Crude Volatility Higher as Front Put Skew Edges More Bearish

Crude oil ATM implied volatility is ticking back up as the market assesses the demand uncertainty from the US and the supply risks from the upcoming OPEC+ meeting.

• Brent second month implied volatility is up to 36.9% today from a low of around 33.5% a week ago while WTI has also risen up to 37.4%.
• The Brent second month 25 delta call-put skew is turning slightly more bearish as US recession fears weigh on the futures prices. The skew is down to around -5.3% from a high of -4.4% mid last week. The WTI second month skew is also down from -4.9% to -5.9%.
• The longer dated skews remain relatively unchanged in the last week with some support from concern for tighter supplies in H2 2023 due to OPEC cuts and a China recovery, although the pace of future demand growth remains unclear. The Brent Dec23 call-put skew is trading around -5.2% and WTI at -6.1%.
• Brent JUL 23 down -1.9% at 75.6$/bbl
• WTI JUL 23 down -1.8% at 71.39$/bbl