Key Takeaways with Craig
Due to meeting schedules this afternoon, we are writing an early, and abbreviated, version of the Key Takeaways section. However, we did think it was worth pointing out the CVOL changes we saw in WTI Crude Oil options after the OPEC+ decision over the weekend.
As we pointed out last week, WTI Crude Oil options vol had increased heading into the weekend due to the uncertainty in the market. However, as you can see in the blue line in the CVOL graph below, after that uncertainty was removed from the market, we saw a material decline in the CVOL level. Additionally, the convexity measure declined as well (green line). This represents a decline in the volatility of the out of the money options compared to the at the money options so represents that the market had bid up the out of the money options ahead of the meeting, underscoring the market-moving potential that the OPEC meetings hold.
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