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Crude Vols Tick Higher Before OPEC Meeting

OIL OPTIONS

Crude volatility ticks higher with market supply uncertainty ahead of the OPEC meeting tomorrow.

  • Brent front month ATM implied volatility is up to 52% from 44% on Sep 23 while WTI is up to 53.8%.
  • The volatility skews remain largely unchanged this week with Dec22 puts still about 1.7% over calls for Brent and 2% over for WTI. The put skew for Dec23 is close to 7%.
    • Brent DEC 22 up 1% at 89.76$/bbl
    • WTI NOV 22 up 0.8% at 84.34$/bbl

Source: Bloomberg

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Crude volatility ticks higher with market supply uncertainty ahead of the OPEC meeting tomorrow.

  • Brent front month ATM implied volatility is up to 52% from 44% on Sep 23 while WTI is up to 53.8%.
  • The volatility skews remain largely unchanged this week with Dec22 puts still about 1.7% over calls for Brent and 2% over for WTI. The put skew for Dec23 is close to 7%.
    • Brent DEC 22 up 1% at 89.76$/bbl
    • WTI NOV 22 up 0.8% at 84.34$/bbl

Source: Bloomberg