Search results

When the market is slowly retracing higher from a bottom and VIX is still elevated, you'll make way more money selling high IV OTM calls and hedging them delta neutral, than buying the same OTM calls naked.

OTM calls typically get destroyed on rallies. Steepens on rallies, flattens on breaks.

Lowest strike available for WTI front month crude traded 15x for .01 Probably an industry first. There's 15 more offered there if anyone's interested.

Most white trash trailer park Americans have an above ground pool to store the stuff. Inland Florida alone could store 100MM barrels.

CME gave them plenty of notice (1 week). No coding changes needed. All they need to do is switch their BS, Whaley, or Binomial theoretical models to Bachelier or Normal No Bounds and just mass quote strikes as usual. These MMs are paid and/or rebated through the market-maker incentive program...

Yeah you would think these big MMs like Optiver, Susquehanna, and Citadel would have their shit together and do the simple switch from lognormal to normal distrib underlying and start pricing these negative puts tighter. Still just a bunch of low-ball bids for the Jun20 neg strikes. Time to put...

I have yet to see a trade in any negative strike in WTI LO Jun20. I see some low-ball bids, and no offers. Not sure any MMs, hedgers, or speculators, know how to theoretically price them. The +.5 strike is trading heavily with big open interest. In three weeks, front month Jun20 is either...

Buy ICE Brent futures instead of WTI CL. It's cash settled so you don't have to worry about taking delivery. Brent is also not landlocked like WTI, so it is less likely to trade negative. So Brent has much less downside than WTI. But given its significant premium to WTI ($10+) it also has less...

When USO fund managers sell the front month and buy the following month in WTI during a super contango like we have now, its net asset value (NAV) falls in proportion to the negative roll yield betweem the 2 months. This results in the price of USO falling or underperforming underlying CL...

MMs are having trouble modeling these negative strikes. For many of them there are only low ball bids, and a few egregiously high offers. Switching from a lognormal to now normal distribution model is a big game changer for everyone. Everyone's hedge ratio has been completely altered as the WTI...

So what's worse? Being long USO or NYMEX WTI June20. USO can only go to zero. CL Jun20 can go to negative -$40 or even lower. Listing of negative option strikes on CL futures can introduce panic short gamma futures selling when Jun20 dips below zero.

These crude oil ETFs and ETNs are poorly structured and ticking time bombs in this environment. CME needs to create a liquid cash settled version of CL for traders and speculators to address the panic selling from delivery risk.

WTI Where are you getting these liquidation levels ($10.00 then $6.40) for USO? WTI Jun20 touched $6.50 today before it went limit offer...then it came off limit really violently. Was USO forced to liquidate some of its position when we dipped below $10? We went from $10 to $6.50 in a hurry...

WTI May20 futures was the buy of the century at -$40.

Put in a bid for WTI CL Jun20 at -$40. You'll probably get get hit between now and May 19th (June20 expiration). Be prepared to take delivery though.

Maybe it doesn't happen as often anymore. Those two old examples I gave were extreme cases, and during a bull market. But I read somewhere that W-shaped vol curves happen more often than not, usually right before a binary event such as company earnings or Brexit in FX.

Just Just showing an example of a humped-shape pre-earnings curve where the wings are a lot cheaper than the ATMs. Didn't have time to pull up a current example.

We will have this same roll-over (Jun20=>Jul20) issue 4 weeks from now, especially when Cushing hits tanktop.

Maybe May20 hits -$80 tomorrow. Traders with access to storage taking physical delivery are making generational wealth. Scary to think that WTi Jun20 at $20 has $100 of downside in the next few weeks.

Those are old (couple of years ago) pre-earnings vol curves of GOOGL and AMZN.