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OIL OPTIONS: Crude Put Skew Narrows Amid Near Term Market Support

OIL OPTIONS
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The near term crude options call-put spreads continue to narrow this week although maintain a skew to the puts. The overall market sentiment remains bearish amid China economic weakness and OPEC spare capacity although near term downside has been limited by the expected Fed rate cut today and supply disruption in Libya, the US and Kazakhstan.

  • The Brent second month 25 delta call-put spread has narrowed from a low of around -5.5% on Sept. 6 to -2.45% today. The WTI second month skew has closed from -6.2% to -4.6% in the same period and after the Oct24 option expiry yesterday.
  • Crude implied volatility has steadied with Brent second month around 29% and WTI at 32.7% today.
  • Brent aggregate option traded volumes have averaged below normal in the last week although rose yesterday to 246k driven by an increase in call option volumes. WTI option volumes also rose back above normal yesterday to 199k.
    • Brent NOV 24 down 0.4% at 73.41$/bbl
    • WTI OCT 24 down 0.3% at 70.96$/bbl
    • WTI NOV 24 down 0.3% at 69.72$/bbl

 

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The near term crude options call-put spreads continue to narrow this week although maintain a skew to the puts. The overall market sentiment remains bearish amid China economic weakness and OPEC spare capacity although near term downside has been limited by the expected Fed rate cut today and supply disruption in Libya, the US and Kazakhstan.

  • The Brent second month 25 delta call-put spread has narrowed from a low of around -5.5% on Sept. 6 to -2.45% today. The WTI second month skew has closed from -6.2% to -4.6% in the same period and after the Oct24 option expiry yesterday.
  • Crude implied volatility has steadied with Brent second month around 29% and WTI at 32.7% today.
  • Brent aggregate option traded volumes have averaged below normal in the last week although rose yesterday to 246k driven by an increase in call option volumes. WTI option volumes also rose back above normal yesterday to 199k.
    • Brent NOV 24 down 0.4% at 73.41$/bbl
    • WTI OCT 24 down 0.3% at 70.96$/bbl
    • WTI NOV 24 down 0.3% at 69.72$/bbl

 

Keep reading...Show less