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Free AccessNear Term Put Skew Widest Since Start of Year
The downside near term crude put skew has turned the most bearish since the start of the year with the spreads falling this week. Yesterday saw a big build in US crude inventories to weigh on crude prices while products demand was weaker.
- The Brent crude second month 25 delta call-put skew is today around -3.1% down from -2.2% last week and as narrow as -1.4% in mid January. The WTI second month 25 delta call-put skew is today at -4.15% from -2.9% last week and -1.6% in Jan.
- The Brent Dec24 skew has however continued to narrow this week to the smallest skew since Jun 2022 but the WTI skew remains slightly more bearish than levels seen earlier in Feb and during Jan. Demand concern from the US is limiting market upside with a recent shift in Fed rate pricing to a higher for longer view. The Brent Dec24 call-put skew is today at -4.6% while the WTI Dec24 skew is -5.7%.
- Crude volatility has edged slightly higher from the lowest since Sep seen earlier this week. Brent second month ATM implied volatility is today at 28.1% and WTI at 30.6%.
- The crude aggregate daily traded volume was slightly above normal yesterday with Brent futures at 1.13m and options at 169k. The WTI futures volume was 0.98m and options at 122k.
- Brent APR 24 down -0.9% at 80.88$/bbl
- WTI MAR 24 down -0.9% at 75.95$/bbl
Source: Bloomberg
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