Where can I find the volatility of WTI in order to price a real option

[toben]

I am attempting to identify the value of a real option in relation to an oil play.

Where would I find the volatility of WTI?

 

[toben]

Attempting to create a portfolio of options as described in this study. https://hbr.org/1998/09/strategy-as-a-portfolio-of-real-options

 

[Robert Morse]

I see IV on my trading software.

 

[sle]

The real question is "what vol to use" oil futures implied vol will be underpricing the spot vol because of the Samuelson effect, so maybe take the options on the front contract?

 

[JackRab]

oil futures implied vol will be underpricing the spot vol because of the Samuelson effect...

Hmm... I need to google that! Always good to learn something new

 

[Visaria]

Perhaps sle could enlighten us on the Samuelson effect?

 

[Robert Morse]

I had to read his books at NYU for both Econ classes. I'm trying to forget that class.

 

[sle]

Perhaps sle could enlighten us on the Samuelson effect?

Lol the general idea is that for a physical commodity, spot price will be the most volatile and then subsequent futures will be progressively less volatile as the spot volatility is dampened by the mean reversion. That's why for most physical commodities ATM vol curves are inverted

 

[toben]

Can we calculate the volatility of WTI instead of a future? I would assume the volatility is different. Also I think I need a 1 year volatility measure.

Should I grab daily closes for a trailing year and use that for volatility? Or 10 years as that will be the most valuable portion of the life of the project?

 

[Visaria]

Are u talking about the stock WTI or about West Texas Intermediate crude oil?