EMISSIONS: EUA DEC25 Implied Volatility Hits All-Time Low
Dec-05 10:50
EUA Dec25 options implied volatility fell to an all-time low on 4 Dec, with put open interest rising and calls declining, signalling stable expectations for price swings and caution over downside risks.
- EUAs Dec25 options are set to expire on 10 December.
- Implied volatility dropped to 19.97% on 4 Dec from 22.73% on 26 Nov.
- The 25-delta call-put volatility skew narrowed to -0.79% on 4 Dec from -1.6% on 26 Nov.
- The put/call open interest ratio rose to 0.99 on 4 Dec from 0.96 on 26 Nov .
- Put open interest climbed 2% to 188k contracts from 185k on 26 Nov, while call open interest fell 1% to 190k contracts from 192k on 26 Nov.
- The largest open interest as of 26 Nov remains at the €70/t put strike with 24k contracts, and the €100/t call strike with 26k contracts, unchanged for calls and slightly lower for puts, respectively.
- EUA Dec25 open interest dropped to 252k on 3 Dec, reaching the lowest level since mid-December 2024.
- EUA DEC 25 up 0.05% at 82.47 EUR/t CO2e
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