Implied volatility, as would be expected, moved higher as oil prices moved lower to settle close to 43%… Yesterday’s volume of around 245,000 was a bit more in puts, 136,000, than calls, 109,000… Two strikes accounted for over 10% of the volume… September 35 puts traded almost 16,000 times, settling at $.21… Sep 40 puts traded almost 12,000 times, settling at $1.45…
Recently, Goldman was reported to call for prices to remain around $45 to $50 through mid 2017 (http://finance.yahoo.com/news/goldman-sachs-says-current-oil-082420383.html)… Should their scenario be correct, implied vol should come under pressure…
Here is the chart of implied volatility for WTI through Monday… (I like to keep 2008 on the chart for perspective)…
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