EMISSIONS: EUAs Implied Volatility Hit Record-Low, Skew Near Multi-Month Narrow
Oct-03 10:00
EUA Dec25 options implied volatility as of 2 Oct fell to its all-time low, while the delta call-put volatility skew rising to the second narrowest since February, indicating limited near-term price swings expectation and reduced demand for downside protection.
- Implied volatility fell to 25.09% on 2 Oct from 25.79% on 25 Sep, hitting an all-time low.
- The 25-delta call-put volatility skew narrowed to -0.83% on 2 Oct from -1.40% on 25 Sep, the second narrowest since February, indicating that downside protection has become cheaper relative to upside exposure.
- The put/call open interest ratio rose to 0.70 on 2 Oct from 0.67 on 25 Sep, reflecting a slightly higher increase for puts.
- Put open interest increased to 139,459 contracts from 132,384, while call open interest edged higher to 199,207 from 196,200.
- The largest open interest remains concentrated at the €70/t put strike with 19,249 contracts, and the €80/t call strike with 29,361 contracts, both showing marginal increases.
- EUA Dec25 futures open interest climbed to 359k from 353k, while the price advanced 2.2% to €77.43/t on 2 Oct from €75.76/t on 25 Sep.
- EUA DEC 25 up 1.8% at 78.82 EUR/t CO2e
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