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OIL OPTIONS: Crude Options Hold Skew in Favour of Calls

OIL OPTIONS
BulletEnergy BulletsCommodities

The Brent crude options skew is maintaining a bias in favour of the calls with market support amid concern that sanctions on Russia and Iran could tighten global supplies.

  • The Brent second month 25 delta call-put volatility skew had pulled back close to parity yesterday but has returned to a call skew of around +1.7% today.
  • The WTI second month skew has switched to a narrow call skew again today of +0.15% after a put skew as much as -1.3% yesterday.
  • Brent second month implied volatility has risen from a low of 23.3% in December to around 27.7% today while WTI volatility is up to 30.4%.
  • Aggregate Brent crude futures traded volumes have averaged well above normal at 2.15m since Jan. 10. Options traded volumes are also high at about 340k in the period with slightly higher call volumes than puts. WTI volumes are also above normal at about 1.8m for futures and 230k for options.
    • Brent MAR 25 down 0.5% at 81.62$/bbl
    • WTI FEB 25 down 0.5% at 79.66$/bbl

 

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The Brent crude options skew is maintaining a bias in favour of the calls with market support amid concern that sanctions on Russia and Iran could tighten global supplies.

  • The Brent second month 25 delta call-put volatility skew had pulled back close to parity yesterday but has returned to a call skew of around +1.7% today.
  • The WTI second month skew has switched to a narrow call skew again today of +0.15% after a put skew as much as -1.3% yesterday.
  • Brent second month implied volatility has risen from a low of 23.3% in December to around 27.7% today while WTI volatility is up to 30.4%.
  • Aggregate Brent crude futures traded volumes have averaged well above normal at 2.15m since Jan. 10. Options traded volumes are also high at about 340k in the period with slightly higher call volumes than puts. WTI volumes are also above normal at about 1.8m for futures and 230k for options.
    • Brent MAR 25 down 0.5% at 81.62$/bbl
    • WTI FEB 25 down 0.5% at 79.66$/bbl

 

Keep reading...Show less