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Crude Puts Turn More Bearish As Futures Decline Again

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The crude call-put skew is falling again with the latest decline in futures prices as risk sentiment deteriorates amid wider concerns about the stability of the banking sector.

  • The Brent second month crude 25 delta call-put skew had recovered from a low of -10.26% on 20 Mar to around -6% but is today back to -8.4%. The second month 25 delta WTI skew is at -9.1% after falling as low as -10.4% on 20 March.
  • The Brent Dec23 skew has gradually fallen back from a high of -3.4% at the start of March down to -6.1% as global demand concerns and resilient Russian output take over from Chinese demand optimism. The WTI Dec23 skew is down to -7.1%
  • Second month Brent implied volatility is up to 45.4% and WTI at 47.87%.
    • Brent MAY 23 down -3.6% at 73.17$/bbl
    • WTI MAY 23 down -3.9% at 67.22$/bbl


Source: Bloomberg

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