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OIL OPTIONS
The second month crude options call-put skew has turned more bearish and implied volatility increased as crude futures have fallen this week. Brent crude is trading down through technical support levels and lowest since the OPEC production cut announcement at the start of the month.
- The Brent second month 25 delta call-put skew is back down at -6.6% from around -4.8% on 17 April. The skew is the most bearish since the banking sector turmoil in mid March. The WTI skew is also lower at -6.5% from -5.4% with more support for WTI than Brent due to recent inventories draws at Cushing.
- The Dec23 skews are holding relatively steady with many analysts suggesting a supply deficit in the second half of this year but also highlighting the downside risks from the global economy. The Brent Dec23 skew is at -6.1% and WTI is at -7.1%.
- ATM implied volatility has recovered from a low of around 32% last week with Brent second month volatility up to 35.9% and WTI up to 36.7%.
- Brent JUN 23 down -2% at 81.45$/bbl
- WTI JUN 23 down -2.1% at 77.56$/bbl
- WTI-Brent down -0.02$/bbl at -3.9$/bbl
Source: Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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