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The Week Before Options Expiry Sees Brent Move Up Toward Options Exposure Maximums

Minneapolis, MN | September 26, 2023 | By: Steve Sinos, Blue Lacy Advisors, LLC

$100 looks like a real possibility at this point, with dealers as forced buyers through $95 for November and $100 gaining exposure for December.

Three Things

  1. Dealers continue to be forced buyers, picking up length as gamma exposure rises with prices approaching Max GEX of $95 for the November contract.

  2. This continues the stepwise upward march of Brent prices since bottoming in June. Each expiry has tested Max GEX, only to see that resistance broken after the roll. $100 is already in sight for December, the second-highest exposure level behind $95 and rising.

  3. This pattern has come with a lopsided focus on call open interest, possibly setting up a volatile downside correction from a purely mechanical perspective.

Crude Continues Stepwise Upward Move with Another Monthly Roll

Last week’s price action suggested crude prices will continue to test the top of the Net GEX range, making this the fourth consecutive month that we see a stepwise move upward in technical ranges on expiry. In June, we saw Brent recover from 2023’s lows to break above $75. July followed with $83. Then came $87.50 at the end of August. November Brent is now prompt, and options expiry sees max Net GEX at $95, and futures are trading at $94 as of writing. Looking ahead, December already looks like it is setting up to see $100 tested if/when we break the November $95 resistance. While $95 is currently the Max GEX for December, the $100 strike is picking up volume, and, with rising prices, its gamma/deltas are also rising.

*This summary is based off September 17, 2023

A free excerpt, such as this one, will be published on a delay periodically. This is an excerpt from Blue Lacy Advisors, LLC's (“Blue Lacy”) weekly commentary for clients, which is based on a collection of models, research/analytical subscriptions, and bespoke work. Each week Blue Lacy explores how market drivers included in these analyses might affect or be used in clients' planning, budgeting, and execution of strategy. Call Blue Lacy to make an appointment today!


Meet the Author!

Phone: +1-832-413-3124

Steve has spent his career in strategy, risk, trading, and investment. He works with investors to source investments in opportunistic or high growth sectors, with particular interest in early-stage companies solving clearly defined problems.

He is currently a Managing Partner with Blue Lacy Advisors LLC, giving management teams and investors confidence in their decision making by supporting strategic planning and execution, risk management, commodity trading, and market analysis.

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