MyDVICE

- LETTER & VIEWS by NEV R. AGN

Brent spot price as at January 29, 2021 = 55.10 (WTI = 52.10)

Left leg....all matching!

OIL POST NUMBER 10

– – –  Strategy Initiated on 23 June 2020 (using ICE Brent Options):

1. Sell 1x October 30 Put (expiry: 25 August 2020; futures price reference = 43.40; Delta = 9; Implied Volatility = 71.28%); and

2. Buy 1x February 68 Call (expiry: 23 December 2020; futures price reference = 44.00; Delta = 20; Implied Volatility = 44.51%).

– – –  Strategy is closed!  

Upcomming post:  (a) long-term positioning and goals, and (b) rolling over to a new calendar risk reversal position in ICE Brent Options – reasons for doing so with the above structure.

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