WTI Implied Volatility update… – Commodity Research Group

January 3, 2017 by Jim Colburn Leave a Comment

Here is an updated chart showing implied volatility for WTI from 11/14/1986 (when crude options began trading on the New York Mercantile Exchange) to the end of 2016:

Implied vol in the chart is based on the second nearby, at the money option…

Here are some data points for 2016:

Average implied vol: 42.0 (compared with an average of 33.2 since inception)

High of 2016: 79.2 on Feb 12 (this is the third highest peak ever behind 135 in January 1991 and 100 in December 2008)

Low of 2016: 27.3 on Dec 28 (the record low was made in June 2014, just below 13)

Record daily volume was reached on November 29th with 460,742 options trading only to be broken the following day with 579,935 trading

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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