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…
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