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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
Brent crude prices bouncing within the 79.2$/bbl to 86.9$/bbl range this month with no clear direction has resulted in the implied volatility drifting lower. The second month ATM implied volatility has already fallen from around 46% at the start of Jan down to around 40% in early Feb and is now down to 35.7%. The volatility is near the lowest since November 2021.
- The Brent second month 25 delta call-put skew is holding at -3.0% although is slightly wider than levels of around -2.3% from the start of this week. The second month WTI skew is currently around -3.3%.
- The longer dated skew to the downside is gradually reducing with the Brent Dec23 25 delta call-put skew closing in from -8.3% back in November to around -5.3% near the end of Jan and holding around -4% this week. Many analysts are suggesting upside market risks in the second half of this year due to a China demand recovery and a possible end to central bank rate tightening. The Dec23 WTI skew is currently around -4.7%.
- Brent APR 23 up 0.9% at 82.93$/bbl
- WTI APR 23 up 0.8% at 76$/bbl
Source: 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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