I just came across a report quoting volatilities for Brent Futures. However, I don't fully understand the conventions. Let me post some numbers: Skew value atmvol 0.975 0.95 0.9 0.8 0.75 0.7 0.65 0.5 0.35 0.3 0.25sep/08 121.45 0.443 0.048 0.044 0.036 0.022 0.015 0.010 0.006 -0.000 0.004 0.007 0.012 okt/08 121.93 0.447 0.054 0.050 0.042 0.025 0.018 0.012 0.007 0.000 0.003 0.007 0.011 nov/08 122.32 0.444 0.054 0.051 0.043 0.028 0.021 0.015 0.009 0.000 0.003 0.006 0.011 dec/08 122.70 0.438 0.051 0.048 0.041 0.028 0.021 0.016 0.010 -0.000 0.002 0.006 0.010 I suppose the line below "Skew" mentions the deltas. But if Delta = exp(-rT) N(d1), it still depends on the interest rate, hence I don't know which interest rate goes into this. Or is it without the interest rate?Second of all, which vol then goes into this delta-formula. Is it the ATM?Finally, the skew numbers, do I have to add them to the vol?The numbers came from Merrill Lunch apparently.Any clarification would be very helpful.