The near term crude options put skew has narrowed almost to parity as rising geopolitical risks and expectation of a market deficit in Q2 have driven futures through technical resistance levels to the highest since October.

• The Brent crude second month 25 delta call-put skew has narrowed from -1.75% mid last week up to just -0.3%. The WTI second month skew is today at -0.05% compared to -2.5% on Mar. 22.
• The Brent Dec24 call-put skews also continue to narrow. The skew has seen a gradual trend since December amid rising bullish market sentiment. The Brent Dec24 put skew is the least bearish since May 2022 at -2.65% today compared to around -4.5% in early March. WTI Dec24 skew has narrowed to -3.95%.
• The Brent second month ATM implied volatility has rallied slightly from the lowest since Dec 2019 seen in late March. Brent is today up to at 23.4% and WTI to 25.15%.
• Brent crude aggregate traded futures volumes were yesterday low at 0.66m due to the European holiday while the options volume was 131k supported by call traded volumes. WTI volumes were in line with normal with 0.88m of futures and 118k of options traded on the day.
  • Brent JUN 24 up 1.7% at 88.89$/bbl
  • WTI MAY 24 up 1.9% at 85.26$/bbl

Source: Bloomberg