Crude Oil Implied Volatility Spikes

The implied volatility of WTI options spiked 4.25% during today's trading session, rising to 36.5% annualized. Worse-than-expected US unemployment figures and increasing doubts regarding the Greek, Portuguese and Spanish fiscal deficits led March 2010 WTI futures down over $4.00 earlier today.

Besides today the most recent >4% move in WTI implied volatility occured on July 6, 2009.

US distillate inventories are reducing as expected during the winter - though levels remain far above prior years.

Source: US Energy Information Agency, http://tonto.eia.doe.gov/dnav/pet/hist/wdistus1w.htm

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