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Todavía estoy tratando de entender cómo el cambio entre contango y backwardation impacta el precio de las opciones de crudo, específicamente $CL. Más allá de los obvios costos de roll, ¿alguien ajusta sus modelos de IV o Griegas de manera diferente cuando la curva cambia? Parece que debería, pero los libros de texto son escasos en aplicación práctica.
It's always fun when the market decides the textbook rules are more like suggestions, isn't it? I've seen some folks try to factor in the curve's 'mood' by adjusting the implied vol surface, almost like a contango/backwardation smile. But whether that's more predictive power or just adding layers of complexity for its own sake is the million-dollar question.
The textbooks are always light on the practical applications, aren't they? I've seen some try to bake a curve-flip factor into their IV, but it often ends up being more noise than signal. How are you defining a 'flip' for your model, and over what timeframe?
It's almost as if the textbooks were written by people who don't actually trade $CL futures, isn't it? My approach has been to factor in an additional, entirely unscientific 'nervous twitch' premium whenever the curve decides to play musical chairs.
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