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OIL OPTIONS: Crude Options Skews Narrow but Maintain Strong Put Bias

OIL OPTIONS
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The near term crude options call-put skews have narrowed slightly in the last couple of days but still hold a strong bias to the puts with ongoing bearish sentiment surrounding oil markets from oversupply risks.  Crude front month futures have seen some support since Sept. 10 from output disruptions in the U.S. Gulf of Mexico and with risk on sentiment ahead of expected Fed rate cuts.

  • The Brent second month 25 delta call-put spread has narrowed from a low of around -5.5% on Sept. 6 to -4.1% while the WTI second month skew has closed from -6.2 to -4.5%.
  • Crude implied volatility has pulled back with Brent second month implied volatility back to 28% from a high of 32.2% on Sept. 10. WTI is back from 36.6% to 31.4% in the same period.
  • High Brent aggregate option traded volumes were seen last week above normal up to 357k but have since fallen back to 167k yesterday. The last couple of days have seen greater puts volumes traded than calls.
    • Brent NOV 24 up 1.4% at 72.96$/bbl
    • WTI OCT 24 up 1.5% at 70$/bbl

 

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The near term crude options call-put skews have narrowed slightly in the last couple of days but still hold a strong bias to the puts with ongoing bearish sentiment surrounding oil markets from oversupply risks.  Crude front month futures have seen some support since Sept. 10 from output disruptions in the U.S. Gulf of Mexico and with risk on sentiment ahead of expected Fed rate cuts.

  • The Brent second month 25 delta call-put spread has narrowed from a low of around -5.5% on Sept. 6 to -4.1% while the WTI second month skew has closed from -6.2 to -4.5%.
  • Crude implied volatility has pulled back with Brent second month implied volatility back to 28% from a high of 32.2% on Sept. 10. WTI is back from 36.6% to 31.4% in the same period.
  • High Brent aggregate option traded volumes were seen last week above normal up to 357k but have since fallen back to 167k yesterday. The last couple of days have seen greater puts volumes traded than calls.
    • Brent NOV 24 up 1.4% at 72.96$/bbl
    • WTI OCT 24 up 1.5% at 70$/bbl

 

Keep reading...Show less