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Brent Skew Remains to the Downside

OIL OPTIONS

Brent options maintaining put premium on downside economic risks.

  • The skew of Dec22 25 delta puts to calls in relatively unchanged over the last week with puts currently at a 2.7% premium to calls.
  • The volatility skew is similar for all contracts in 2022 but increases into 2023 with Mar23 puts trading at over 5% premium.
  • ATM implied volatilities have fallen with outright crude price bouncing within a 5$ range over the past week. Vols are now back to just above 40% having been over 50% at the start of last week.
Source: MNI / Bloomberg

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