Options Blueprint Series: Pre and Post OPEC+ WTI Options Plays

NYMEX:CL1!   Light Crude Oil Futures

The world of crude oil trading is significantly influenced by the decisions made by the Organization of the Petroleum Exporting Countries (OPEC) and its allies, collectively known as OPEC+. These meetings, which often dictate production levels, can lead to substantial market volatility. Traders and investors closely monitor these events, not only for their immediate impact on oil prices but also for the broader economic implications.

In this article, we explore two sophisticated options strategies designed to capitalize on the volatility surrounding OPEC+ meetings, specifically focusing on WTI Crude Oil Futures Options. We will delve into the double calendar spread, a strategy to exploit the expected rise in implied volatility (IV) before the meeting, and the transition to a long iron condor, which aims to profit from potential post-meeting volatility adjustments.

Understanding the Market Dynamics

OPEC+ meetings are pivotal events in the global oil market, with decisions that can significantly influence crude oil prices. These meetings typically revolve around discussions on production quotas, which directly affect the supply side of the oil market. The anticipation and outcomes of these meetings create a fertile ground for volatility, especially in the days leading up to and immediately following the announcements.

Implied Volatility (IV) Dynamics
  • Pre-Meeting Volatility: In the days leading up to an OPEC+ meeting, implied volatility (IV) often rises. This increase is driven by market uncertainty and the potential for significant price moves based on the meeting's outcome. Traders buy options to hedge against or speculate on the potential price movements, thereby increasing the demand for options and pushing up IV.
  • Post-Meeting Volatility: After the meeting, IV can either spike or drop sharply, depending on whether the outcome aligns with market expectations. An unexpected decision can cause a significant IV spike due to the new uncertainty introduced, while a decision in line with expectations can lead to a sharp drop as the uncertainty dissipates.

Strategy 1: Double Calendar Spread

The double calendar spread is a sophisticated options strategy that can potentially take advantage of rising implied volatility (IV) leading up to significant market events, such as the OPEC+ meeting. This strategy involves establishing positions in options with different expiration dates but the same strike price, allowing traders to profit from the increase in IV while managing risk effectively.

  • Long Legs: Buy longer-term call and put options.
  • Short Legs: Sell shorter-term call and put options.
  • The strategy typically involves setting up two calendar spreads at different strike prices (one higher and one lower), thus the term "double calendar."


The rationale behind this strategy is that the longer-term options will experience a greater increase in IV as the event approaches, inflating their premiums more than the shorter-term options. As the short-term options expire, traders can realize a profit from the difference in premiums, assuming IV rises as expected.

Strategy 2: Transition to Long Iron Condor

As the OPEC+ meeting date approaches and the double calendar spread positions reach their peak profitability due to the elevated implied volatility (IV), it becomes strategic to transition into a long iron condor. This shift aims to capitalize on potential volatility changes and capture profits from the expected IV drop.

  • Closing the Double Calendar: Close the short-term call and put options from the double calendar spread.
  • Setting Up the Long Iron Condor: Sell new OTM call and put options with the same expiration date as the long legs of the double calendar spread.
  • The result is a position where the trader holds long options closer to the money and short options further out, creating a long condor structure.


The rationale for transitioning to a long iron condor is to capture profits from a potential decrease in IV after the OPEC+ meeting.

Practical Example

To illustrate the application of the double calendar spread and the transition to a long iron condor, let's walk through a detailed example using hypothetical WTI Crude Oil Futures prices.

Double Calendar Spread Setup

1. Initial Conditions:
  • Current price of WTI Crude Oil Futures: $77.72 per barrel.
  • Date: One week before the OPEC+ meeting.

2. Long Legs:
  • Buy a call option with a strike price of $81, expiring on Jun-7 2024 @ 0.32.
  • Buy a put option with a strike price of $74, expiring on Jun-7 2024 @ 0.38.

3. Short Legs:
  • Sell a call option with a strike price of $81, expiring on May-31 2024 @ 0.05.
  • Sell a put option with a strike price of $74, expiring on May-31 2024 @ 0.09.

