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OIL OPTIONS: Crude Call Skew Surges to Most Bullish Since Early 2022

OIL OPTIONS
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A surge in crude call options volatilities continues with near term call-put skew rising to the most bullish since early 2022 amid concern for potential Israel strikes on Iran’s oil facilities.

  • The Brent second month 25 delta call-put spread has surged to +7.3% today compared to a recent high of about 3.9% in mid August. The WTI second month skew has also risen to +10.7% from a low of -5.4% just over a week ago.
  • Crude implied volatility has also surged to the highest since March 2023 with Brent second month volatility up to 46.1% and WTI to 52.2% today compared to levels as low as 20% in July.
  • Brent call options volumes are already at the highest weekly total since April with one day still to go. Aggregate Brent options volumes averaged 471k over Oct. 1-3, of which 341k was call options. WTI volumes have averaged 387k in the same period, including 263k of calls.
  • Crude aggregate futures volumes also remain above normal with Brent at 1.89m yesterday and WTI at 1.34m.
    • Brent DEC 24 up 1.6% at 78.88$/bbl
    • WTI NOV 24 up 1.7% at 74.94$/bbl

 

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A surge in crude call options volatilities continues with near term call-put skew rising to the most bullish since early 2022 amid concern for potential Israel strikes on Iran’s oil facilities.

  • The Brent second month 25 delta call-put spread has surged to +7.3% today compared to a recent high of about 3.9% in mid August. The WTI second month skew has also risen to +10.7% from a low of -5.4% just over a week ago.
  • Crude implied volatility has also surged to the highest since March 2023 with Brent second month volatility up to 46.1% and WTI to 52.2% today compared to levels as low as 20% in July.
  • Brent call options volumes are already at the highest weekly total since April with one day still to go. Aggregate Brent options volumes averaged 471k over Oct. 1-3, of which 341k was call options. WTI volumes have averaged 387k in the same period, including 263k of calls.
  • Crude aggregate futures volumes also remain above normal with Brent at 1.89m yesterday and WTI at 1.34m.
    • Brent DEC 24 up 1.6% at 78.88$/bbl
    • WTI NOV 24 up 1.7% at 74.94$/bbl

 

Keep reading...Show less