September 11, 2023 11:49 GMT
Dec24 Crude Option Put Skew Most Bearish Since April
The near term crude option put skews are holding steady today but longer term spreads continue to turn more bearish amid ongoing concern for future oil demand growth and uncertainty over OPEC+ supply targets into next year.
- Both the second month Brent and WTI 25 delta call-put skews are holding up around -2.33% today.
- The Dec24 25 delta call-put skews are extending the trend lower today down to the most bearish since mid April. The Dec24 Brent call-put skew is down to around -7.7% today from around -7.1% at the start of this month, while the Dec24 WTI skew is similarly down to around -7.9%.
- Brent crude second month implied volatility is edging up to 27.1% with WTI up to 27.3%. Trading volumes ended last week back up towards the average seen over the previous 30 days after dipping lower on 7 Sep.
- Brent NOV 23 down -0.3% at 90.4$/bbl
- WTI OCT 23 down -0.6% at 86.99$/bbl
- Brent NOV 23-DEC 23 down -0.05$/bbl at 0.57$/bbl
- Brent DEC 23-DEC 24 down -0.18$/bbl at 7.04$/bbl
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