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Near Term Crude Options Hold Skew to the Calls

OIL OPTIONS

The near term crude options are maintaining the skew to the calls as futures continue to gain amid concern for an escalation of the Israel-Hamas conflict.

  • The Brent second month 25 delta call-put skew is today trading just slightly stronger up at +5.25% after switching from a skew to the puts late last week. The second month WTI skew is today at +4.1% but below a high of +6.15% from 13 Oct.
  • The Dec24 Brent 25 delta call-put skew is today at -5.9% and the Dec24 WTI skew up at -6.2%.
  • Daily aggregate traded options volumes for crude remain strong with Brent yesterday at 271k contracts although down from 386k on 13 Oct while WTI is at 147k. Crude futures volumes have however dipped in the last couple of days with Brent down to 0.78m and WTI at 0.67m.
    • Brent DEC 23 up 2.4% at 92.06$/bbl
    • WTI NOV 23 up 2.6% at 88.95$/bbl
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