Near Term Crude Put Skew Most Bearish Since May

The near-term crude option put skew is the most bearish this month as economic demand concerns weigh on the oil market despite potential support in the second half of this year from China stimulus measures and OPEC production cuts. The risk of further central bank tightening due to persistent inflation is adding downside pressure to futures.

• Brent second month 25 delta call-put skew has fallen from around -3.9% earlier this week down to the lowest since 30 May at -5.05%. The WTI second month call-put skew is down from a high of -4.5% on 8 June to around -5.3%.
• The Brent Dec23 skew is however gradually edging higher up to -4.3% from a low of -6% in May while WTI is more stable this week at around to -5.5% today.
• ATM implied volatility has moved back higher with second month Brent up from a low of below 32% last week to 34.9% and WTI up from 32.8% to 36.8%.
  • Brent AUG 23 down -1.2% at 73.24$/bbl
  • WTI AUG 23 down -1.4% at 68.54$/bbl

Source: Bloomberg