07 -83| 0-51 28 3-34 -71| 1-32 44 2-15 -55| 2-33 61 1-18 -38| 3-56 76 0-41 -23| @ 9.00% | 0-21 15 5-03 -85| 0-46 27 3-29 -72| 1-25 44 2-09 -56| 2-27 62 1-12 -38| 3-51 77 0-36 -22| @ 8.50% | 0-18 13 5-00 -86| 0-41 26 3-24 -73| 1-19 43 2-03 -56| 2-21 62 1-06 -37| 3-46 79 0-32 -21| @ 8.00% | 0-14 12 4-60 -88| 0-36 25 3-19 -75| 1-13 43 1-61 -57| 2-15 63 1-00 -37| 3-42 80 0-27 -19| 129-00 @10.00% | 0-26 16 5-24 -83| 0-52 28 3-51 -72| 1-31 42 2-30 -57| 2-29 59 1-30 -41| 3-48 74 0-50 -26| @ 9.50% | 0-22 15 5-20 -85| 0-47 26 3-46 -73| 1-25 42 2-24 -57| 2-23 59 1-24 -40| 3-43 75 0-45 -25| @ 9.00% | 0-19 13 5-17 -86| 0-42 25 3-41 -74| 1-19 41 2-18 -58| 2-17 59 1-18 -40| 3-39 76 0-40 -24| @ 8.50% | 0-16 12 5-13 -87| 0-37 24 3-36 -75| 1-13 41 2-12 -59| 2-11 60 1-12 -40| 3-34 77 0-35 -23| @ 8.00% | 0-13 11 5-11 -89| 0-32 23 3-31 -77| 1-07 40 2-06 -59| 2-05 60 1-06 -39| 3-29 78 0-31 -21| 128-24 @10.00% | 0-23 15 5-37 -85| 0-48 26 3-62 -73| 1-24 40 2-40 -59| 2-20 57 1-37 -43| 3-37 72 0-54 -28| @ 9.50% | 0-20 14 5-34 -86| 0-43 25 3-58 -75| 1-18 40 2-34 -60| 2-14 57 1-30 -43| 3-32 73 0-49 -27| @ 9.00% | 0-17 12 5-31 -87| 0-38 24 3-53 -76| 1-12 39 2-28 -60| 2-08 57 1-24 -42| 3-27 74 0-44 -26| @ 8.50% | 0-14 11 5-28 -88| 0-33 22 3-48 -77| 1-06 39 2-22 -61| 2-02 57 1-18 -42| 3-22 75 0-39 -24| @ 8.00% | 0-11 9 5-25 -90| 0-29 21 3-43 -79| 1-00 38 2-16 -62| 1-60 58 1-12 -41| 3-17 76 0-34 -23| 128-16 @10.00% | 0-21 14 5-51 -86| 0-44 24 4-10 -75| 1-18 38 2-49 -61| 2-11 55 1-44 -45| 3-25 70 0-58 -29| @ 9.50% | 0-18 12 5-48 -87| 0-39 23 4-06 -76| 1-12 38 2-43 -62| 2-05 55 1-37 -45| 3-20 71 0-53 -28| @ 9.00% | 0-15 11 5-45 -88| 0-34 22 4-01 -78| 1-06 37 2-38 -62| 1-63 55 1-31 -44| 3-15 72 0-48 -27| @ 8.50% | 0-12 10 5-42 -90| 0-30 20 3-60 -79| 1-00 36 2-32 -63| 1-57 55 1-25 -44| 3-10 73 0-43 -26| @ 8.00% | 0-09 8 5-39 -91| 0-26 19 3-56 -80| 0-59 35 2-26 -64| 1-51 55 1-19 -44| 3-05 74 0-38 -25| 128-08 @10.00% | 0-19 13 6-01 -87| 0-40 23 4-23 -77| 1-12 36 2-59 -63| 2-03 52 1-51 -47| 3-14 68 0-63 -31| @ 9.50% | 0-16 11 5-62 -88| 0-35 21 4-18 -78| 1-06 36 2-53 -64| 1-61 53 1-45 -47| 3-09 69 0-58 -30| @ 9.00% | 0-13 10 5-59 -89| 0-31 20 4-13 -79| 1-00 35 2-48 -64| 1-55 53 1-39 -47| 3-04 70 0-53 -29| @ 8.50% | 0-11 9 5-56 -91| 0-27 19 4-09 -81| 0-59 34 2-42 -65| 1-48 53 1-33 -47| 2-62 71 0-47 -28| @ 8.00% | 0-08 7 5-54 -92| 0-23 17 4-05 -82| 0-53 33 2-36 -66| 1-42 53 1-26 -47| 2-57 72 0-42 -27| 128-00 @10.00% | 0-17 12 6-15 -88| 0-37 21 4-35 -78| 1-06 35 3-05 -65| 1-59 50 1-59 -49| 3-04 66 1-04 -33| @ 9.50% | 0-14 10 6-12 -89| 0-32 20 4-31 -79| 1-01 34 3-00 -66| 1-52 50 1-52 -49| 2-62 67 0-63 -32| @ 9.00% | 0-12 9 6-09 -90| 0-28 19 4-26 -81| 0-59 33 2-58 -67| 1-46 50 1-46 -49| 2-57 68 0-57 -31| @ 8.50% | 0-09 8 6-07 -92| 0-24 17 4-22 -82| 0-53 32 2-53 -68| 1-40 50 1-40 -49| 2-51 69 0-52 -30| @ 8.00% | 0-07 7 6-05 -93| 0-20 16 4-18 -84| 0-48 31 2-47 -69| 1-34 50 1-34 -49| 2-46 70 0-47 -29| 127-24 @10.00% | 0-15 11 6-29 -89| 0-33 20 4-48 -80| 1-01 33 3-16 -67| 1-51 48 2-03 -51| 2-57 65 1-10 -35| @ 9.50% | 0-13 9 6-26 -90| 0-29 18 4-43 -81| 0-59 32 3-10 -68| 1-45 48 1-60 -51| 2-52 65 1-04 -34| @ 9.00% | 0-10 8 6-24 -91| 0-25 17 4-39 -82| 0-54 31 3-05 -69| 1-38 48 1-54 -51| 2-46 66 0-63 -33| @ 8.50% | 0-08 7 6-22 -92| 0-21 16 4-36 -84| 0-49 30 3-00 -70| 1-32 48 1-48 -51| 2-40 67 0-57 -33| @ 8.00% | 0-06 6 6-20 -94| 0-18 14 4-32 -85| 0-43 28 2-58 -71| 1-26 48 1-42 -52| 2-35 68 0-52 -32| 127-16 @10.00% | 0-14 10 6-43 -90| 0-30 18 4-60 -81| 0-60 31 3-27 -69| 1-43 46 2-11 -53| 2-47 63 1-16 -37| @ 9.50% | 0-11 8 6-41 -91| 0-26 17 4-56 -82| 0-54 30 3-21 -70| 1-37 46 2-05 -53| 2-41 63 1-10 -36| @ 9.00% | 0-09 7 6-38 -92| 0-22 16 4-53 -84| 0-49 29 3-16 -71| 1-31 46 1-63 -54| 2-35 64 1-04 -36| @ 8.50% | 0-07 6 6-36 -93| 0-19 14 4-49 -85| 0-44 28 3-11 -72| 1-25 45 1-57 -54| 2-30 65 0-62 -35| @ 8.00% | 0-05 5 6-35 -94| 0-16 13 4-46 -87| 0-39 26 3-06 -73| 1-19 45 1-51 -54| 2-24 65 0-57 -34| Copyright, 1998, Market Research, Inc. 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