Crude Options Maintain Call Skew Amid Middle East Risks

The near term crude options call skew has regained ground after narrowing slightly back closer to parity earlier this week. The stronger call skew follows the surge in front month futures yesterday driven by a stronger risk premium from potential for an escalation in Middle East conflict.

• Crude aggregate traded options continue to show greater call volumes than puts volumes although overall levels have reduced from the high levels seen at the end of last week. Brent volumes were back at 294k yesterday compared to a high of on Apr. 5 while WTI volumes were at 185k yesterday.
• The Brent crude second month 25 delta call-put skew is today trading around +2.4% having reached a within day high of +3.4% on April 5. The WTI second month skew is today at about +2.75%.
• The crude Dec24 call-put skews have resumed the narrowing trend in place since December after a pause in earlier April. The Brent skew narrowed to about -1.9% yesterday and the WTI Dec24 skew is -2.9%.
• Crude futures are today slightly softer today with a stronger USD and building US crude inventories helping to limit upside moves. Oil prices remain unchanged in reaction to the latest OPEC monthly oil report showing little change from last month with 2024 oil demand growth still forecast at 2.2mbpd in 2024.
  • Brent JUN 24 down 0.2% at 90.29$/bbl
  • WTI MAY 24 down 0.4% at 85.9$/bbl