Crude Futures Holding Small Daily Gain as Bearish Option Skew Reduces

The bearish crude options skew is reducing slightly, and oil futures prices have edged higher today after the latest sell off amid bearish sentiment following the OPEC+ meeting.

• Crude futures slumped to near a five-month low on oversupply concerns in the last week, but the rising call-put skew suggests some limited support from the voluntary OPEC+ cuts.
• Brent crude second month 25 delta call-put skew is today up to -4.4% from as wide as -7.7% on Nov 23 while the WTI second month 25 delta call-put skew is at -4.9% from -6.9% before the OPEC meeting.
• Aggregate crude futures traded volumes were slightly higher yesterday with Brent up to 1.29m and WTI to 1.06m. Options volumes were also above normal yesterday with Brent at 224k and WTI at 201k.
  • Brent FEB 24 up 0.8% at 74.88$/bbl
  • WTI JAN 24 up 0.8% at 69.93$/bbl
  • Brent FEB 24-MAR 24 up 0.02$/bbl at -0.13$/bbl
  • Brent JUN 24-DEC 24 up 0.12$/bbl at 0.97$/bbl