CME OPEC Watch Tool

  • 13 Jun 2018
  • By CME Group
  • Topics: Energy

All examples in this tool are hypothetical interpretations of situations and are used for explanation purposes only. The views in this tool reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This tool and the information herein should not be considered investment advice or the results of actual market experience.  CME Group expressly disclaims all liability for the use or interpretation (whether by visitor or by others) of information contained herein. Decisions based on this information are the sole responsibility of the visitor.  The visitor agrees to hold the CME Group and its affiliates and licensors harmless against any claims for damages arising from any decisions that the visitor makes based on such information. Nothing contained in this tool constitutes investment advice, nor does it constitute the solicitation of the purchase or sale of any futures or options.

Stay up to date with the latest probabilities of the OPEC meeting expected outcomes with the CME OPEC Watch Tool.

The CME OPEC Watch Tool calculates the probability of certain potential outcomes from the next Organization of Petroleum Exporting Countries (OPEC) meeting. Using WTI Crude Oil option market price data the tool calculates the implied probabilities of OPEC event outcomes. The three outcomes are specified by CME Group energy market subject matter experts, based on research, media and general consensus of what may be possible outcomes from the proximate OPEC meeting. This tool derives those probabilities from the closest expiration month that expires after the OPEC meeting.

Reading the Tool

1. Across the top, each tab corresponds to a previous or upcoming meeting of OPEC. The nearest meeting is on the far left and is the default selection.

2. After selecting a meeting date at the top of the CME OPEC Watch Tool, the tool will display data on the likelihood of meeting decision outcomes for that date in the Current tab.

3. Clicking on a bar within the chart displays a history of the probability, including the futures price mapped against it.

4. Clicking the PDF icon will show two options for printing the current page information: portrait or landscape. The recommended print format for this report is landscape.

Positioning

The tab labeled Positioning on the left side of the tool displays an open interest heatmap. The heatmap shows open interest change for the options contract that is being used to derive the implied probability distribution.

1. Changes in open interest are accessed from the Positioning tab.

2. Underlying futures contract, days till expiration and previous day’s settlement price is displayed.

3. The last column shows open interest for the options being used to derive the implied probability distribution. Additionally, weekly options open interest is displayed for the user.

4. At the money strike indicated by gray shading.

Data

The tab labeled Data on the left side of the tool shows these probabilities are based on implied volatilities in the WTI Crude Oil option market price data calculated from the closest WTI option expiration month that expires after the OPEC meeting.

Config

The Config tab shows a list of the past OPEC meetings and the corresponding options expiration and the outcome for that meeting. Please note, the outcomes can change before the meeting date. If that occurs, they will be updated and recorded in this section.

Historical

The tab labeled Historical on the left side of the tool displays the previous period’s volatility curve, probability distribution, futures price and change probabilities for any date in the past.

1. Historical tab displays the previous period’s volatility curve, distribution, price change probabilities and futures price

2. Users can select a trade date and corresponding options expiration to view the corresponding implied volatility distribution. In the example above, the 12/15/17 was defined as the trade date and LOG18 selected as the expiration. The data is showing the January 2018 LO data as of 12/15/2017.

PDF Generation

Clicking the PDF icon will show two options for printing the current page information: portrait or landscape. The recommended print format for this report is landscape.

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Try the CME OPEC Watch Tool

Check out the CME OPEC Watch Tool and see the probability of change from the next OPEC meeting.

Go to the tool