Quote from opt789:
On the topic of options on futures, where do any of you guys trade them besides TOS and IB?
As to your question, the IV fall after commodity reports can be reasonably analogous to an earnings report on a stock. The IV definitely rises going into the report and falls after as one would expect. The commodity usually gaps on the report just like a stock might, and whether or not the market makers correctly priced in the magnitude of the gap is anyone's guess prior to the report. However, commodities have other factors that will lead to some reports affecting the markets and IV differently than others. Because of seasonality and changing market places a long term stream of commodity reports can't easily be compared to a long stream of earnings reports. For example, nat gas is a completely different market than it was before we discovered so much, and the grains have acted very differently this year than other years because of the drought. Now that South America is planting so many more soybeans, the daily weather outlook there can matter more now than a government report - again that was not the case years ago.
The reports that matter to oil are the Wednesday inventories, but geopolitics, the economy, and the overall market sentiment can mean more. The nat gas storage reports on Thursday are important, but can easily be trumped by weather reports now that we are in winter. The monthly and quarterly grain reports have significant impact leading up to and during harvest, but less so after, and other county's grain markets can definitely affect ours at times. During harvest the weekly crop progress reports can matter too, and just like nat gas, weather reports are key. There was just enough rain that came just in time to save some crops this year, and avoid a complete disaster, but no monthly government report was going to tell you that.
