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Crude Call-Put Skew Finding Support After Big Fall Yesterday

OIL OPTIONS

The bearish decline in the near term call-put skews has halted today with a slight recovery following the big gain in put option volatilities yesterday.

  • Brent crude second month 25 delta call-put skew has edged back to -6.4% today after reaching an intraday low of nearly -8.4% yesterday. The WTI second month 25 delta call-put skew is back to -5.8% from a low of nearly -6.8% yesterday.
  • The near term option skews have have been following a trend lower since mid October on the risk of easing balances and despite uncertainty over OPEC supply in 2024. IEA suggest a current market deficit will move into a supply surplus next year.
  • The longer term Dec24 crude option call-put skews are relatively unchanged from yesterday with Brent at -6.3% and WTI at -6.65%.
    • Brent JAN 24 up 0.3% at 81.64$/bbl
    • WTI JAN 24 down -0.6% at 76.65$/bbl
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