As one might expect, yesterday’s sharp move lower in oil was accompanied by a sharp move up in implied volatility… At the money vol settled at 28.9 for July, +4.4, and 31.3 for Aug, +4.1 (from barchart.com)…. Volume was heavy with 356,866 trading, 184,818 of these were puts… The somewhat unusual part is that call open interest increased more than puts, +44,702 to +12,376… Without getting too crazy reading a lot into this (the tail doesn’t wag the dog very often and who really knows all the motivations behind liquidating and initiating positions), yesterday’s down day looked like one with a slightly bullish slant… Here is the CME’s excellent “Most Active Strikes” tool…
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