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Crude Vols Dip After Spiking Earlier in Week

OIL OPTIONS

ATM implied volatility of Brent dips but low liquidity and high market uncertainty are keeping vols elevated above levels from last year.

  • Brent volatilities have fallen back after a rise earlier this week, from nearly 52% back down to 47.5%. WTI vols have fallen back from a peak of 58% on Monday to just under 46%.
  • The put skew is holding near the lowest since Feb as concerns for global economic growth weigh on the oil price. The Brent Dec22 puts are trading 4.5% over calls.

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ATM implied volatility of Brent dips but low liquidity and high market uncertainty are keeping vols elevated above levels from last year.

  • Brent volatilities have fallen back after a rise earlier this week, from nearly 52% back down to 47.5%. WTI vols have fallen back from a peak of 58% on Monday to just under 46%.
  • The put skew is holding near the lowest since Feb as concerns for global economic growth weigh on the oil price. The Brent Dec22 puts are trading 4.5% over calls.

Keep reading...Show less