Newsletter summary

Holiday effect may cause option hidden wave fluctuationCrouchingtigerhiddendragonswordofThe rising amplitude of crude oil and PTA options is limited, and the volatility of PTA is low for a long time.

Text of news flash

[holiday effect may lead to volatility of implied volatility of crude oil and PTA options] implied volatility of options may face volatility before and after holidays, mainly due to market participants' perception of future volatilityCrouchingtigerhiddendragonswordofThe impact of expected changes. When buying or selling a portfolio of straddle options, investors need to make a tradeoff between the value of time and expectations of future volatility. In view of the two active varieties, crude oil and PTA, the volatility trend since its listing is analyzed in order to reveal its seasonal law. Combined with historical data, crude oil and PTA options may maintain seasonal upwaves during short holidays, but the range may be limited. Given the persistently low volatility from March to early April, the probability of a sharp rise in implied volatility is low. For PTA, volatility has been below 15% for a long time so far this year, and recently it has repeatedly hit record lows, breaking through the all-time low, and the volatility of options across holidays may be limited.