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OIL OPTIONS: Crude Puts Volatilities Rally Faster than Calls

OIL OPTIONS
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The crude option call-put skew has extended the bearish trend with a rally in put volatilities this week faster than calls. The near term WTI bias to the puts is the strongest since December as oversupply risks weigh on crude markets. 

  • The bearish skew is driven by a potential return of Libyan flows and weak China demand, despite recent US stocks draws, the potential for OPEC+ to change the current plan to maintain cuts into Q4 and possible US Fed easing rates.
  • The Brent second month 25 delta call-put spread is today at down to -3.7% from -1.0% on Aug 26 while the WTI second month skew is down to -5.0% from -1.9% late last month.
  • Crude implied volatility continues to rebound with Brent second month up to 29.1% and WTI at 32.8%.
  • Yesterday saw a switch to greater put traded volumes than calls in both Brent and WTI while overall volumes were greater than normal. Daily aggregate Brent futures traded volumes have been above normal in the last couple of days and up at 1.70m yesterday with WTI up at 1.36m.
    • Brent NOV 24 up 0.5% at 73.09$/bbl
    • WTI OCT 24 up 0.5% at 69.53$/bbl

 

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The crude option call-put skew has extended the bearish trend with a rally in put volatilities this week faster than calls. The near term WTI bias to the puts is the strongest since December as oversupply risks weigh on crude markets. 

  • The bearish skew is driven by a potential return of Libyan flows and weak China demand, despite recent US stocks draws, the potential for OPEC+ to change the current plan to maintain cuts into Q4 and possible US Fed easing rates.
  • The Brent second month 25 delta call-put spread is today at down to -3.7% from -1.0% on Aug 26 while the WTI second month skew is down to -5.0% from -1.9% late last month.
  • Crude implied volatility continues to rebound with Brent second month up to 29.1% and WTI at 32.8%.
  • Yesterday saw a switch to greater put traded volumes than calls in both Brent and WTI while overall volumes were greater than normal. Daily aggregate Brent futures traded volumes have been above normal in the last couple of days and up at 1.70m yesterday with WTI up at 1.36m.
    • Brent NOV 24 up 0.5% at 73.09$/bbl
    • WTI OCT 24 up 0.5% at 69.53$/bbl

 

Keep reading...Show less