From: Daniel Sabba To: [email protected] <[email protected]> Cc: Vahe Stepanian Subject: Fw: EOD Commodities Note - 30 Jan Sent: Sunday, February 1, 2015 2:18:25 AM Classification: Public See below. Friday's large realized volatility was negative to short delta hedged straddle strategy. WTI rallied 9%. Strategy was down about 2%. From: Stavros Valavanis Sent: Friday, January 30, 2015 05:38 PM Subject: EOD Commodities Note - 30 Jan Classification: Public Oil Days like this make me love being an oil trader. What was looking like a quiet day ended explosively as WTI rallied 9% and closed above 48$; this is the biggest 1 day rally in 2.5 years (on a % basis) . The market has been watching companies slash capex left and right and has been getting more jittery and the impetus for the large stpout rally today was the large drop in oil rigs from baker hughes which fell by 94 down to 1223; and 66 of the 94 were horizontal rigs, which produce more than vertical ones. This is the biggest rig drop in the Baker Hughes historical data (dating back to 1987). Since the market is uber short, we understandably rallied like crazy. One other factor in todays rally was that ISIS launched a surprise attack against the Kurds in Iraq near some oil producing regions...In the North Sea, the window was quiet, with some offers there in Ekofisk and Forties at levels above where the most recent assessments had been. Also, 3 Oseberg cargoes for January were deferred to February, which added a bit of a bullish tone to the prompt BRE spreads. Boxes and the arb still were weak today although they had a volatile day. Oil Vols Vols were offered during most of the day but prompt vols snapped back as we rallied heavily into the close, as being short gamma in such an environment is tricky. We saw interest in buying calls and selling puts across the board. An interesting thing to note is that the WTI/BRE vol spread continued widening today. We hear there are seri