WTI Implied Volatility Update… – Commodity Research Group

May 2, 2016 by Jim Colburn Leave a Comment

Implied volatility settled below 40% last week… Here is the chart for at the money, second nearby options:

For April, WTI options traded an average 177,603 contracts which was up 40.3% from April 2015…. Year to date, WTI options are up 23.3% at 193,130 per day… Spread options traded an average 15,162 per day in April, -22%, but year to date they are +16.6% at 19,387 per day (includes the cash settled contract)… WTI futures traded 1.124 million per day in April, +40.3%; year to date, 1.143 million, +43.3%… Not bad for a “mature” contract…

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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