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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.
OIL OPTIONS
Crude implied volatility continues to drift lower with no clear market direction as a lack of progress on Middle East ceasefire talks is supporting prices this week to offset lower demand expectations this year and robust global supplies.
- Crude second month ATM implied volatility has seen a steady trend lower since mid October with Brent falling to around 28.7% today and WTI to 30.5%.
- The near term put skews have been holding steady since mid Jan with Brent crude second month 25 delta call-put skew today around -2.55% and the WTI second month 25 delta call-put skew is at -3.15%.
- The crude Dec24 skews have also stabilised after narrowing in late January taking Brent to the least bearish since May 2022. The Brent Dec24 call-put skew is today at -5% while the WTI Dec24 skew is -5.7%.
- The aggregate open interest in ICE Brent options has risen slightly compared to this time last month with calls options at 1.43m and puts at 1.11m lots. The main open put option positions are spread between 50$/bbl to 75$/bbl and the main call volumes are between 85$/bbl and 110$/bbl.
- Crude aggregate traded volumes remain below normal this week with the Brent futures at 0.85k yesterday and the WTI volume at 0.64k. Brent options saw an aggregate traded volume of 104k yesterday with WTI at 101k.
- Brent APR 24 up 0.9% at 79.93$/bbl
- WTI MAR 24 up 0.8% at 74.48$/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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