Crude Options Maintain Bearish Skew Despite OPEC Cuts

The near term crude bearish skew has eased slightly from the widest since May seen earlier this week. The call-put volatility skew however remains at the low end of the range seen this year despite the voluntary OPEC cuts announced following the delayed meeting yesterday.

• Brent crude second month 25 delta call-put skew is today up to -5.4% while the WTI second month 25 delta call-put skew has closed from around -6.9% on Nov 29 to -5.75%.
• The longer term Dec24 crude option call-put skews are set to see a net decline on the week with Brent down at -6.8% and WTI at -7.3%.
• Crude second month ATM implied volatility has fallen with price swings relatively muted despite OPEC supply uncertainty this week. Brent implied vol is currently at 31.6% and WTI at 33.2%.
• Brent aggregate traded futures volumes were yesterday the highest since Sep 27 up at 1.64m while WTI volumes were up to 1.37m. Brent crude options aggregate traded volumes were also above normal with Brent at 212km and WTI at 248k yesterday.
  • Brent FEB 24 up 0.1% at 80.98$/bbl
  • WTI JAN 24 up 0.2% at 76.1$/bbl