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OIL OPTIONS
The downside Brent crude options put skew has narrowed to the least bearish since May 13 and volatility has eased back down as the market assesses the impact of the OPEC output decision on June 2.
- Crude futures have edged back up in recent days after the sharp drop to a Brent front month low of $76.76/bbl on June 4.
- The Brent crude second month 25 delta call-put skew has narrowed from -4.4% on June 3 to -2.1% today. WTI second month skew has closed from -4.85% to -2.9% today.
- The Dec24 call-put skews have also narrowed with Brent to -2.65% from -3.55% at the start of the week and WTI up to -3.6% from -4.3%.
- Brent second month implied volatility has eased back to 23.75% have a surge higher ahead of and immediately following the OPEC meeting on June 2. WTI volatility is also back down to around 25%.
- Aggregate crude traded volumes have eased down from high levels earlier in this week but remain above normal. Brent futures were 1.11m yesterday and options at 123k compared to highs of 1.57m and 351k earlier this week.
- Brent AUG 24 down 0.2% at 79.7$/bbl
- WTI JUL 24 down 0.2% at 75.37$/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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