Free Trial

WTI Options Volumes Significantly Weighted to Cover Upside Moves


WTI crude open options positions show significantly more cover to the upside than downside with risks to Russian output and potential for a recovery in Chinese demand.

  • Total aggregate WTI call open interest on both Nymex and ICE is currently 1.92m and put aggregate open interest is 768k contracts.
  • ICE WTI Jan 85$/bbl strike calls which expire next week on Dec 15 traded over 10k times yesterday.
  • The main upside call positions across all contracts out to Dec 2024 are at 90$/bbl and between 100$/bbl and 120$/bbl. The downside cover is mostly from 70$/bbl down to 55$/bbl.
  • The second month WTI skew drifted lower yesterday back to about 5.5% puts over calls. The skew had closed to about 3.5% on Dec 6 earlier this week. ATM implied volatility for the second month contract continues to edge higher up to nearly 49%.

Source: MNI / Bloomberg

To read the full story



MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.