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Near Term Brent Call Volatilities Back at Parity with Puts

OIL OPTIONS
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The near term crude option call skews have pulled back to near parity with the puts, reflecting the reducing upside risk currently pricing into the market.

  • The 25 delta implied volatility skew briefly turned back in favour of the puts late yesterday but call volatilities have regained ground today as futures prices rallied.
  • Conflict in the Middle East has so far had no impact on physical oil supplies from the region while global demand growth uncertainty and spare OPEC+ capacity are also helping to limit upside pressures.
  • The Brent crude second month 25 delta call-put skew is currently around +0.05% and the WTI second month skew is about -0.3%.
  • The crude Dec24 call-put skews have widened since mid April with Brent back to -2.6% from as narrow as -1.4% on April 16. The Dec24 WTI skew is back at -3.1% from -2.3% on April 15.
    • Brent JUN 24 up 0.8% at 87.66$/bbl
    • WTI JUN 24 up 0.7% at 82.47$/bbl
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The near term crude option call skews have pulled back to near parity with the puts, reflecting the reducing upside risk currently pricing into the market.

  • The 25 delta implied volatility skew briefly turned back in favour of the puts late yesterday but call volatilities have regained ground today as futures prices rallied.
  • Conflict in the Middle East has so far had no impact on physical oil supplies from the region while global demand growth uncertainty and spare OPEC+ capacity are also helping to limit upside pressures.
  • The Brent crude second month 25 delta call-put skew is currently around +0.05% and the WTI second month skew is about -0.3%.
  • The crude Dec24 call-put skews have widened since mid April with Brent back to -2.6% from as narrow as -1.4% on April 16. The Dec24 WTI skew is back at -3.1% from -2.3% on April 15.
    • Brent JUN 24 up 0.8% at 87.66$/bbl
    • WTI JUN 24 up 0.7% at 82.47$/bbl