Winning Options Strategy on CT

How can you arb the skew when the forward curve is assumed to be straightforward? The underlying of the Nov25 call is the Dec25 future!

 

hi betcashrun, can you explain what you are meaning by straightforward ?

 

The underlying of these options are commodity futures with different physical deliveries. Commodity futures depends on interest rate and cost of carry (with seasonal or speculative effects which are tough to take into account). So the forward model is not simple or straightforward.

 

do you have some data we could crunch ?

 

is it not always the case for every commodities market though ?

 

this far forward, the futures curve should "normalise"

 

this CT market looks stuck anyway

 

What do you need @soniadebaeke ? The fwd curve on CT shouldn't be too complex to price... Maybe just the July-Oct spread might be tricky (new crop vs old). But supply is good

 

agreed!

 

supply + Trump = its going South!