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Near Term Crude Options Back at Narrow Put Skew

OIL OPTIONS

The near term crude option call-put skews are holding steady after surging back towards parity amid increased supply risks on the back of the conflict in Israel. Calls have traded at a premium for both Brent and WTI markets this week but the markets are back showing a slight put premium today.

  • The Brent second month 25 delta call-put skew is today around -0.67% with the second month WTI skew is at -0.61%. Tight supplies and uncertainty over future Saudi production into next year are weighed against economic driven demand concerns with the US CPI data due later today.
  • The Dec24 put skews have seen swings this month with the Brent 25 delta call-put skew currently at -6.7% and Dec24 WTI skew is at -6.5%.
  • Brent crude second month implied volatility is at 36.95% and WTI at 38.65%.
  • Aggregate crude daily traded volumes increased again yesterday with Brent futures volumes up to 1.27m and options volumes also up to 247k contracts. WTI volumes were yesterday up to 1.16m with options at 0.19k.
    • Brent DEC 23 up 1.2% at 86.86$/bbl
    • WTI NOV 23 up 0.9% at 84.26$/bbl
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