Crude Holds Small Put Skew as Volatility Falls

Crude options are maintaining a small bearish skew in both the prompt and Dec24 contract as volatility falls further. The prompt call-put skew has steadied after narrowing as futures have rallied since the start of June.

• Crude initially saw some minor support following more downward revisions in US payroll data today but has since pulled back to near previous close levels. Markets are supported by sentiment for a tighter summer market, geopolitical risks and the expectation of an active Atlantic hurricane season.
• The second month Brent 25 delta call-put skew is today around -0.6% after briefly trading in positive territory rising to the most bullish since April 19 at +0.26% on July 1. The WTI put skew is also steady at -0.77% today.
• The Brent Dec24 call-put skew is today at -2.0% while the WTI skew is today at -2.85%. The market continues to assess possible future oil demand amid uncertain China growth and US Fed easing. Industry reports from IEA, EIA and OPEC next week may help to provide some more guidance.
• Crude second month implied volatility is down at the lowest since 2018 with relatively limited price swings in the futures. Brent second month at the month volatility is at 20.9% and WTI at 22.1%.
  • Brent SEP 24 down 0% at 87.39$/bbl
  • WTI AUG 24 down 0% at 83.87$/bbl