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Near term Crude Put Skew Reduces Despite Declining Crude Prices

OIL OPTIONS

The near term Brent put volatility skew is still closing despite falling crude prices.

  • Second month call-put skew has closed from around 4% late last week in to 2.6% today. The WTI second month spread is in from around 5.5% to 3.5%.
  • The skew for longer dated contracts is holding with Dec23 WTI at -7.75$ and Brent at -6.7%.
  • High uncertainty over the reaction of Russian output to the EU ban and price cap and future Chinese oil demand are maintaining high implied volatility. Front month Brent ATM vols are currently at about 46% with WTI just over 50%.
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