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Crude Volatility Edges Higher but Still Near June Low

OIL OPTIONS

Brent crude implied volatility has picked up slightly in recent days but remains near the lowest since 2019 as futures prices hold onto gains seen during June.

  • Brent at the month second month volatility is back up to 22.2% ahead of the August option contract expiry today. WTI implied volatility is up to 23.1% from a low of 22.4% last week.
  • Despite the bullish sentiment in the futures market and tighter supply expectations for Q3, the crude options are still maintaining the skew to the downside. The second month Brent 25 delta call-put skew is today at -1.6% and WTI at -2.0%.
  • The Dec24 call-put skews are also relatively unchanged with Brent at -2.95% and WTI at -3.75% amid global demand growth uncertainty.
  • Aggregate crude traded volumes are below normal with Brent at 0.92m yesterday and WTI at 0.69m. Brent options volumes were however above normal at 199k driven by higher call volumes than puts.
    • Brent AUG 24 down 0.1% at 85.96$/bbl
    • WTI AUG 24 up 0% at 81.65$/bbl
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