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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
OIL OPTIONS
Brent second month call-put skew has remained largely unchanged in the last two weeks despite the increased optimism for oil demand and rally in crude futures. Downside puts cover for Brent is at approximately a 3.8% premium to the calls.
- Crude ATM implied volatility decreased in the early part of the month but has steadied this week. Brent and WTI second month implied volatility is just slightly higher today at around 42%.
- The second month Brent call-put skew was around -2.9% at the end of December. Put volatility increased in the first week of the year with the market still concerned for the impact of a global economic slowdown and uncertainty over Chinese consumption on oil demand growth. The WTI second month call-put spread is approximately -3.8%.
- The Brent Dec23 skew has drifted back from -3.85% on 11 Jan to -5.3% and the WTI Dec23 skew is down to -6.8%. The options market is skewed to protect against downside moves despite optimism for a demand recovery in the second half of this year and the potential further Russian supply disruption.
- Brent MAR 23 down -0.5% at 84.52$/bbl
- WTI FEB 23 down -0.7% at 78.94$/bbl
Source: Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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