Barclays suggest owning out-of-money 3m versus 1m WTI put calendar spread to benefit from an unexpected cheapening of WTI crude oil futures. The trade benefits from a relatively low level of WTI option vol, as well as put skew.
Rangebound
After ratcheting $10/bbl higher in June, the WTI crude oil futures have stabilized in a $5/bbl range over the past couple of months. The generic first CL future richened from ~$95/bbl in early June to $105/bbl in mid-July; the contract has traded largely within the $105- 110/bbl range for the past two months.
Our oil strategists expect the WTI crude oil futures to trade $101/bbl by the end of the year, driven by a fragile geopolitical climate in the context of limited space capacity in the system. The WTI option market is also priced for a rangebound price environment; we suggest a put-put calendar spread to hedge an unexpected drop in WTI prices.
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WTI Crude To Fall To $101 By 2013-End, An Options Strategy For WTI Crude
Published 09/19/2013, 03:35 AM
Updated 05/14/2017, 06:45 AM
WTI Crude To Fall To $101 By 2013-End, An Options Strategy For WTI Crude
LONDON:
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