WTI implied, historic volatility… – Commodity Research Group

July 3, 2021 by Jim Colburn Leave a Comment

An interesting pattern in WTI volatility has unfolded through the current OPEC+ meeting as displayed by Barchart.com, below… Historical volatility (20 day, green line, left side axis) has plummeted to around 16%, oil prices are moving higher (often associated with lower implied) but implied vol (orange line, left side axis) is maintaining around 30%… After an easy meeting in June (20 minutes?), this one isn’t over yet… One might normally (wait, there is no normal in commodity markets, old or new) be willing to sell oil vol going into the July 4th holiday, but not with an uncertain OPEC+ meeting still looming… And after last year, we probably lost some option traders with only “sell vol” strategies…

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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