Crude Options Skew Recovers from Most Bearish Since Start of Year

Crude option skews yesterday reached the most bearish since the start of the year following the decline in crude futures amid optimism for a Gaza ceasefire.

• Brent crude second month 25 delta call-put skew widened to around -3.0% yesterday from -2.3% earlier this week but has recovered slightly today back to -2.65% today. The WTI second month 25 delta call-put skew fell to around -3.95% yesterday before edging back up to -3.55%.
• The Brent Dec24 call-put skews is this week holding around -5.3% and the WTI Dec24 skew at -6.05%.
• Crude second month ATM implied volatility is steady after increasing in late January. Brent implied vol is around 30.5% and WTI at 32.7%.
• Crude aggregate traded volumes increased yesterday with Brent futures up to the highest since Nov 30 at 1.43m while options volumes rose to 169k following a dip lower the previous day. WTI futures volumes increased to 1.29m and options to 185k yesterday.
• Brent APR 24 up 0.7% at 79.28$/bbl
• WTI MAR 24 up 0.8% at 74.39$/bbl