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Crude Call Skew Weakens Suggesting Reduced Upside Risk

OIL OPTIONS

The near term crude option call skews have pulled back from the highs at the start of the week with easing upside risk as the market awaits an Israeli response to Iran’s attack on the weekend. Conflict in the Middle East has so far had no impact on physical oil supplies from the region to the global market.

  • Multiple reports suggest that PM Benjamin Netanyahu is likely to postpone any retaliatory strike against Iran until after the Jewish holiday of Passover, which begins on 22 April and ends after sunset on 29 April.
  • The Brent crude second month 25 delta call-put skew is today down to around +1.7% from a high within day on April 16 of +5.67%. The WTI second month skew is today at about +1.6% from a high of +4.5%.
  • The crude Dec24 call-put skews have also widened slightly with Brent back to -2.3% and WTI to -3.0%.
    • Brent JUN 24 down 1.3% at 86.16$/bbl
    • WTI MAY 24 down 1.3% at 81.65$/bbl

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The near term crude option call skews have pulled back from the highs at the start of the week with easing upside risk as the market awaits an Israeli response to Iran’s attack on the weekend. Conflict in the Middle East has so far had no impact on physical oil supplies from the region to the global market.

  • Multiple reports suggest that PM Benjamin Netanyahu is likely to postpone any retaliatory strike against Iran until after the Jewish holiday of Passover, which begins on 22 April and ends after sunset on 29 April.
  • The Brent crude second month 25 delta call-put skew is today down to around +1.7% from a high within day on April 16 of +5.67%. The WTI second month skew is today at about +1.6% from a high of +4.5%.
  • The crude Dec24 call-put skews have also widened slightly with Brent back to -2.3% and WTI to -3.0%.
    • Brent JUN 24 down 1.3% at 86.16$/bbl
    • WTI MAY 24 down 1.3% at 81.65$/bbl

Keep reading...Show less