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OIL OPTIONS
The near term crude option put skews have resumed the more bearish trend seen since mid September as the futures have seen a correction lower in the last week driven by the USD strength and demand concerns.
- The Brent second month 25 delta call-put skew has fallen to -3.3% from -2.4% on 27 Sep and a high of -0.9% on 18 Sep. The second month WTI skew is down from -1.9% last week to -3.25%.
- The Dec24 skew has turned slightly more bearish after the trend higher seen in late September. The Brent Dec24 25 delta call-put skew is currently around -6.6% compared to -7.65% in mid September. The Dec24 WTI skew is today around -6.9%.
- Brent crude second month implied volatility is hovering around 29.3% and WTI is at 31.4%.
- Brent aggregate futures trading volumes were yesterday in line with the September daily average at 1.13m contracts but WTI were below last month at just 0.77m. Aggregate traded options contracts for both Brent and WTI were just below 150k contracts yesterday.
- Brent DEC 23 down -0.1% at 90.6$/bbl
- WTI NOV 23 down 0% at 88.78$/bbl
Source: Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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