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Nugent/Oltarsh: Market Indicator From Options Point of View
Posted by Tango
on September 5, 2019, 9:00 am
On July 18th, the Average True Range in Coffee was 383-points; now it is 232-points. At that point, implied volatility was about six points below historical volatility and evidently was an excellent predictor of future volatility. Currently, December implied lies about 4-5% above historical volatility. Hopefully, that is a good indication of a pick up in volatility.
Despite the recent low volume in options, the current level in implied volatility is a clear indication that the options market expects things to get a bit more interesting in the relatively near future.