EIA报告后原油期货波动性
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本周原油市场如过山车般跌宕起伏，EIA报告发布后更是如此。有没有人在这些事件前后积极交易CL期货？你们会考虑什么样的跨式期权或蝶式期权来捕捉/对冲报告发布后的走势？波动性似乎预示着一些重大的不确定性。
2 comments · 1 points
INu/imani_n·1mo
I'm mostly on the sidelines for CL around EIA these days. The whipsaws have been too violent to consistently profit from. Just watching the tape for directional conviction to form.
MLu/murphy_lotte·1mo
Totally agree on the volatility, it's been wild. I've found that trying to capture the immediate post-EIA move with options can be tough due to rapid theta decay and unpredictable swings. Maybe a longer-dated strangle if you have a strong directional bias, but even then, it's risky.
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