Here is the chart of implied volatility for WTI going back long enough to show the big spike in 2008 (not a record high…135.4 on 1/14/91 is the record) and the collapse to 12.7 (a record low) on 6/6/14… My chart tracks the at the money, second nearby option.. So, for example, today I drop June and pick up July… Normally this isn’t a problem.. But the May 20th OPEC meeting is driving a wedge between June and July… July implied vol settled yesterday at 27.2 while June settled at 23.6… June expires on the 17th of May and is long gone when OPEC meets… However, an expected less contentious meeting with prices in the $50’s would likely keep a lid on July vol, too…
Large open interest options continue to be $60 calls in June, 56,682 and Dec, 50,616, while the June 50 puts are active with 46,683 contracts open…
One month spread options show a market with most open interest on flat calls (25 to 30,000) and -50 and -25 puts (25 to 35,000) for the balance of 2017…
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