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WTI ATM Vol Falls to Lowest Since August

OIL OPTIONS

WTI ATM implied volatility falls to the lowest since August with futures rangebound between about 85$/bbl and 92$/bbl.

  • The crude market has today drifted lower with economic slowdown concerns offset against tight physical supplies and the potential for future missing Russian barrels. The changes to China’s covid policies against the backdrop of rising new cases is contributing to the uncertainty and lack of market direction.
  • ATM implied volatility is down from 55.6% at the start of October to 45.1% at the close on Friday.
  • The second month 25 delta skew is holding between -1.5% and -2% since mid last week. The Dec23 skew is also relatively unchanged today around -8%.
    • Brent JAN 23 down -1.1% at 94.89$/bbl
    • WTI DEC 22 down -1.4% at 87.73$/bbl
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