CME options calendar... atticus?

S

scriabinop23

Any explanations for this? Doesn't make any sense considering the near term volatility. Almost seems like everyone is selling front and buying rear month.

iv-cme.jpg
 
Merger related. The Nymex deal is in jeopardy, so it's assumed that the vol is deferred until the SEC acts definitively.
 
Quote from atticus:

Merger related. The Nymex deal is in jeapordy, so it's assumed that the vol is deferred until the SEC acts definitively.
More...

this is definitely confusing. If I had to interpret yesteday's news, the merger would only be in possible jeopardy if CME stock didn't recover (since the offer is substantially lower). regardless, that says nothing of near term stock movements. When the stock can move over 200 pts in a few days, it doesn't seem to make sense that short term vol should be 33%.

historic volatility from the recent move definitely spiked up.
 
While I agree, the deal won't be ruled-upon during the Feb cycle, so upside Feb gamma is being sold which kills the strips through parity. I'd imagine there is a downside skew, but haven't looked.
 
Quote from atticus:

While I agree, the deal won't be ruled-upon during the Feb cycle, so upside Feb gamma is being sold which kills the strips through parity. I'd imagine there is a downside skew, but haven't looked.
More...

Whats amazing is that the 22 session rolling historical volatility is at 79%. A 5 session historic volatility is at 132%.

Even those backdated options must be entirely underpriced. How would you trade this?
 
Quote from scriabinop23:

Whats amazing is that the 22 session rolling historical volatility is at 79%. A 5 session historic volatility is at 132%.

Even those backdated options must be entirely underpriced. How would you trade this?
More...

Long singles, long straddles; or preferably a long calendar.
 
Quote from atticus:

Long singles, long straddles; or preferably a long calendar.
More...

I was about to post the same answer but you beat me to it by a few minutes. Great minds think alike. :)
 
Quote from atticus:

Merger related. The Nymex deal is in jeopardy, so it's assumed that the vol is deferred until the SEC acts definitively.
More...

You are one smart hombre.

While you're at it: Best guess on where EuroFx is headed?
 
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