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…
by Jim Colburn Leave a Comment
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