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OIL OPTIONS
OIL OPTIONS – The crude call-put skews are turning less bearish so far in March with tighter supplies due to the extended OPEC+ cuts into Q2 and amid ongoing geopolitical risks.
- The crude second month 25 delta call-put skew has narrowed so far this month to reverse some of the move seen in late Jan and Feb. Brent is today around -2.8% and the WTI second month skew is at -3.3%.
- The Brent Dec24 call-put skew has been narrowing since December up to the least bearish since May 2022 at -4.1% today and the WTI Dec24 skew has narrowed to -5.2% today.
- Crude implied volatility remains low with no clear direction in front month futures prices amid competing upside risks and downside global demand concerns. WTI second month implied volatility is today at 27.9% while Brent volatility is 26.25%.
- Crude aggregate traded volumes were slightly higher than normal yesterday with Brent at 1.07m and WTI at 0.86m. Brent options volumes were steady at 159k with WTI options volumes of 111k.
- Brent MAY 24 up 0.9% at 82.93$/bbl
- WTI APR 24 up 0.8% at 78.57$/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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