I'm going to disagree with richardh here, since it seems unusual to
quote options with 10% delta.
Instead, I think "+25 POINTS" means an option whose strike price is 25
points above zinc's current March 2013 futures price (not zinc's current spot price). In other words, an option that's 25 points out of the money (I'm assuming these are calls).
Quoting option prices this way is much more stable. The price of an
option on X with a fixed strike price varies as X's price
varies. However, the price of an option with strike price X+25 is
relatively stable (since X+25 itself varies with X).
Similarly, option volatility follows a "V" pattern when plotted
against strike price (the "volatility smile"), with the lowest
volatility when the strike price is equal to the current
price. Therefore, you only need 4 volatilitys (2 on each side of the
current price) to obtain the volatility-vs-strike-price graph. I'm not
sure why they give you 5 (and why the 5th one isn't zero delta).
To be absolutely pedantic, Black-Scholes looks at Log[strikeprice/currentprice], not strikeprice minus currentprice. However, if the
strike is close to the current price, these two numbers are