Record oil implied vol… – Commodity Research Group

March 29, 2020 by Jim Colburn Leave a Comment

As many of you know, I have been tracking implied vol for WTI since options began trading on November 14th, 1986… I track the at the money option of the second nearby option… Options with little time left can give off distorted implied vol… And, I was more interested in tying fundamental events to changes in implied volatility (no one was doing this back in 1986), that is, telling a story rather than developing a trading tool… So, many traders remember Gulf War I trading much higher than the 135.1 atm settlement vol on 1/14/1991… On March 18th, May vol settled at 188.6, but I am tracking the second nearby option, June, settling at 141.1… Here is the chart updated through March 27th…

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.

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