CL / RB / HO volatility mismatch?

Discussion in 'Commodity Futures' started by heech, May 16, 2012.

  1. heech

    heech

    There seems to be a huge volatility mismatch between CL / HO / RB... and I guess I'm a little surprised by it.

    CL July, atm vola is at 30%.

    RB July, atm vola is at 24%.

    HO July, atm vola is at 20%.

    I recognize that these instruments aren't 100% correlated... after all, that's why we have the crack spread. But that 30% vs 20% vola gap between CL and HO seems way, way too large for me.

    Any thoughts? Am I missing something? Why don't I buy HO vola at this point, if I'm very exposed to CL movements?
     
  2. I'm not an energy guy, but perhaps this is the way that intermarket volatility is supposed to be? Have you looks at these relationships in comparison to where they have been historically?
     
  3. bone

    bone

    Don't do it... the Cracks have ALWAYS had very high vols.

    Always.

    Crude is very abundant... the refined distillates, however, are very production dependent. You can't just dump raw crude oil into your Camaro.
     
  4. So following your comment, shouldn't vol on the distillates be higher than crude? Seems the other way around here, or is this normally the case and these numbers are off (either wrong or not indicative of the normal relationship)?
     
  5. Heech, can you post current vol levels and include Brent?
     
  6. July CL 48 delta call 29.96iv

    July CO 47 delta call 25.93iv

    July XB 48 delta call 25.68iv

    July HO 48 delta call 22.55iv