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Near Term Crude Option Skews Steady as Dec 24 Narrows Further

OIL OPTIONS

The near term crude option skews are holding steady after narrowing during Dec and early Jan as futures edge towards the higher end of the range seen so far this year. Crude is supported by ongoing Houthi threats on vessels in the Red Sea, the slow recovery of Dakota production from cold weather disruption and an attack on Russian oil infrastructure by Ukraine and despite the resumption of Libyan production.

  • Brent crude second month 25 delta call-put skew is today around -1.95% while the WTI second month 25 delta call-put skew is around -2.8%.
  • The Brent Dec24 crude option call-put skews continue to narrow with Brent up to -4.7% and the WTI spread is at -5.5%.
  • Brent aggregate option traded volumes were on Friday down slightly to 135k with WTI down to 73k. Brent futures traded volumes also dipped on Friday with Brent down to 0.875m and WTI to 0.77m.
    • Brent MAR 24 up 1.4% at 79.64$/bbl
    • WTI MAR 24 up 1.6% at 74.41$/bbl
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