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Crude Second Month Skew most Bearish Since Mid August

OIL OPTIONS

Crude second month implied volatility skew has fallen to the lowest since mid August as the crude oil market declines with ongoing discussions of a higher than expected Russian oil price cap.

  • EU talks have so far not reached an agreement on the proposed oil price cap details with members having differing objectives. Talks will continue again tomorrow.
  • The Brent second month call-put skew has fallen to around -5% and the WTI second month skew is down to nearly -6%.
  • The Dec23 Brent skew has closed in to around -6.5%.

Source: Bloomberg

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Crude second month implied volatility skew has fallen to the lowest since mid August as the crude oil market declines with ongoing discussions of a higher than expected Russian oil price cap.

  • EU talks have so far not reached an agreement on the proposed oil price cap details with members having differing objectives. Talks will continue again tomorrow.
  • The Brent second month call-put skew has fallen to around -5% and the WTI second month skew is down to nearly -6%.
  • The Dec23 Brent skew has closed in to around -6.5%.

Source: Bloomberg