VOLATILITY SUMMARY - CBOT GRAINS 
As of: 052202    :  C N02 |  C U02 |  W N02 |  W U02 |  O N02 |  O U02 |
Underlying Settle:  207-4s|  214-2s|  269-0s|  275-0s|  155-4s|  129-4s|
           Change:   -3-2 |   -2-6 |   -4-0 |   -3-4 |   +3-0 |   +2-0 |
                 :        |        |        |        |        |        |
Implied Volatility  26.57s|  30.76s|  21.90s|  23.31s|  46.29s|  36.17s|
 Change from Prev:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
 last 20Days High:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
              Avg:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
              Low:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
 last 60Days High:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
              Avg:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
              Low:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
                 :        |        |        |        |        |        |
Historical 20 Day: 22.47% | 36.35% | 22.86% | 21.47% | 45.00% | 25.47% |
Volatility 30 Day: 20.11% | 30.37% | 23.27% | 19.46% | 48.83% | 26.78% |
           50 Day: 17.19% | 24.39% | 22.40% |  N/A   | 42.82% |  N/A   |
          100 Day:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
          200 Day:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
Notes: Implied Volatility is interpolated for the at-the-money straddle.

VOLATILITY CHEAPNESS INDEX - CBOT GRAINS
As of: 052202    :  C N02 |  C U02 |  W N02 |  W U02 |  O N02 |  O U02 |
Implied Volatility  26.57s|  30.76s|  21.90s|  23.31s|  46.29s|  36.17s|
   change        :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
Historical Volat :        |        |        |        |        |        |
          Max    :   47.6 |   40.7 |   82.0 |   64.3 |   82.0 |   62.7 |
          Median :   15.1 |   16.1 |   17.8 |   18.5 |   23.5 |   24.7 |
          Min    :    4.7 |    6.5 |    8.3 |   10.2 |    9.2 |   13.3 |
Vol Cheapness Ind:   87.4 |   91.2 |   72.4 |   79.7 |   90.5 |   79.8 |
   change        :   unch |   unch |   unch |   unch |   unch |   unch |
   Last 20 sess  :        |        |        |        |        |        |
          High   :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
          Avg    :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
          Low    :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
   Last 60 sess  :        |        |        |        |        |        |
          High   :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
          Avg    :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
          Low    :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
Days to Expiration     30 |     93 |     30 |     93 |     30 |    100 |
Notes: VCI ranks implied vol on a percentile basis (100 max, 0 min)
against historical vol for given days to expiration. Call for more info.

SIGMA BOUNDARY - CBOT GRAINS
As of: 052202    :  C N02 |  C U02 |  W N02 |  W U02 |  O N02 |  O U02 |
Today: +1 Std Dev:    3-4 |    4-2 |    3-6 |    4-0 |    4-4 |    3-0 |
       -1 Std Dev:    3-4 |    4-0 |    3-6 |    4-0 |    4-4 |    3-0 |
            68% H:  211-0 |  218-4 |  272-6 |  279-0 |  160-0 |  132-4 |
                L:  204-0 |  210-2 |  265-2 |  271-0 |  151-0 |  126-4 |
            95% H:  214-4 |  222-6 |  276-4 |  283-2 |  164-6 |  135-4 |
                L:  200-4 |  206-0 |  261-6 |  267-0 |  146-4 |  123-6 |
            99% H:  218-0 |  226-6 |  280-2 |  287-2 |  169-2 |  138-4 |
                L:  197-2 |  202-0 |  258-0 |  263-0 |  142-0 |  120-6 |
20Days +1 Std Dev:   16-2 |   19-4 |   17-0 |   18-6 |   21-6 |   14-0 |
  Out: -1 Std Dev:   15-0 |   17-6 |   16-0 |   17-4 |   19-0 |   12-4 |
To     +1 Std Dev:   16-4 |   36-0 |   17-4 |   34-2 |   22-0 |   27-0 |
Expir- -1 Std Dev:   15-2 |   30-6 |   16-2 |   30-4 |   19-2 |   22-2 |
ation       68% H:  224-0 |  250-2 |  286-4 |  309-2 |  177-4 |  156-4 |
                L:  192-2 |  183-4 |  252-6 |  244-4 |  136-2 |  107-2 |
            95% H:  240-2 |  286-2 |  303-6 |  343-6 |  199-6 |  183-4 |
                L:  177-0 |  152-6 |  236-2 |  214-0 |  116-6 |   84-6 |
            99% H:  256-6 |  322-2 |  321-2 |  378-0 |  221-6 |  210-4 |
                L:  161-6 |  121-6 |  220-0 |  183-4 |   97-4 |   62-4 |
Notes:  Shows probability of closing within price range based on
 implied volatility on sub-annual basis.  Call for charts & info.


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