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Crude Put Skew Narrows Slightly but Futures Pull Back

OIL OPTIONS

OIL OPTIONS – Crude option skews are turning slightly less bearish this week despite a pull back in crude futures today from a Brent peak of 84.8$/bbl on Jan 29. Weak manufacturing activity in China and a stronger US dollar are weighing on crude markets today ahead of the latest EIA data and US Fed interest rate decision.

  • Crude second month ATM implied volatility has picked up from a low in late January after front month futures traded through the top of the range from earlier in the year. Brent implied vol is up to 30.7% and WTI up to 32.4% but still below levels seen during Q4 2023.
  • Brent crude second month 25 delta call-put skew has today narrowed to around -2.05% from -2.65% last week. The WTI second month 25 delta call-put skew is in to -2.65% from about -3.45% on Jan 24.
  • The Dec24 call-put skews are also slightly less bearish again after widening briefly last week. The Brent skew is today at -5.3% and the WTI Dec24 skew is at -6.05%.
  • Crude aggregate traded volumes increased yesterday with Brent futures up to 1.29m and options up to 266k. WTI volumes also increase with futures at 0.81m and options at 146k yesterday.
    • Brent APR 24 down -1.2% at 81.53$/bbl
    • WTI MAR 24 down -1.3% at 76.84$/bbl
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OIL OPTIONS – Crude option skews are turning slightly less bearish this week despite a pull back in crude futures today from a Brent peak of 84.8$/bbl on Jan 29. Weak manufacturing activity in China and a stronger US dollar are weighing on crude markets today ahead of the latest EIA data and US Fed interest rate decision.

  • Crude second month ATM implied volatility has picked up from a low in late January after front month futures traded through the top of the range from earlier in the year. Brent implied vol is up to 30.7% and WTI up to 32.4% but still below levels seen during Q4 2023.
  • Brent crude second month 25 delta call-put skew has today narrowed to around -2.05% from -2.65% last week. The WTI second month 25 delta call-put skew is in to -2.65% from about -3.45% on Jan 24.
  • The Dec24 call-put skews are also slightly less bearish again after widening briefly last week. The Brent skew is today at -5.3% and the WTI Dec24 skew is at -6.05%.
  • Crude aggregate traded volumes increased yesterday with Brent futures up to 1.29m and options up to 266k. WTI volumes also increase with futures at 0.81m and options at 146k yesterday.
    • Brent APR 24 down -1.2% at 81.53$/bbl
    • WTI MAR 24 down -1.3% at 76.84$/bbl