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Brent Put Skew Least Bearish Since Aug 10


Brent crude put skew is the least bearish since Aug 10 as the possibility of OPEC supply cuts has outweighed weak demand sentiment.

  • The Dec22 put skew is 3.35% and for WTI is just slightly higher at 4.12%.
  • The Dec23 options continue to show more downside risk with the current put skew for both Dec23 contracts at just over 9%.
  • Front month ATM volatility is still around 43% with the term structure showing higher call vols over Q4 22 and Q1 23 and put vols increasing out to Jun23.
  • Brent OCT 22 down -1.1% at 98.21$/bbl
  • WTI OCT 22 down -1.4% at 91.25$/bbl
  • Below shows the 25D put and 25D call term structure for WTI:

Source: Bloomberg

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