Option Implied Skews Comparison
COMEX HX (SABR curves) Jan 26, 2024
At the money vols and strikes (approx):
- HX (SABR curves) G[26] 2024 Vol= 0.1524 Strike= 3.85
- HX (SABR curves) H[25] 2024 Vol= 0.1722 Strike= 3.87
- HX (SABR curves) J[25] 2024 Vol= 0.1831 Strike= 3.9
- HX (SABR curves) K[28] 2024 Vol= 0.1883 Strike= 3.9
- HX (SABR curves) M[25] 2024 Vol= 0.1923 Strike= 3.9
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The information above is the product code, expiration month codethe exact last day of trading is in the brackets finally we have the expiry year. This is generally not the standard form for symbology. However, with some contracts we may have two or more expiries with the same contract month. The contracts may even share expiry year, so in order to disambiguate the contracts we show extra detail.
The vol is next, and finally the actual strike.