VOLATILITY SUMMARY - IMM EURODOLLARS 
As of: 052202    :  EDM02 |  EDU02 |  EDZ02 |  EDH03 |  EDM03 |  EDU03 |
Underlying Settle:98.0430s|97.6500s|97.0400s|96.4450s|95.8800s|95.4550s|
           Change: +.0160 | +.0350 | +.0550 | +.0600 | +.0550 | +.0500 |
                 :        |        |        |        |        |        |
Implied Volatility  22.02s|  35.68s|  36.79s|  33.94s|  30.02s|  27.19s|
 Change from Prev:   +.92 |  +2.53 |  +2.54 |  +2.69 |  +1.88 |  +1.63 |
 last 20Days High:  44.29 |  43.56 |  92.02 |  34.53 |  31.36 |  N/A   |
              Avg:  35.45 |  38.05 |  38.00 |  31.85 |  28.92 |  N/A   |
              Low:  21.10 |  32.17 |  30.21 |  27.30 |  24.89 |  N/A   |
 last 60Days High:  45.60 |  44.49 |  92.02 |  37.28 |  N/A   |  N/A   |
              Avg:  39.04 |  38.29 |  35.86 |  31.97 |  N/A   |  N/A   |
              Low:  21.10 |  32.17 |  30.21 |  27.30 |  N/A   |  N/A   |
                 :        |        |        |        |        |        |
Historical 20 Day: 21.15% | 51.01% | 52.52% | 44.75% | 35.12% | 29.65% |
Volatility 30 Day: 19.44% | 43.88% | 44.92% | 38.26% | 30.24% | 25.50% |
           50 Day: 22.74% | 40.61% | 40.92% | 34.99% | 28.24% | 24.84% |
          100 Day: 36.19% | 46.44% | 44.03% | 39.51% | 33.17% | 28.87% |
          200 Day: 44.41% | 48.64% | 44.60% | 39.81% | 34.21% | 30.43% |
Notes: Implied Volatility is interpolated for the at-the-money straddle.

VOLATILITY CHEAPNESS INDEX - IMM EURODOLLARS
As of: 052202    :  EDM02 |  EDU02 |  EDZ02 |  EDH03 |  EDM03 |  EDU03 |
Implied Volatility  22.02s|  35.68s|  36.79s|  33.94s|  30.02s|  27.19s|
   change        :   +.92 |  +2.53 |  +2.54 |  +2.69 |  +1.88 |  +1.63 |
Historical Volat :        |        |        |        |        |        |
          Max    :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
          Median :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
          Min    :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
Vol Cheapness Ind:  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
   change        :  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |  N/A   |
   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     26 |    117 |    208 |    299 |    390 |    481 |
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 - IMM EURODOLLARS
As of: 052202    :  EDM02 |  EDU02 |  EDZ02 |  EDH03 |  EDM03 |  EDU03 |
Today: +1 Std Dev:  .0270 |  .0520 |  .0680 |  .0750 |  .0770 |  .0770 |
       -1 Std Dev:  .0270 |  .0530 |  .0690 |  .0770 |  .0790 |  .0790 |
            68% H:98.0690 |97.7020 |97.1080 |96.5200 |95.9570 |95.5320 |
                L:98.0150 |97.5970 |96.9710 |96.3680 |95.8010 |95.3760 |
            95% H:98.0960 |97.7540 |97.1760 |96.5950 |96.0340 |95.6090 |
                L:97.9880 |97.5430 |96.9010 |96.2910 |95.7230 |95.2980 |
            99% H:98.1230 |97.8070 |97.2430 |96.6710 |96.1120 |95.6870 |
                L:97.9600 |97.4900 |96.8320 |96.2140 |95.6440 |95.2190 |
20Days +1 Std Dev:  .1180 |  .2250 |  .2910 |  .3240 |  .3340 |  .3350 |
  Out: -1 Std Dev:  .1250 |  .2480 |  .3230 |  .3570 |  .3640 |  .3620 |
To     +1 Std Dev:  .1120 |  .4300 |  .7180 |  .9400 | 1.0990 | 1.2180 |
Expir- -1 Std Dev:  .1190 |  .5260 |  .9480 | 1.2790 | 1.4990 | 1.6650 |
ation       68% H:98.1540 |98.0800 |97.7580 |97.3850 |96.9790 |96.6730 |
                L:97.9240 |97.1240 |96.0920 |95.1660 |94.3810 |93.7900 |
            95% H:98.2660 |98.5100 |98.4760 |98.3260 |98.0780 |97.8920 |
                L:97.8050 |96.5980 |95.1450 |93.8880 |92.8820 |92.1250 |
            99% H:98.3780 |98.9390 |99.1930 |99.2660 |99.1770 |99.1100 |
                L:97.6870 |96.0720 |94.1970 |92.6090 |91.3830 |90.4600 |
Notes:  Shows probability of closing within price range based on
 implied volatility on sub-annual basis.  Call for charts & info.