May 13, 2022 10:11 GMT
Crude options continue move to cover downside risk
- The front Brent crude options volatilty skew continues to move in favour of the puts as no EU agreement yet reached on Russia oil ban. ATM implied volatility is hovering around 54%
- The 25 delta puts for Jul22 Brent options are now trading 5% over 25 delta calls. In mid-April calls were trading 8% higher than puts before reaching parity at the start of this week.
- Signs the market is starting to cover downside risk are also showing further out with Aug22 puts 3% over calls and Dec22 puts also now at a 0.7% premium.