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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
Crude ATM implied volatility falls once again as crude futures hold relatively unchanged on the day. Brent second month implied ATM volatility is down to 33.1% and WTI second month is down to 34.1%.
- Total aggregate ICE Brent call and put open interest has increased over the last month with more call volumes added than puts. Call open interest has increased from 1.358m on 2 Feb to 1,527m while and put aggregate open interest is up from 905k to 967m contracts.
- The biggest increase in open interest since the start of Feb was at the 85$/bbl, 100$/bbl and 110$/bbl strike call options and in the 70$/bbl puts. Open interest in the 125$/bbl calls however decreased.
- The interest in the upside cover is also reflected in the closing call puts skews. The second month Brent 25 delta call-put skew is in to around -2% today and the Dec23 skew is up to -3.2%.
- Brent MAY 23 down -0.2% at 84.54$/bbl
- WTI APR 23 down -0.2% at 78$/bbl
Source: MNI / 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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