Here is a chart showing WTI implied volatility including yesterday’s settlement:
Option volatility has dropped sharply since it reached around 80% on Feb 16… Volume for the month of February averaged 201,130 per day, up 4.6% from last year… Option volume lately has been pretty much balanced with about as many calls trading as puts… Puts tend to be concentrated in a few strikes (front month) and calls tend to be spread out over many strikes.. Yesterday, the most active option was the April 30 put, trading around 12,000 contracts with open interest at 26,921… The put with the highest open interest is the Dec 30 put, with 38,666… April, June, July, September and December have seen $10 puts trade, although volume has been light in these… For calls, the Dec $120 has the most open interest with 37,524 (from a bygone era)… Option volatility in crude oil tends to be correlated with price, but not perfectly… From the chart, 80% vol is the second highest vol move, but all time highs were made during Gulf War I when we reached around 120%… However, volatility is still extremely high at above 50% and underscores how difficult is the trading environment..
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