Brent benchmarks are showing uneven normalisation after the US-Iran deal, with Societe Generale tracking spot, volatility and option skew against early-2026 stress markers. The bank measures spot via the 4th Brent future, while volatility is proxied by 3‑month implied volatility on Brent futures. Skew is captured through the ratio of 25% delta call option volatility to 25% delta put option volatility, allowing a like-for-like comparison across market segments.
For its stress gauge, the level at the start of 2026 is set at 0%, and the peak reached during 2026 is defined as 100%, with the focus on how far each metric has retraced from that high-water mark. The chronology differs by parameter: maximum stress was recorded first in volatility, on 12‑March‑2026, underscoring that the path back towards pre-stress conditions is not uniform across spot, implied volatility and the 25% delta skew measure.
Oil Market Reaction and Uneven Normalisation
With the US-Iran deal now seemingly in place, we are seeing oil markets calming down from the high stress levels of early 2026. However, the path to normalization is uneven across different parts of the market. This divergence between spot prices, volatility, and option skew presents specific opportunities for traders in the weeks ahead.
We have seen volatility collapse since its peak on March 12th. For instance, the CBOE Crude Oil Volatility Index (OVX) has fallen from levels above 50 to a much calmer reading around 28, its lowest point in over a year. This rapid decline suggests that the easiest profits from simply selling volatility have likely already been captured.
The spot price itself, tracked by forward futures, has also come down but appears to be finding a floor near $75 per barrel for Brent. This stability comes as Iran has already increased exports by an estimated 500,000 barrels per day, suggesting much of the new supply is now priced into the market. We believe the significant downward price move is largely behind us for now.
Options Skew, Trading Strategies, and OPEC+ Watch
The most interesting signal comes from the options skew, which measures the price of bullish options versus bearish ones. Despite the overall drop in volatility, demand for puts that protect against a price fall remains relatively strong compared to calls. This indicates that while the market is calm on the surface, an undercurrent of concern about downside risk persists.
Given this setup, we feel that strategies that take advantage of relatively cheap calls are attractive. For instance, traders could fund the purchase of downside protection (puts) by selling upside calls, creating a collar. This strategy aligns with the market’s subtle fear of a price drop while recognizing that overall volatility is now low.
Looking forward, the market’s attention will shift to how OPEC+ responds to the increased Iranian supply. Historically, such as during the 2014-2016 supply glut, the willingness of producer groups to cut output is the key variable that determines the price floor. Any hesitation from the group to make room for Iranian barrels could quickly reintroduce downward pressure.
