November 10, 2022 10:02 GMT
Brent Call Skew Pulls Back as Upside Risks Reduce
Second month Brent option skew shifts back in favour of the puts as optimism over an easing of Chinese covid policy has reduced.
- The Brent second month 25 delta skew has seen calls as much as 2.3% over puts in the first week of November on the potential upside risk of higher Chinese oil demand. The skew has now fallen back in favour of the puts with the call-put spread down to -1.5%. The WTI second month spread has seen a similar move back to -2% today.
- The Brent Dec23 spread has continue to pull back from around -6% at the start of November back to -8%.
- Implied ATM volatility remains largely unchanged with Brent front month at 48.7% and WTI at 46.2%.
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