Crude Volatility Near Lowest Since 2019 as Futures Hold Gains

Brent crude implied volatility is holding near the lowest since 2019 as futures prices steady following the rally seen in the first half of June.

• Brent at the month second month volatility is down to 20.85% although WTI vols have edged slightly higher in the last couple of days back to 22.5% from a low of 21.3% on June 18.
• Crude options are still holding a put skew although the WTI skew has edged slightly narrower in the last week amid tighter crude balance expectation over the summer.
• The WTI crude second month 25 delta call-put skew is today at -2.5% compared to around -3% on June14. The Brent second month skew is relatively unchanged at -1.75%.
• The Dec24 call-put skews are however drifting slightly wider with ongoing global demand growth concerns especially in US and China. US Fed optimism remains sluggish with interest rates likely to hold steady and plans for just one rate cut in 2024 while recent data from China has been mixed.
• Aggregate crude traded volumes have been low in recent days due to the US holiday with Brent at just 0.97m yesterday and WTI at 1.0m. Brent options volumes have averaged near normal at 179k this week with higher call volumes than puts.
  • Brent AUG 24 down 0.1% at 85.65$/bbl
  • WTI AUG 24 down 0.1% at 81.24$/bbl

Source: Bloomberg