WTI options on the NYMEX traded an average 235,611 contracts in January… According to their report, 156,629 traded on average in 2015… Cash settled one month storage options (7A) traded 11,999 per day in January, compared with a 7,295 average last year… Futures settled one month storage options (WA) traded 11,334 compared with 9,325 last year… Here is the full report for January:
http://www.cmegroup.com/daily_bulletin/monthly_volume/Web_ADV_Report_NYMEX_COMEX.pdf
At recent price levels option trading has not necessarily been dominated by puts (previous posts have suggested less hedging by producers at these price levels)… On Friday, 4 of the most actively traded strikes were calls… Dec 80 and 100 calls traded 10,701 and 21,200 times while settling at 31 and 10 cents… The 80 call saw a decline in open interest by about 7,000 while the 100 calls were down about 700… March 35 and 40 calls were active, too, with about 8,000 each of these trading…
Implied volatility was pretty much unchanged at around 60% into the price rally, but dropped by 4 points to 57% on Friday… This is still a very high number and suggests continued “high anxiety” in energy markets… Here is the chart of implied volatility through Friday:
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