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OIL OPTIONS: Crude Put Skew Most Bearish Since Early October

OIL OPTIONS
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The crude options call-put skew has turned the most bearish since early October as the futures market fell yesterday in reaction to optimism for a possible Israel-Hezbollah ceasefire agreement.

  • Uncertainty still surrounds the future OPEC+ plans to increase supply next year with many analysts expecting a further output hike delay to be decided at the Dec. 1 minister meeting.
  • The Brent second month contract has seen a shift in bias towards the puts with the call-put spread falling to -1.3% today compared to a skew to the calls at +8.5% in early November. The WTI second month skew is down to -2.25% having shifted to a small put bias on Nov. 14.
  • Crude implied volatility has stabilised after a drop in H1 November. Brent second month is at 29.2% and WTI to 32.0%.
  • Aggregate Brent crude futures and options traded volumes have edged higher this week up to 1.2m and 260k respectively with the increase in options volumes driven by higher put volumes relatively to recent amounts.
  • Brent JAN 25 up 1% at 73.76$/bbl
  • WTI JAN 25 up 1% at 69.66$/bbl

 

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The crude options call-put skew has turned the most bearish since early October as the futures market fell yesterday in reaction to optimism for a possible Israel-Hezbollah ceasefire agreement.

  • Uncertainty still surrounds the future OPEC+ plans to increase supply next year with many analysts expecting a further output hike delay to be decided at the Dec. 1 minister meeting.
  • The Brent second month contract has seen a shift in bias towards the puts with the call-put spread falling to -1.3% today compared to a skew to the calls at +8.5% in early November. The WTI second month skew is down to -2.25% having shifted to a small put bias on Nov. 14.
  • Crude implied volatility has stabilised after a drop in H1 November. Brent second month is at 29.2% and WTI to 32.0%.
  • Aggregate Brent crude futures and options traded volumes have edged higher this week up to 1.2m and 260k respectively with the increase in options volumes driven by higher put volumes relatively to recent amounts.
  • Brent JAN 25 up 1% at 73.76$/bbl
  • WTI JAN 25 up 1% at 69.66$/bbl

 

Keep reading...Show less