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Crude Option Put Skew Turns More Bearish

OIL OPTIONS

The crude option skews to cover the downside for contracts in 2023 have increased over the last week from the least bearish since March on 11 Aug to the most bearish since last June. Crude futures are heading for a net loss on the week driven by poor economic data in China and with concern that the US rate tightening cycle may not be at an end and offsetting tight supply concern.

  • The second month WTI 25 delta call-put skew has fallen from as narrow as -3.5% on 11 Aug back to -4.5% while the Brent skew is down from -2.7% to -4%.
  • The moves in the Dec24 call-put skews have been more muted but have still edged lower in recent days. The Brent Dec24 skew is down to -6.7% and the WTI skew is today at -7.1%.
  • The Brent second month implied volatility is still low but has slowly increased in the last week up to 27.7% today while WTI ATM second month implied volatility is up to 29.4%.
  • Aggregate daily Brent and WTI crude traded futures and options volumes were yesterday largely in line with the average seen so far in August.
    • Brent OCT 23 down -0.2% at 83.99$/bbl
    • WTI SEP 23 down 0% at 80.36$/bbl


Source: Bloomberg

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