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…
by Jim Colburn Leave a Comment
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