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OIL OPTIONS: Crude Put Skew Narrows as Futures Edge Higher

OIL OPTIONS
BulletEnergy BulletsCommodities

The crude options skew in favour of the puts has narrowed slightly so far this week as front month futures have regained ground back to levels seen in late January.

  • Heightened tensions between Israel and Hamas are providing some support as the market weighs the impact of US tariffs and risks of sanctions tightening supplies.
  • The second month WTI call-put skew is today trading at the narrowest since the start of the month at around -1.05% ahead of the Mar25 contract expiry on Feb. 14. The spread reached a low of nearly -3% on Feb. 6.
  • The upcoming WTI expiry shows 22k of open call exposures at the $75/bbl strike and 15k of calls and nearly 26k of puts at the $70/bbl strike.
  • The Brent second month 25 delta call-put volatility skew has also narrowed to -0.9% today.
  • Second month implied volatility has stabilised after drifting lower in early February. Brent is at 24.8% and WTI at 26.65%.
    • Brent APR 25 up 1% at 76.6$/bbl
    • WTI MAR 25 up 0.9% at 72.96$/bbl

 

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The crude options skew in favour of the puts has narrowed slightly so far this week as front month futures have regained ground back to levels seen in late January.

  • Heightened tensions between Israel and Hamas are providing some support as the market weighs the impact of US tariffs and risks of sanctions tightening supplies.
  • The second month WTI call-put skew is today trading at the narrowest since the start of the month at around -1.05% ahead of the Mar25 contract expiry on Feb. 14. The spread reached a low of nearly -3% on Feb. 6.
  • The upcoming WTI expiry shows 22k of open call exposures at the $75/bbl strike and 15k of calls and nearly 26k of puts at the $70/bbl strike.
  • The Brent second month 25 delta call-put volatility skew has also narrowed to -0.9% today.
  • Second month implied volatility has stabilised after drifting lower in early February. Brent is at 24.8% and WTI at 26.65%.
    • Brent APR 25 up 1% at 76.6$/bbl
    • WTI MAR 25 up 0.9% at 72.96$/bbl

 

Keep reading...Show less