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Plotting option prices against strikes, it looks like relatively clean data, which is a pleasant surprise (note the CME strikes prices are in cents so need to divide by 100)pic.twitter.com/j52WFMGkRo
I see the futures quoted at 64.73 but it's always good practice to imply a forward price from the options using put-call parity as a sanity check. For the $65 strike I see calls at 5.19 and puts at 5.42 which gives an implied forward of 5.19-5.42+65 = 64.77 which is what I'll use
You can then use a Black75 options pricer to get implied vols. I used a time to expiry of six months because I couldn't be bothered to do the date math but uh I guess you should do it properly. The numbers look plausible to me but it's always possible I messed it up, not sure 
pic.twitter.com/6iERzX3lYW
Now you have implieds for each option you can calculate Black deltas. By "OTM option" let's assume 25 delta which looks like it's about an 80 strikepic.twitter.com/xL9blKceza
The pnl for a teeny tiny move in spot is delta * spot_move + vega * vol_move (ignoring gamma, theta etc) which tells you that for the change in vol to offset the spot movement, the vol needs to move by -delta*spot_move/vega.
Here's what that looks like for a +$1 move in spot, at different strikes. At the 80 strike, the vol needs to drop by 1.2% to offset the gain from the spot movepic.twitter.com/wXDgpHL2Uk
(Actually its a bit more than this because I ignored gamma but w/e)
The vol surface is pretty flat around the 80 strike so skew is not really playing a role here (for an ATM option there would be a skew effect, where IV mechanically drops as spot increases, because you roll up the vol surface in strike space)
BUT the negative skew (puts > calls) implies a negative relationship between price and vol, i.e. all else equal you expect vol to drop when price rises, just like with stocks. So a 1.2% vol drop on a $1 price rise is not crazy at all
Hence the question -- if I buy OTM calls and spot moves up $2, how much money have I lost? :)
That's it for this round of #learninginpublic, now @volmagorov can explain all the ways I screwed it up.
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