Note: We are using the CME Group Options Calculator in order to generate fair value prices and Greeks for any options on futures contracts.

Transition to Long Iron Condor

1. Closing the Double Calendar:
  • Close the short-term call and put options just before they expire @ 0.01 (assuming they are OTM on Friday May-31, before the market closes for the weekend).

2. Setting Up the Iron Condor:
  • Sell a call option with a strike price of $82, expiring on Jun-7 2024 @ 0.13.
  • Sell a put option with a strike price of $73, expiring on Jun-7 2024 @ 0.18.
  • 0.11 and 0.17 are estimated values assuming WTI Crude Oil Futures remains fairly centered around 77.50 and that IV has risen into the OPEC+ meeting weekend.
  • Transitioning from the Double Calendar to the Long Iron Condor would be done on Friday May-31.

3. Resulting Position:
  • You now hold a long call at $81, a long put at $74, a short call at $82, and a short put at $73, forming a long iron condor.
  • The risk of the trade has been reduced by half (assuming the real fills coincide with the estimated values above) from 0.56 to 0.27 = $270 with a potential for reward of up to 0.73 (1 – 0.27) = $730.

This practical example demonstrates how to effectively implement and transition between the double calendar spread and the long iron condor to navigate the volatility surrounding an OPEC+ meeting.

Importance of Risk Management

Effective risk management is crucial when implementing options strategies, particularly around significant market events like the OPEC+ meeting. The volatility and potential for sharp market moves require traders to have robust risk management practices to protect their capital and ensure long-term success.

Avoiding Undefined Risk Exposure

Undefined risk exposure occurs when traders have no clear limit on their potential losses. This can happen with certain options strategies that involve selling naked options. To avoid this, traders should always define their risk by using strategies that have built-in risk limits, such as spreads and condors.

Precise Entries and Exits

Making precise entries and exits is critical in options trading. This involves:
  • Entering trades at optimal times to maximize potential profits.
  • Exiting trades at predetermined levels to lock in gains or limit losses.
  • Adjusting trades based on market conditions and new information.

Additional Risk Management Practices
  • Diversification: Spread risk across different assets and strategies.
  • Position Sizing: Allocate only a small percentage of capital to each trade to avoid significant losses from a single position.
  • Continuous Monitoring: Regularly review and adjust positions as market conditions evolve.

By adhering to these risk management principles, traders can navigate the complexities of the options market and mitigate the risks associated with volatile events like OPEC+ meetings.


Navigating the volatility surrounding significant market events like the OPEC+ meeting requires strategic planning and effective risk management. By implementing the double calendar spread before the meeting, traders can capitalize on the anticipated rise in implied volatility (IV). Transitioning to a long iron condor after the meeting allows traders to benefit from potential post-meeting volatility adjustments or price stabilization.

These strategies, when executed correctly, offer a structured approach to managing market uncertainties and capturing profits from both pre- and post-event volatility. The key lies in precise timing, appropriate strike selection, and diligent risk management practices to protect against adverse market movements.

By understanding and applying these sophisticated options strategies, traders can enhance their ability to navigate the complexities of the crude oil market and leverage the opportunities presented by OPEC+ meetings.

When charting futures, the data provided could be delayed. Traders working with the ticker symbols discussed in this idea may prefer to use CME Group real-time data plan on TradingView: This consideration is particularly important for shorter-term traders, whereas it may be less critical for those focused on longer-term trading strategies.

General Disclaimer:

The trade ideas presented herein are solely for illustrative purposes forming a part of a case study intended to demonstrate key principles in risk management within the context of the specific market scenarios discussed. These ideas are not to be interpreted as investment recommendations or financial advice. They do not endorse or promote any specific trading strategies, financial products, or services. The information provided is based on data believed to be reliable; however, its accuracy or completeness cannot be guaranteed. Trading in financial markets involves risks, including the potential loss of principal. Each individual should conduct their own research and consult with professional financial advisors before making any investment decisions. The author or publisher of this content bears no responsibility for any actions taken based on the information provided or for any resultant financial or other losses.

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