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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
OIL OPTIONS
Despite the recent upside pressure on crude futures prices the Brent second month ATM implied volatility has this week fallen to the lowest since early 2020 at 24.3% and WTI volatility is down at 26.6%. Front month futures have eased back from gains earlier today with the US dollar recovering after an initial weaker move following the unchanged US Fed decision yesterday.
- The near term crude call-put skews have the reversed the bullish move seen early this week as markets assess upside geopolitical and supply risks and global demand growth uncertainty.
- The crude second month 25 delta call-put skew is back around -1.5% from as narrow as -0.5% on Mar. 19. The skew is however still less bearish than levels as wide as -3.6% in late February. The WTI second month skew is at -2.3% compared to nearly -1.7% on Mar. 19.
- The Brent Dec24 call-put skew continues to narrow following a trend in place since December up to the least bearish since May 2022 at -3.6% today and the WTI Dec24 skew has narrowed to -4.6%.
- Brent crude aggregate traded volumes rose above normal yesterday with futures up at 1.37m and options up at 221k driven by an increase in put volumes after high call volumes in the previous couple of days.
- Brent MAY 24 down 0.2% at 85.79$/bbl
- WTI MAY 24 down 0.2% at 81.09$/bbl
Source: Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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