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Term Structure
Volatility
Options fall into the category of being slightly undervalued in non-volatile markets in the weekly options report. Ask about the Weekly Option's Report for more information or watch our video.
Notes:
Contract Size - 1,000 barrels.
Tick Size: Outright: dollars and cents with 0.01 points=$10
Trading Hours: CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. Eastern Time (CST).
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Charts
Prices have fallen sharply since the earlier news of escalations between the U.S. and Iran near the Fibonacci 61.8% retracement level. Volatility has tapered slightly below recent historic levels.
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Strategies
Below illustrates a starting position for a strangle swap consisting of selling March month options and purchasing a straddle in a deferred month (April). If prices move too high, the position could be adjusted if prices move to extremes near sold options.
The % yield shown in the diagrams below represent an estimated return on margin from projected dates shown below. The structure has positive time decay which is an advantage over holding outright options.
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