Atticus: CL vs USO opts IV arb?

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scriabinop23

I'm looking at IV on these options (CL expires Jun 17 for Jul month). CL is 28%, USO is 42%. (on my IB opt trader)

Is this arbable, or are they using different models ? How would you approach this? (I assume buy CL strangles, sell USO strangles, then close out on Jun 17. I figured the ratio of 12.4 USO options to 1 CL option of the same strike distance to the atm)
 
your ratio of 12.4 to 1 is correct..every 1 CL future is equal to roughly 1200 shares of USO. would just use out right options or spreads on one or the other.. CL is more liquid in the options than uso and depending on commission it might be cheaper to buy 3 CL options ratehr than 36 uso .. however.. you will get faster and better fills in the USO since the options are electronic whereas most in CL are pit traded.. due to this .. i would most likely trade USO options for transparency
 
Quote from scriabinop23:

I'm looking at IV on these options (CL expires Jun 17 for Jul month). CL is 28%, USO is 42%. (on my IB opt trader)

Is this arbable, or are they using different models ? How would you approach this? (I assume buy CL strangles, sell USO strangles, then close out on Jun 17. I figured the ratio of 12.4 USO options to 1 CL option of the same strike distance to the atm)
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Pair correl is not so great lately...looking at 2Y graph , OIL up 77% while USO only 48%
 
Quote from jaytrader100:

your ratio of 12.4 to 1 is correct..every 1 CL future is equal to roughly 1200 shares of USO. would just use out right options or spreads on one or the other.. CL is more liquid in the options than uso and depending on commission it might be cheaper to buy 3 CL options ratehr than 36 uso .. however.. you will get faster and better fills in the USO since the options are electronic whereas most in CL are pit traded.. due to this .. i would most likely trade USO options for transparency
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The CL are electronic on IB right now (and do trade in volume). Tight spreads too.

I am wondering if the IB I has an incorrect IV displaying due to possibly a wrong expiration date in the system (for use by the option trader).

Here's what I'm seeing. Same expire on USO is 42%. These are such deep markets there is no likely opportunity.
 

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Quote from IV_Trader:

Pair correl is not so great lately...looking at 2Y graph , OIL up 77% while USO only 48%
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Thats due to rollovers. In the short term (between calendar rollovers), the correlation is 100% I believe. I'm referring to only a front month arb.
 
USO holds futures contracts. It tends to underperform crude for that reason, due to the fact that it has to buy longer term contracts and sell short-term ones. It also holds other types of securities, like cash equivalents. Might want to check the product specs at unitedstatesoilfund.com
 
LOL.. ib allows you to send option orders electronically... to the pit.. there is very little volume electronically in the CL OPTIONS!!!!!!!!!!!

NYMEX CRD (E) C 6
NYMEX CRD (E) P 89

there were 6 calls yes 6
and 89 puts yes 89 traded electronically on globex yesterday!!!!

that is total!!!
99 % of option volume in CL is in the pit.. once again .. people on this site speak when they have no clue
 
Quote from jaytrader100:

LOL.. ib allows you to send option orders electronically... to the pit.. there is very little volume electronically in the CL OPTIONS!!!!!!!!!!!

NYMEX CRD (E) C 6
NYMEX CRD (E) P 89

there were 6 calls yes 6
and 89 puts yes 89 traded electronically on globex yesterday!!!!

that is total!!!
99 % of option volume in CL is in the pit.. once again .. people on this site speak when they have no clue
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i PMed your orignal email. Whats your point? You're being a troll, not being helpful.

Did you see that graphic I posted? I had orders fill in the middle of the spread quickly. There was no human lag. So regardless, assuming there was something to arb (assuming this iv discrepency isn't caused by an expiration difference) its quite possible. That is a liquid market. If you want a lousy market, go look at ZG or ZI electronic options.
 
I am just making sure that anyone who actually looks at this post understands that the CL options volume is still 99 % in the pit ..

YOu have no clue.. I am trying to protect others from your post...anyway my stats are from www.cme.com which breaks down daily volume into pit and electronic
 
Quote from jaytrader100:

I am just making sure that anyone who actually looks at this post understands that the CL options volume is still 99 % in the pit ..

YOu have no clue.. I am trying to protect others from your post...anyway my stats are from www.cme.com which breaks down daily volume into pit and electronic
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Well then I stand corrected, but with spreads this deep how are you actually 'protecting' others from my stupidity ? I suggest that while you think you might be making yourself look knowledgeable at my expense, you are also making yourself appear to be a prick more than helpful.
 
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