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OIL OPTIONS: Crude Volatility Holds Strong as Bearish Skew Trend Stalls

OIL OPTIONS
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Crude implied volatility is holding onto gains seen since late August amid market uncertainty over both supply and demand and with front month futures prices bouncing in a $3/bbl range so far this week. Brent second month implied volatility is today at 33.8% and WTI at 29.9%.

  • Prices are reacting to headlines as the market weighs key drivers including US and China demand, OPEC supply and Libyan output disruption.
  • The bearish move in the crude option call-put skew has stalled after falling to the strongest bias to the puts since December as oversupply risks weigh on crude markets despite the OPEC production hike delay.
  • The Brent second month 25 delta call-put spread has rebounded to -4.0% from a low of -5.3% on Sept. 6 while the WTI second month skew is back up to -5.0% from a low of -6.0% last week.
  • Brent aggregate option traded volumes saw near equal put and call volumes yesterday with both total options and futures volumes holding near normal levels.
    • Brent NOV 24 down 0.7% at 71.33$/bbl
    • WTI OCT 24 down 0.6% at 68.27$/bbl

 

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Crude implied volatility is holding onto gains seen since late August amid market uncertainty over both supply and demand and with front month futures prices bouncing in a $3/bbl range so far this week. Brent second month implied volatility is today at 33.8% and WTI at 29.9%.

  • Prices are reacting to headlines as the market weighs key drivers including US and China demand, OPEC supply and Libyan output disruption.
  • The bearish move in the crude option call-put skew has stalled after falling to the strongest bias to the puts since December as oversupply risks weigh on crude markets despite the OPEC production hike delay.
  • The Brent second month 25 delta call-put spread has rebounded to -4.0% from a low of -5.3% on Sept. 6 while the WTI second month skew is back up to -5.0% from a low of -6.0% last week.
  • Brent aggregate option traded volumes saw near equal put and call volumes yesterday with both total options and futures volumes holding near normal levels.
    • Brent NOV 24 down 0.7% at 71.33$/bbl
    • WTI OCT 24 down 0.6% at 68.27$/bbl

 

Keep reading...Show less