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Near Term Crude Put Skews Strengthens as Geopolitical Risk Eases

OIL OPTIONS
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The near term crude options put skew is strengthening slightly this week and the most bearish since late March as the geopolitical risk premium priced into the futures market has eased.

  • The Brent crude second month 25 delta call-put skew is currently around -1.25% after holding between -0.5% and -1.0% last week. The WTI second month skew is today out to nearly -1.8% from -0.7% on April 26.
  • The crude Dec24 call-put skews have remained stable in recent days as the market assesses the potential market balance in H2 amid OPEC+ output uncertainty and potential for softer demand growth. The US Fed meeting and jobs data this week may help to understand potential US rate cuts expected this year.
  • The Brent Dec24 call-put skew is today at -2.6% and the Dec24 WTI skew is at -3.3%.
  • Implied volatility yesterday fell to the lowest since late March with Brent second month atm implied volatility down at 21.375% and WTI at 24.1%.
  • Aggregate crude option volumes have fallen this week with daily call volumes back in line with put volumes. Brent options volumes were below normal down at 142k yesterday compared to a high of over 450k on April 15.
    • Brent JUL 24 up 0.5% at 87.62$/bbl
    • WTI JUN 24 up 0.5% at 83.03$/bbl

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The near term crude options put skew is strengthening slightly this week and the most bearish since late March as the geopolitical risk premium priced into the futures market has eased.

  • The Brent crude second month 25 delta call-put skew is currently around -1.25% after holding between -0.5% and -1.0% last week. The WTI second month skew is today out to nearly -1.8% from -0.7% on April 26.
  • The crude Dec24 call-put skews have remained stable in recent days as the market assesses the potential market balance in H2 amid OPEC+ output uncertainty and potential for softer demand growth. The US Fed meeting and jobs data this week may help to understand potential US rate cuts expected this year.
  • The Brent Dec24 call-put skew is today at -2.6% and the Dec24 WTI skew is at -3.3%.
  • Implied volatility yesterday fell to the lowest since late March with Brent second month atm implied volatility down at 21.375% and WTI at 24.1%.
  • Aggregate crude option volumes have fallen this week with daily call volumes back in line with put volumes. Brent options volumes were below normal down at 142k yesterday compared to a high of over 450k on April 15.
    • Brent JUL 24 up 0.5% at 87.62$/bbl
    • WTI JUN 24 up 0.5% at 83.03$/bbl

Keep reading...Show less