Crude Oil Volatility — WTI & Brent
NYMEX / ICE
⚠ Hormuz disruption risk — record monthly rally
March 30, 2026
WTI SPOT
$100
BRENT SPOT
$113
WTI-BRENT SPREAD
-$13
WTI ATM IV
58%
BRENT ATM IV
54%
STRUCTURE
BACKW.
WTI (NYMEX)
Brent (ICE)
Spread Surface
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WTI 30D ATM IV is
4 pts above
Brent — reflecting geopolitical risk distribution across benchmarks.
DELTA
GAMMA ×1000
VEGA ($/bbl)
THETA ($/day)
ATM TERM STRUCTURE — WTI vs BRENT
SURFACE METRIC
IV Surface
Delta
Gamma
Vega
GREEKS TENOR
1M
3M
6M
1Y
18M
2Y
OPTION TYPE
Call
Put
PARAMETERS
WTI spot ($/bbl)
$100
Brent spot ($/bbl)
$113
WTI ATM IV
58%
Brent ATM IV
54%
Call skew (geo risk)
+4%
Smile convexity
6%
Backwardation slope
-5%
Risk-free rate
4.4%
PRESETS
↺ Current (Mar 30, 2026)
🔥 Full Hormuz closure
🕊 De-escalation / ceasefire
📉 Supply glut (2025 lows)
🛢 OPEC+ surprise cut