the dirties are down the cleans are up
Friends,
On June 2nd I tweeted:
June expiry in USO vol change on the 3% rally... OPEC agreed over the weekend to hike production...but you saw the Ukraine-Russia developments. Competing bullish/bearish effects Vol is lower today if you look at the June surface.
But it's probably up on the day on @moreproteinbars dashboard.
Why?
(a junior option trader interview question @bennpeifert might ask would be compute the actual vol change)
An eager beaver wanted the answer key:
I wouldn’t share Tina’s answer key even if I had it. And I don’t. But understanding how to answer my “interview” question is definitely a prerequisite to Tina’s process.
And we can discuss that because the answer is available from putting together a few key concepts that I’ve already written about in detail. The concepts are conveniently self-contained within just 2 previous articles.
To try to pack even more learning we’ll add some spice for those of you who want to grab a pen and paper to give it a go — I will pose the question with some data to you and Google’s NotebookLM to see how far you each get.
If you want to just read along through the solution without burning glucose nobody is gonna judge you.
Decomposing the vol change on Monday after the event
Let’s start with the 2 articles that hold the keys:
I passed those to NotebookLM.
Now the question as I posed it to NotebookLM: