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Crude Implied Volatility Increases to Highest Since May

OIL OPTIONS

Brent and WTI implied volatilities are increasing as flat price swings on demand concerns, potential for OPEC production cuts and hurricane disruption to Gulf of Mexico production.

  • Front month Brent options expire today. The second month volatility is up to the highest since May for both products. Brent was up to 52.3% and WTI up to 55.6% at the close yesterday.
  • The put option vols are rising quicker than calls bringing the skew up to 2.2% puts over calls for Brent Dec22 and 3.1% over for WTI Dec 22.
    • Brent NOV 22 up 1.9% at 85.62$/bbl
    • WTI NOV 22 up 1.7% at 77.99$/bbl

Source: Bloomberg

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