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Commodity Vol Skew Differs From Equities
- Commodity volatility skew often flips versus equities: fear in equities is downside; in commodities fear is typically to the upside when supplies run short.
- Tina notes crude can resemble equity-style skew when macro hedgers dominate, but it flips back during supply shocks.
Diagnose Vol Surface Kinks Before Trading
- Fit the full vol surface and hunt for kinks before trading; investigate seasonality or one-off flows as causes.
- If a month is anomalously cheap, find who's trading it (macro tourist, hedger) and then buy that month while selling surrounding months.
Different Futures Can Be Different Commodities
- Futures months can represent different physical commodities (new vs old crop), so time spreads can hide real fundamental differences.
- Tina warns butterflies across different futures can blow up in soft commodities like orange juice or coffee due to seasonality.