This is obviously a bit facetious but it's kind of a fun question! Disclaimer: I am not an options trader, especially not energy options, in fact I barely understand options at all, so everything I say here may be completely wrong. https://twitter.com/volmagorov/status/1412236522661855232 …
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You can get yesterday's settlements for WTI options and futures from CME. This is for the 1Y Dec21 midcurve options, i.e. options expiring in Dec21 and settling to the price of futures with 1Y to expiry (i.e. Dec22 futures) -https://www.cmegroup.com/markets/energy/crude-oil/light-sweet-crude.quotes.options.html#optionProductId=7570&strikeRange=ALL …
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Are these frequently traded? I have no idea but I'm going to use these prices anyway.
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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
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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
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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
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oops, nice catch
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