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OIL OPTIONS
The near term crude option call-put skews have closed to near parity this week amid support for the futures market due to conflict in Israel. Both the Brent and WTI spreads moved to a call premium earlier today before falling back to a slight put premium as futures have dipped lower.
- The Brent second month 25 delta call-put skew is now around -0.8% compared to a high of +0.3% earlier today but was trading around -5% last week. The second month WTI skew is at -0.6% having reached a high of +0.6% earlier today.
- The Dec24 put skews have seen swings this month with weak demand and economic growth uncertainty weighed against tight supply concerns and speculation regarding OPEC member cuts into next year. The Brent Dec24 25 delta call-put skew is currently at -7.2% and Dec24 WTI skew is at -6.9%.
- Brent crude second month implied volatility is at 36.5% and WTI at 38.4%.
- Aggregate Brent daily traded volumes dipped yesterday with futures volumes down to 1.07m from over 1.2m in the previous days and options volumes also down to 177k contracts. but WTI volumes were yesterday down at 0.95m with options at 151k.
- Brent DEC 23 down -0.6% at 87.12$/bbl
- WTI NOV 23 down -0.7% at 85.36$/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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