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OIL OPTIONS: Crude Call Option Volatilities Continue to Rally

OIL OPTIONS
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Crude call options volatilities have surged higher again taking the skew over puts to the highest since April 2022 as the market looks to cover the upside risk of supply disruption from potential strikes on Iran’s oil facilities.

  • The Brent second month 25 delta call-put spread reach around +5.75% yesterday while the WTI second month skew is up around +8.4%.
  • Crude implied volatility continues to increase to the highest since March 2023. Brent second month volatility is today up to 42.65% compared to just 26.5% on Sept. 20 while WTI is up to 48.2% from 30% on Sept. 24.
  • Brent options volumes have ease slightly from the high levels seen during the first week of October but remain above normal. Aggregate Brent options volumes were yesterday down to 272k compared to a high of 504k on Oct. 4 and WTI volumes were down to 236k yesterday. Call options are trading in around twice the volume of put volumes.
    • Brent DEC 24 down 0.9% at 78.7$/bbl
    • WTI NOV 24 down 0.9% at 75.17$/bbl

 

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Crude call options volatilities have surged higher again taking the skew over puts to the highest since April 2022 as the market looks to cover the upside risk of supply disruption from potential strikes on Iran’s oil facilities.

  • The Brent second month 25 delta call-put spread reach around +5.75% yesterday while the WTI second month skew is up around +8.4%.
  • Crude implied volatility continues to increase to the highest since March 2023. Brent second month volatility is today up to 42.65% compared to just 26.5% on Sept. 20 while WTI is up to 48.2% from 30% on Sept. 24.
  • Brent options volumes have ease slightly from the high levels seen during the first week of October but remain above normal. Aggregate Brent options volumes were yesterday down to 272k compared to a high of 504k on Oct. 4 and WTI volumes were down to 236k yesterday. Call options are trading in around twice the volume of put volumes.
    • Brent DEC 24 down 0.9% at 78.7$/bbl
    • WTI NOV 24 down 0.9% at 75.17$/bbl

 

Keep reading...Show less