TEST FROM BANK OF CANADA, PLEASE IGNORE

MNI BRIEF: US Existing Home Sales Fall 5.4% To 3.89M In June

MNI BRIEF: China Wants U.S. Firms To Deepen Investment

MNI China Daily Summary: Tuesday, July 23

MNI: PBOC Net Drains CNY408.7 Bln Via OMO Tues

MNI: PBOC Sets Yuan Parity Lower At 7.1334 Tues; -1.30% Y/Y

US Treasury Auction Calendar

BoC Data Watch

EZ/UK T-Bill Calendar: 26-Week GTB Auction on Wednesday

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

Crude Options Hold Small Put Skew After Middle East Risk Eased

OIL OPTIONS
Energy BulletsHomepageBulletCommodities

The near term crude options are holding a narrow skew to the puts after switching from a call skew earlier this week amid easing geopolitical risk sentiment and global demand uncertainty.

  • The Brent crude second month 25 delta call-put skew is currently around -0.85% after seeing levels of over +3.5% last week. The WTI second month skew is today about -0.95%.
  • The crude Dec24 call-put skews have widened since mid April back to levels seen at the start of the month. The Brent call-put skew rallied from as wide as -7.0% in December to -1.4% on April 16 before pulling back to -3.3% today. The Dec24 WTI skew has followed a similar move back to -3.3% today.
  • Options volatility has also eased lower in the last week with Brent second month atm implied volatility down from 27.65% last week to around 23.3% today. WTI is down to 25.8% from a high of 30.2%.
  • Aggregate crude options have eased back from the high levels seen at times earlier in April but call volumes are still greater than puts. Brent options volumes reached over 450k on April 15 but yesterday saw just 181k traded.
    • Brent JUN 24 down 0.1% at 87.94$/bbl
    • WTI JUN 24 down 0.1% at 82.69$/bbl

Keep reading...Show less
206 words

To read the full story

Close

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.

The near term crude options are holding a narrow skew to the puts after switching from a call skew earlier this week amid easing geopolitical risk sentiment and global demand uncertainty.

  • The Brent crude second month 25 delta call-put skew is currently around -0.85% after seeing levels of over +3.5% last week. The WTI second month skew is today about -0.95%.
  • The crude Dec24 call-put skews have widened since mid April back to levels seen at the start of the month. The Brent call-put skew rallied from as wide as -7.0% in December to -1.4% on April 16 before pulling back to -3.3% today. The Dec24 WTI skew has followed a similar move back to -3.3% today.
  • Options volatility has also eased lower in the last week with Brent second month atm implied volatility down from 27.65% last week to around 23.3% today. WTI is down to 25.8% from a high of 30.2%.
  • Aggregate crude options have eased back from the high levels seen at times earlier in April but call volumes are still greater than puts. Brent options volumes reached over 450k on April 15 but yesterday saw just 181k traded.
    • Brent JUN 24 down 0.1% at 87.94$/bbl
    • WTI JUN 24 down 0.1% at 82.69$/bbl

Keep reading...Show less