Implied volatility
Patrick Ceresna said implied volatility in Canadian-dollar options remained below 5%, which he viewed as reasonable given a recent 260-pip, roughly 3.5% move over 27 days 1. He used a Canadian-dollar put to express a bearish currency view while retaining positive gamma and vega and limiting the risk from a near-term rebound 1. He also noted increased volatility in winter natural gas as colder-weather expectations developed, with the potential for short-covering to amplify a rally 1.
From the window to Oct 14, 05:30 ET — this window's take is still to be written.
Where the voices land
Nobody took a position this week.
Mentions
1 this weekStories it travels in
i
The stories
- ○ a voice, on the left
- ◌ a voice raising half of these
- ● a subject, on the right, under its story
- ⌒ a line is a voice raising a subject — thicker, more items; colour is the story
The stories this entity travels in: on the right, each story with the subjects seen alongside it; on the left, the voices that raised them, and a line for every subject a voice raised, bundled by story. Tap a voice to light everything it raises, a subject for who raised it, a story for its own lines. The crumb goes back.
Who brings it up
- Yasir Arafat 1 mention
- Erik Townsend 1 mention
- Patrick Ceresna 1 mention
See what your own voices say about Implied volatility, every morning.
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