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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.
OIL OPTIONS
Despite high intraday volatility Brent crude has been trading in the wide 102$/bbl to 113$/bbl range for over a month since mid Apr. As a result, front month ATM implied volatility as drifted below 50% for only the second time since Feb and the start of the Ukraine war.
- With no clear direction the market is trying to balance economic growth concerns and Chinese demand reduction against supply disruption from Russia and struggling quota compliance from OPEC+ members. The EU have still not managed to agree sanctions on Russia oil with the suggestion from US to impose tariffs instead.
- The volatility skew also suggests an uncertain directional view with put and call volatilities close. In Jul puts are at a slight 2% premium but late in the year by Dec22 calls are at a 1% premium.
- Jul22 Brent option expiry is next week on Thurs 26th May.
- The graph below show the Brent rolling front month ATM implied volatility and the 30 day historic volatility:
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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