Yesterday, WTI crude oil options traded a record 579,935 contracts breaking the old record set the previous day (Tuesday) of 460,742, which broke the previous record of around 430,000 set on November 15th of this year… Through October options trading averaged 175,611 per day…The most active strike was the Jan 60 call which traded around 67,000 times on Tuesday and another 31,000 times on Wednesday (post-Opec)… Open interest in this strike increased by over 70,000 contracts to 108,205! Yesterday, the 60 call settled at 11 up only 3 cents despite the sharp run up in price… This is because implied volatility in January dropped sharply from 66.1 to 47.5… Other active strikes included the Jan 55 call, 34,000x settling at 38; Jan 40 puts, 25,000 settling at 4 cents; and, what looked like a March 50/47 put spread, 19,000x settling at $1.10… These numbers are staggering… Implied volatility dropped sharply after the announcement of the OPEC agreement… Here is the chart which tracks the second nearby option (currently Feb):
Feb implied vol dropped from 48.8 to 39.8… For 2016, the implied vol low was made on October 19th at 32.1, the high on February 12th at 79.2…
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