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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.
OIL OPTIONS
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
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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