Here is a long term perspective of WTI implied volatility going way back (through 8/20/18)… At the money vol settled at around 24% yesterday… The long term average is 32.8; the all time high is 135.4 (1/14/91); the all time low is 12.7 (6/6/14)… The 20 day historical vol is running at 22%… I remember the interview question, “would you be more comfortable buying or selling 30% vol in crude oil?”… It was a trick question…
by Jim Colburn Leave a Comment
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