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Historical/implied vol divergence, WTI…

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December 18, 2019 by Jim Colburn Leave a Comment

Implied and historical (realized) volatility have diverged recently… Higher prices due to expected fewer OPEC barrels, perhaps a better world economy for oil demand in 2020 and a holiday season approaching all combined to help crush implied vol.. Here are two charts from barchart.com showing oil prices for Feb and March with implied and historical vol:

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