WTI implied vol chart, update… – Commodity Research Group

March 12, 2016 by Jim Colburn Leave a Comment

Implied volatility in crude oil continues to decline (as it usually does when prices rally)… Here is the chart with Friday’s settlements:

Friday settled at 45.8 vs. a recent high of 79.2 on March 12 (based on the at the money, second nearby option)…

Volume on Friday was heavily skewed to the puts (often indicating hedging activity)… 131,393 puts traded compared with 74,600 calls… April 37 and 35 puts traded 6 to 7,000 times each… But June 25 puts were most active with 16,000 trading (these settled at $.11); June 20 puts traded around 10,000 times (settled around $.03)… The June puts may have been speculative in nature, but Dec 37, 30 and 25 puts were active and perhaps these were hedges.. The Dec 30 put has 45,165 contracts open…

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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