Here is a chart of implied volatility going back to November 14th, 1986 which was the first day that WTI options traded on the New York Mercantile Exchange:
The long term average is 33.09; the lowest value was 12.8 made on 6/6/14; the high value was 135.40 on 1/14/91 (a couple of days later implied volatility dropped by around 50 points overnight…and vol was still a good sale!!!)… The recent high of 79.2 was made on 2/12/16… The three spikes in vol were due to Gulf War I, the collapse in price, 2008 and the recent lows made around early February…
Leave a Reply