WTI implied vol update… – Commodity Research Group

August 2, 2016 by Jim Colburn Leave a Comment

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)…

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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