Options update…. – Commodity Research Group

February 24, 2017 by Jim Colburn Leave a Comment

Implied volatility settled yesterday at 24.6%, its lowest level since 10/9/2014…

Of options related to crude oil on the CME, the one with the most open interest is the Dec18, WTI/Brent spread, flat or zero call… This option has 49,900 contracts open and settled yesterday at $.99… A buyer of this call has the right to go long Dec18 WTI and short Dec18 Brent at a zero price differential… The buyer expects WTI to trade over Brent which, of course, would be the expected outcome should a significant tax on imported goods be enacted…

The next largest open interest is on the December $60 call with 48,031… June 60 calls show 46,778 contracts open…

Here is the implied vol chart going back a few years… This series is based on the at the money, second nearby option:

Record lows were made on 6/6/14 at 12.7, record highs on 1/14/91, 135.4…

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.

Reader Interactions

Leave a Reply Cancel reply