Crude Puts Skews Unchanged After OPEC+ Cut Extension

The near term call-put skews remain relatively unchanged following the expected OPEC+ extension to voluntary production cuts into Q2. Crude futures are showing no clear direction with the cuts already priced into markets and with global demand concerns limiting upside moves.

• The crude second month 25 delta call-put skew turned slightly less bearish late last week despite the widening trend seen since mid Jan. Brent is today around -3.3% and the WTI second month skew is at -3.8%.
• The Brent Dec24 call-put skew is holding relatively steady at -4.65% while the WTI Dec24 skew is at -5.5% today.
• The decline in market volatility since October continues with WTI implied volatility yesterday falling to the lowest since Sep 2023. WTI second month implied volatility is today at 27.7% while Brent volatility is 26.2%.
• Crude aggregate traded volumes were slightly higher than normal yesterday with Brent at 1.13m and WTI at 0.87m. Brent options volumes were steady at 173k with WTI options volumes of 104k.
  • Brent MAY 24 down -0.2% at 82.6$/bbl
  • WTI APR 24 down -0.4% at 78.42$/bbl

Source: Bloomberg