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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
Brent second month call-put skew is largely unchanged despite the rally in crude futures and improved demand sentiment this week while implied volatility is drifting lower.
- Crude ATM implied volatility has gradually declined over the last with Brent second month down from nearly 46% on 4 Jan to 42.6% and WTI down from 47.4% to 42.3%.
- The second month Brent call-put skew is hovering around a -3.25% premium to the puts and the WTI second month call-put spread is approximately -3.8%.
- The Brent Dec23 skew is at -4.6% having closed in to around -3.75% earlier this week with support from demand recovery optimism in the second half of this year and potential further Russian supply disruption. The WTI Dec23 skew is around -5.7%.
- The call open positions across all contracts out to Dec 2024 are mostly spread between 90$/bbl and 125$/bbl but with a significant volume also sitting at 150$/bbl. The downside cover is mostly spread from 80$/bbl down to 50$/bbl.
Source: MNI / 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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