Crude Call Skews Edges Back Up After Easing Earlier in the Week

The near term crude call options premium over puts has turned back upwards slightly today following the gain in the futures as the Middle East risk premium increases following headlines from Iran’s Supreme Leader Ali Khamenei for Muslim countries to stop oil exports to Israel.

• The call skews had reduced in the previous couple of days as the risk of an escalation in the conflict in Israel had eased amid little sign of involvement from Iran despite the Israel ground offensive.
• The Brent second month 25 delta call-put skew has edged back up towards +2.0% after falling to a low of +0.9% yesterday. The second month WTI skew is up to +1.85% from +0.55% yesterday. Both call skews reached a high of +6% of at or just above on 20 Oct.
• The Brent Dec24 25 delta call-put skew is today at -6.4% compared to -5.4% in mid October while the Dec24 WTI skew is back out to nearly -6.7%.
• Crude second month ATM implied volatility is drifting back down slightly from a high in the first half of Oct with Brent today at 37.0% and WTI at 38.5%.
• Daily aggregate traded options volumes for crude were strong again yesterday with Brent up to 251k contracts and WTI at 162k. Brent crude futures aggregate volumes were yesterday at 1.01m and WTI at 0.73m.
  • Brent JAN 24 up 2.1% at 86.83$/bbl
  • WTI DEC 23 up 2.3% at 82.87$/bbl