Implied vol update… – Commodity Research Group

August 10, 2020 by Jim Colburn Leave a Comment

Mean reversion is working! Except there is no one left to take advantage… Implied vol in WTI options has dropped sharply as futures move mostly sideways… At the money, second nearby options (depicted in the chart through Aug 7 settle) settled down to 35.0 which is still about 10 points above the 20 day historical measure and close to the long term average of around 32% (since 1986, not counting this year’s upheaval) … Average daily volume is extremely low with 68,219 trading in July compared with ytd 133,888… My bias is that commodity markets are inherently unstable, I’m not a fan of mean reversion strategies…

Commodity Research Group (CRG), founded by veteran analyst Edward Meir, is an independent research consultancy specializing in base and precious metals, as well energy products. The Group provides research and general price analysis for these markets, along with advice to companies seeking to construct commodity hedging strategies.

Our associates bring decades of experience to the table, as they seek to help our clients understand the markets. CRG will distill the myriad of pricing variables mentioned above into coherent research that is to-the-point and tailored to a clients hedging or pricing needs. In addition, CRG is available for consulting assignments and speaking engagements. CRG does not manage money or trade for itself.

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