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Crude Put Skew Reduces After OPEC Cut Announcement


The crude options put skew is reducing following the bearish move in mid March supported by the OPEC+ production cuts from next month and more stable financial markets. The Brent second month 25 delta call-put skew is up from around -8.3% on 24 March to -4.2% and the WTI second month skew is up from -10% to -5.1%.

  • The Brent Dec23 skew is also closing with some analysts expecting a tighter balance and higher prices in H2 2023 due to the supply reduction and higher demand from a recovery in China. Global demand concerns and robust Russian exports despite sanctions and the production cuts in March are adding downside pressure to oil markets. The Brent Dec23 skew is up from -6.6% on 24 March to -5.2% but WTI is still down at 7.2%.
  • Second month ATM implied volatility is down at 37.8% for Brent and 38.5% for WTI.
    • Brent JUN 23 up 6% at 84.71$/bbl
    • WTI MAY 23 up 6.3% at 80.42$/bbl

Source: Bloomberg

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