Crazy skew in crude..

Discussion in 'Options' started by heech, Mar 8, 2011.

  1. heech


    With Apr futures trading at 103.80.... 104 puts are trading at about the same level as a 106 call.

    Now that's skew.
  2. Huh?
  3. Agreed...your statement makes no sense. I see ATM vol for Apr calls at 46.5. 35D calls are around 49. ATM puts are 45.5, while 35D puts are around 44.2.

    Makes sense to me that OTM calls are more expensive than OTM puts for crude (for obvious reasons). The question you have to ask yourself, heech, is if these vols make sense. If not, then you might have a trade. I'm not a crude guy so I can't help you with this one, but generally this is where I would start.

    Maybe some savvy crude options posters can comment.
  4. Maybe, heech, you referring to the fact that skew in the front month Brent and WTI is the "wrong way around" or smth? I guess normally it's the other way.
  5. donnap


    Nah, the risk free profit in the OP doesn't make sense.

    The B/As at the time were approx:
    106C - 2.02x2.09
    104P - 2.78x2.87

    OP, don't know where you got your data from. If it's based on last sale then it probably won't have real time relevance.