Crude Put Skew Holds Steady Despite Crude Rally

Despite the rally of nearly 7% in front month crude futures so far in July the near term crude call-put skew has remained largely unchanged since the start of the month. The maintaining skew suggests an ongoing concern for global demand growth amid the potential for further US Fed rate tightening despite the futures strength driven by the tighter supplies from Saudi Arabia and Russia.

• The second month Brent 25 delta call put skew has hovered between about -3.3% and -4.0% this month and currently at -3.7%. The WTI second month skew is also holding steady at around -4.2% today.
• The trend higher in the Dec23 call-put skews has also stalled this month after seeing a steady rise since April. The Brent Dec23 skew is today at -4.1% and WTI at -5.2%.
• The ATM implied volatility continues to drift lower with Brent second month volatility down to 30.9% and WTI down to 32.0% today.
  • Brent SEP 23 up 0.9% at 80.13$/bbl
  • WTI AUG 23 up 1.2% at 75.72$/bbl