Near Term Crude Put Skew Turning More Bearish

The second month crude options call-put skew is drifting lower as the futures pull back with on demand concerns following the OPEC production cut boost. The skew is the most bearish since the middle of March when the US banking turmoil was in full focus. Brent crude is trading down through technical support levels and back to levels seen before the OPEC production cut announcement at the start of the month.

• The Brent second month 25 delta call-put skew is back down at -7.3% from around -4.8% on 17 April. The WTI skew is also lower at -7.8% from -4.4% on 14 April. WTI has recently seen more support than Brent as the WTI-Brent closes due to low Cushing stocks and the inclusion of WTI Midland in the Dated Brent benchmark from June deliveries onwards.
• The Dec23 skews continue to holding relatively steady throughout April with many analysts suggesting a supply deficit in the second half of this year but also highlighting the downside risks from the global economy. The Brent Dec23 skew is at -6.2% and WTI is at -7.5%.
• ATM implied volatility has recovered from a low of around 32% earlier in April with Brent second month volatility up to 38.0% and WTI up to 38.5%.
  • Brent JUN 23 up 0.2% at 77.85$/bbl
  • WTI JUN 23 up 0.1% at 74.38$/bbl
  • WTI-Brent down -0.17$/bbl at -3.51$/bbl

Source: Bloomberg