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Near Term Crude Options Call Skew Reflects Market Focus on Upside

OIL OPTIONS

OIL OPTIONS – The second month crude options call-put skew has switched into a call skew this week for the first time since early November as market focus remains on upside risks and tight supply expectations for Q2.

  • The Brent crude second month 25 delta call-put skew is today trading around +0.45% from about -2.5% on March 22. The WTI second month skew has followed a similar bullish move up from -2.7% to +0.6% during the same period.
  • The narrowing trend in the Brent Dec24 call-put skew has stalled so far in April with today back at -3.15% from as narrow as -2.65% late last week. The WTI Dec24 skew however is maintaining the move at around -3.9% today.
  • The Brent second month ATM implied volatility has rallied since crude futures broke through technical resistance levels to the upside. Brent is today up to at 23.9% and WTI to 25.7%.
  • Crude aggregate traded volumes were yesterday holding above normal with Brent futures at 1.11m on the day. Brent options traded volumes were at 209k with call volumes again greater than put volumes. WTI volumes were 0.90m of futures and 169k of options traded on the day.
    • Brent JUN 24 up 0% at 89.36$/bbl
    • WTI MAY 24 down 0% at 85.42$/bbl

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OIL OPTIONS – The second month crude options call-put skew has switched into a call skew this week for the first time since early November as market focus remains on upside risks and tight supply expectations for Q2.

  • The Brent crude second month 25 delta call-put skew is today trading around +0.45% from about -2.5% on March 22. The WTI second month skew has followed a similar bullish move up from -2.7% to +0.6% during the same period.
  • The narrowing trend in the Brent Dec24 call-put skew has stalled so far in April with today back at -3.15% from as narrow as -2.65% late last week. The WTI Dec24 skew however is maintaining the move at around -3.9% today.
  • The Brent second month ATM implied volatility has rallied since crude futures broke through technical resistance levels to the upside. Brent is today up to at 23.9% and WTI to 25.7%.
  • Crude aggregate traded volumes were yesterday holding above normal with Brent futures at 1.11m on the day. Brent options traded volumes were at 209k with call volumes again greater than put volumes. WTI volumes were 0.90m of futures and 169k of options traded on the day.
    • Brent JUN 24 up 0% at 89.36$/bbl
    • WTI MAY 24 down 0% at 85.42$/bbl

Keep reading...Show less