I’m still waiting to hear from the CME to see if yesterday’s volume in crude oil options is a record.. I think it is… 434,879 traded with a very skewed 303,294 calls and 131,585 puts… One might have expected December options to be very active yesterday (and they were) as they expire today and Dec futures traded in a wide range (4355 to 4670)…
However, the two most active strikes were June17 55 calls, trading 21,798 times and Jun17 63 calls trading 21,007 times… The Dec 48 call was the only other strike to trade over 20,000… Dec 45,46,47, Jan 46, 49 calls and Dec 45 puts traded about 13 to 17,000 each… These are big numbers…
Jan 46 and 49 call buyers might be looking for a positive OPEC meeting result (whatever that means)… June 55 and 63 call option buyers might be looking at a market heading into supply/demand balance and resulting in higher prices, perhaps even without help from OPEC…
Implied vol for Jan17 options is now at 48.0 according to Barchart.com… The Trump victory, OPEC’s pre-meeting commentary and other data have injected volatility expectations into the market so much that we see a counter tendency move of higher implied with higher prices…
(By the way, I worked at the NY Mercantile exchange in November 1986… We were so excited because first day volume in WTI options was 5,386! Our baby is all grown up!)
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