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Near Term Crude Calls Surge to Premium Over Puts


The near term crude option skews have surged into a premium for the calls reflecting concern for potential upside driven by the risk of escalation of the Israel-Hamas conflict to a broader conflagration.

  • The Brent second month 25 delta call-put skew is today trading up at +5.05% compared to as low as -5% in early October. The second month WTI skew is also up to around +5.5% after holding just in negative territory for most of last week.
  • The Dec24 put skews have also narrowed over the last week with the Brent 25 delta call-put skew up from -7.4% on 5 Oct up to -6.1% and the Dec24 WTI skew up from -7.7% on 4 Oct up to -6.2%.
  • Brent crude second month ATM implied volatility is today at 41.2% and WTI at 42.9%.
  • Aggregate crude daily traded volumes were on Friday roughly in line with the average seen so far in Oct with Brent at 1.23m and WTI at 1.05m. Daily aggregate traded options volumes however were still strong with Brent up at 386k contracts and WTI at 293k.
    • Brent DEC 23 up 0.4% at 91.27$/bbl
    • WTI NOV 23 up 0.6% at 88.18$/bbl

Source: Bloomberg

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