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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.
OIL OPTIONS
The Brent second month implied volatility has fallen to the lowest since January 2020 after a steady decline in the last couple of months. Brent ATM implied volatility has fallen from just below 40% in early May down to around 27.2% while WTI volatility is down to 28.1%.
- Despite the bullish trend in future prices largely driven by OPEC cuts, the crude option put skews have turned more bearish over the last week with ongoing economic downside risks to global demand.
- The second month Brent 25 delta call put skew has fallen back from a high of around -2.25% on 24 July back to -3.65% today. The WTI second month skew has maintained relatively unchanged in the week at -3.95% today.
- The Brent Dec23 call-put skew is the widest since 28 June out to -4.25% with WTI Dec23 falling to -5.3%.
- Aggregate daily crude traded volumes for Brent and WTI have fallen in the last week as the market awaits a decision from Saudi Arabia as to whether the voluntary production cuts will be extended into September. The daily ICE Brent aggregate volumes are down from 1.23m on 24 July to just 0.81m yesterday.
- Brent OCT 23 down -0.6% at 84.9$/bbl
- WTI SEP 23 down -0.7% at 81.19$/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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