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Crude Implied Vol Falls but Open Interest Increases

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Crude ATM implied volatility has resumed the gradual decline in recent days with Brent second month falling from around 40.5% on 30 Jan to 37.4% today. WTI second month implied volatility is down to 38.4%.

  • The downside puts skew has held relatively stable for the last few weeks. The second month Brent call-put skew is today -3.8% and WTI around -4.3%.
  • Total aggregate ICE Brent call and put open interest has gradually increased since November along with the rise in the futures open interest. Call open interest is currently 1.358m and put aggregate open interest is 905k contracts.
  • The call open positions across all contracts out to Dec 2024 are mostly spread between 90$/bbl and 125$/bbl but with a significant volume also sitting at 150$/bbl. The downside cover is spread from 80$/bbl down to 60$/bbl.


Source: MNI / Bloomberg

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