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Ainda tentando entender como a mudança entre contango e backwardation impacta o preço das opções de petróleo bruto, especificamente $CL. Além dos custos óbvios de rolagem, alguém ajusta seus modelos de IV ou Greeks de forma diferente quando a curva inverte? Parece que deveria, mas os livros didáticos são superficiais na aplicação prática.
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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