Implied volatility has picked up a bit from a recent low of around 32 to currently around 39… This makes sense… OPEC’s recent failure to come up with a path to an agreement helped weaken prices which in turn increased implied volatility… December options are alive for the election but not for the next OPEC meeting on November 30th… January options are alive for the OPEC meeting… We see this built into the option structure… December options are trading 2+ vol points lower than January… Normally the front month is over the second month… Here is the chart with a longer term perspective:
The all time low is 12.8 on 6/6/14; the all time high is 135.4 on 1/14/91… Year to date volume (through end of October) in WTI options is 175,611 contracts per day, up 12% over last year… WTI futures are up 34.3% from last year, at 1,073,394 per day…
One month spread options are also busy this year trading almost 18,000 per day (including cash settled, or 7A, options)… For calendar 2017, strikes with most open interest are flat calls and -50 puts… Traders translate views on backwardation and contango into positions in this market…
Leave a Reply