WTI crude call options in demand

The continued rally in WTI crude has seen the implied volatility ease off while OTM call volatility has risen and downside protection has seen less demand with OTM put volatility falling back.

The volatility on gold and WTI crude futures, which we track in this weekly update, both declined over the last seven days as bought protection against major moves ahead of the two central bank meetings has been closed down. The gold options skew experienced an across the board drop of roughly three percent. However the protection against tail-end events has been maintained as both out-the-money (OTM) puts and calls volatility trades higher than at-the-money (ATM). Acvitvity is still heavily skewed towards call options with nine of the ten most traded options during the last week having all been calls with Sep12 1650C and Dec12 2200C having traded the most volume.