Near Term WTI Crude Put Skew Least Bearish Since March

The WTI crude second month 25 delta put skew has risen to the least bearish since March with a trend higher in place since mid May. The options market is reflecting the tight market expectations for H2 amid OPEC+ supply cuts and current risks from tensions in the Black Sea.

• The second month WTI 25 delta call-put skew has risen from below -4% last week up to as narrow as 2.75% yesterday before easing back to -3.25% today. The Brent second month call-put skew has closed in to around -3% this week but remains below a high of -2.25% in late July.
• The Brent Dec23 call-put skew is up to -3.85% with WTI Dec23 at -4.7% after a slight recovery higher today.
• The Brent second month implied volatility has edged higher to 27.2% today after trending lower since late June to the lowest since January 2020 seen earlier this week. WTI ATM second month implied volatility is today down at 28.5%.
• Aggregate daily crude traded volumes for Brent and WTI have increased with yesterday at the highest since 24 July from low levels at the start of the week.
  • Brent OCT 23 down -0.2% at 87.36$/bbl
  • WTI SEP 23 down -0.4% at 84.07$/bbl