Implied volatility for December WTI crude oil options (currently the front month) jumped from 21% on Friday to 27.9% on Monday…. The most active option yesterday was the December $60 call with 30,199 contracts traded.. This option traded in a range of $.06 to $31… Open interest for the $60 call dropped sharply by 9,548 contracts to 44,733… The call had over 60,000 earlier in its life…
Total WTI options (LO) volume was heavy with 439,791 trading, 277,513 of these were calls… Last year, on November 30th, total volume was 579,935, I show as a record amount (around an important OPEC meeting)…
December options go off the board on November 15th, which makes them gone before the next OPEC meeting… Perhaps that is why they traded so low from an implied vol perspective (market rallies also tend to pressure vols in crude oil)…
Here is the Oil Vix chart which tries to measure what traders are thinking about volatility over the next thirty days… This measure moved from 24.8 on Friday to 26.85 yesterday:
Leave a Reply