Crude Puts Skew Holds Near Least Bearish Since March

The near-term crude option call-put skew is holding near the least bearish since early March after trending higher during May and June with support from OPEC production cuts in H2 2023.

• The second month Brent call put skew is up from a low of -7.3% in late April to as high as -3.4% earlier this week. The WTI second month 25 delta call-put skew is following the same trend up from -8.3% in early May to around -4.2% today.
• The trend higher in the crude Dec23 call-put skews has stalled at the start of July with Brent dipping slightly from around -3.8% to -4.2%. The spread is still well above levels as low as -6.4 in April. The WTI Dec23 skew has fallen from -5.0% to -5.3% in the last couple of days.
• The ATM implied volatility remains low compared to levels seen in the last year with economic concerns offsetting tighter supplies. Brent second month volatility is at 33.2% and WTI is at 34.9% today.
  • Brent SEP 23 down -1% at 75.52$/bbl
  • WTI AUG 23 up 1.1% at 70.58$/bbl (vs 3 July close)

Source: Bloomberg