Crude oil call spreads are the cheapest since winter 2015

Oct. 10, 2016

Options Backtesting Results

Historical average return: +$238.72 (backtested over 1.8 years)
Historical success probability: 36.0%


As crude oil breaks out of the $50 level, implied volatility has dropped and call skew has increased, creating an environment for the cheapest upside call spreads since 2015. With favorable options backtesting results, call spreads may be attractive for those expecting the breakout to continue.

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