WTI options implied vol chart… – Commodity Research Group

April 1, 2019 by Jim Colburn Leave a Comment

Options update… WTI crude oil options traded a measly 97,597 contracts per day in March, which, year to date, is down 41.1%… Lots of talk going on concerning oil price, but little action… Implied vol was at 53 on Jan 2, now is at 25%… Implied vol abhors a balanced market… Here is a long term chart of implied volatility from 11/14/1986 through 3/29/2019… The first big spike is from Gulf War I settling at 135.4 on 1/14/1991 (many strikes approaching a .5 delta was one of many oddities at the time)… The low was on 6/6/2014 at just under 13%…. (All based on my numbers, not guaranteed to be accurate…) The long term average is 32.8% (should there be any mean reversion traders left…)… I would love to hear what part of the chart you entered the market and in what capacity… Jim

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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