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OIL OPTIONS: Crude Near Term Puts Skew Continues to Narrow

OIL OPTIONS
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The near term crude options call-put spreads continue to narrow with the Brent second month skew back near to levels seen in late August. Bearish market sentiment has eased slightly with support today from the US Fed 50bp rate cut last week, potential economic support measures in China, and with rising tensions in the Middle East.

  • The Brent second month 25 delta call-put spread has narrowed from a low of around -5.3% on Sept. 6 to -1.3% today. The WTI second month skew has closed from -6.2% to -3.25% in the same period.
  • Crude implied volatility has been trending lower since reaching a peak on Sept. 10 although is slightly higher today with Brent second month around 27.7% and WTI at 30.9%.
  • Brent aggregate option traded volumes have been slightly below normal over the last week with an average of 200k for Brent and 129k for WTI last week. Call volumes have slightly outweighed put volumes in recent trading.
    • Brent NOV 24 up 0.3% at 74.68$/bbl
    • WTI NOV 24 up 0.3% at 71.23$/bbl

 

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The near term crude options call-put spreads continue to narrow with the Brent second month skew back near to levels seen in late August. Bearish market sentiment has eased slightly with support today from the US Fed 50bp rate cut last week, potential economic support measures in China, and with rising tensions in the Middle East.

  • The Brent second month 25 delta call-put spread has narrowed from a low of around -5.3% on Sept. 6 to -1.3% today. The WTI second month skew has closed from -6.2% to -3.25% in the same period.
  • Crude implied volatility has been trending lower since reaching a peak on Sept. 10 although is slightly higher today with Brent second month around 27.7% and WTI at 30.9%.
  • Brent aggregate option traded volumes have been slightly below normal over the last week with an average of 200k for Brent and 129k for WTI last week. Call volumes have slightly outweighed put volumes in recent trading.
    • Brent NOV 24 up 0.3% at 74.68$/bbl
    • WTI NOV 24 up 0.3% at 71.23$/bbl

 

Keep reading...Show less