Commodity options: oil calls in demand, gold volatility stable

Oil markets have stabilized following the May sell-off, but nervousness still persists, which is reflected in the wide trading range over the last week and implied volatility, which has risen to the highest level since October 2011. The skew is showing particular upside pressure on calls, with out of the money calls rising while similar puts have fallen, albeit from a higher level the previous week.

During the week the most traded strikes were all in July with the 75 and 80 puts together with the 90 and 92 calls receiving particular attention. Overall the two biggest strikes in terms of open interest remains the Dec12 80 Put and Dec12 100 Call.

Gold volatility remains relatively stable with the pressure on call buying having eased somewhat following the price drop back below USD 1,600 per ounce.

Please click here for the report covering gold and WTI Crude.