Crude Call Skews Softens From High Last Week

The near term crude call options premium over puts is softening slightly today as the futures decline amid a restrained start to the ground offensive into Gaza. The call skews in place since 13 Oct reflect the upside price risk of any supply disruption from Iran despite no significant involvement so far.

• The Brent second month 25 delta call-put skew has drifted down from a high of nearly +4.7% on Friday back to +3.18%. The second month WTI skew is today at +3.3% and down from a high of +5.3% from last week.
• The Dec24 25 delta call-put skews have widened again to resume the pull back from a peak on 20 October. The Brent Dec24 spread is today at -6.15% and the Dec24 WTI skew is at -6.25%.
• Brent crude second month ATM implied volatility is today holding at 40.1% and WTI at 39.9%.
• Daily aggregate traded options volumes for Brent crude fell back closer to normal levels at 164k contracts on Friday with WTI is at 137k. Crude futures volumes also dipped late last week with Brent down to 0.96m and WTI at 0.63m.
  • Brent DEC 23 down -1.3% at 89.31$/bbl
  • WTI DEC 23 down -1.5% at 84.29$/bbl