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+Chapter 34: Futures and Futures Options 693 
+The reader has seen these follow-up strategies earlier in the book. However, 
+there is one new concept that is important: The mispricing continues to propagate 
+itself no matter what the price of the underlying futures contract. The at-the-money 
+options will always be about fairly priced; they will have the average implied volatility. 
+Example: In the previous examples, January soybeans were trading at 583 and the 
+implied volatility of the options with striking price 575 was 15%, while those with a 
+600 strike were 17%. One could, therefore, conclude that the at-the-money January 
+soybean options would exhibit an implied volatility of about 16%. 
+This would still be true if beans were at 525 or 675. The mispricing of the other 
+options would extend out from what is now the at-the-money strike. Table 34-3 shows 
+what one might expect to see if January soybeans rose 75 cents in price, from 583 to 
+658. 
+Nate that the same mispricing properties exist in both the old and new situa­
+tions: The puts that are 58 points out-of-the-money have an implied volatility of only 
+12%, while the calls that are 92 points out-of-the-money have an implied volatility of 
+23%. 
+TABLE 34-3. 
+Propagation of volatility skewing. 
+Original Situation 
+January beans: 583 
+Implied 
+Strike Volatility 
+525 12% 
+550 13% 
+575 15% 
+600 17% 
+625 19% 
+650 21% 
+675 23% 
+New Situation 
+January beans: 658 
+Strike 
+600 
+625 
+650 
+675 
+700 
+725 
+750 
+This example is not meant to infer that the volatility of an at-the-money soybean 
+futures option will always be 16%. It could be anything, depending on the historical 
+and implied volatility of the futures contract itself. However, the volatility skewing 
+will still persist even if the futures rally or decline. 
+This fact will affect how these strategies behave as the(linderlying futures con­
+tract moves. It is a benefit to both strategies. First, look at the put backspread when 
+the stock falls to the striking price of the purchased puts.