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Crude Put Skew Least Bearish Since March


The crude option put skew turns the least bearish since early March after the latest OPEC meeting gives support the crude market.

  • Brent second month 25 delta call-put skew has risen from around -4.75% late last week up to -3.4% after the announced additional voluntary production cuts from Saudi Arabia in July. The cuts are to stabilise the markets and suggest a reduced downside to prices despite ongoing risks to global demand.
  • The WTI second month call-put skew is up from about -5.1% last week to -3.9%.
  • The longer dated skews have also followed the move with the adjusted OPEC quotas for 2024 designed to reflect how much each state can produce with many members under producing compared to current targets. The Brent Dec23 call-put skew has risen to around -4.3% and WTI to -5.3%.
  • Second month ATM implied volatility has pulled back with Brent back to just below 35% and WTI at 36%.
    • Brent AUG 23 up 1.9% at 77.54$/bbl
    • WTI JUL 23 up 2% at 73.16$/bbl

Source: Bloomberg

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