Near Term Crude Put Skew Narrows as Futures Surge

The near term crude option put skews have narrowed as futures have surged amid concerns for the potential impact on oil supplies due to tensions in the Middle East. Front month Brent futures are currently up over 3$/bbl from the previous close while the second month call-put skew narrowed to almost parity earlier today.

• The Brent second month 25 delta call-put skew is now around -1.6% compared to -4.75% late on Friday last week. The second month WTI skew has surged to the narrowest since Nov 2022 at around -1.2% highlighting the market concern for upside price risks.
• The Dec24 put skews have only narrowed very slightly from last week with the Brent Dec24 25 delta call-put skew and Dec24 WTI skew both around -7.3%.
• Brent crude second month implied volatility is at 34.5% and WTI at 37.0% compared to lows for near 25% in mid Sep.
• Aggregate Brent traded volumes fell back on Friday after seeing higher futures and options volumes on 4 and 5 Oct. Aggregate Brent futures volumes were just above normal at 1.23m but WTI volumes were still fairly high at 1.11m.
  • Brent DEC 23 up 3.5% at 87.58$/bbl
  • WTI NOV 23 up 3.7% at 85.88$/bbl