Oil: Normalization paths diverge after US-Iran deal – Societe Generale

Societe Generale analysts Jitesh Kumar and Jeremy Sellem note that Brent Oil prices are normalizing following the US-Iran deal, but highlight differing adjustments across spot, volatility and option skew. They focus on the 4th Brent future, 3‑month implied volatility and 25% delta call/put skew, benchmarking moves versus early‑2026 stress levels to assess how far each parameter has retraced.

Brent metrics show uneven normalization

"The much anticipated US-Iran deal seems to be in place, and oil prices are starting to normalize."

"However, the normalization is very different across various parameters like spot, volatility and option skew."

"For spot prices, we look at the evolution of the 4th Brent future. For volatility, we compare the path of 3 month implied volatility of Brent futures, and for skew, we monitor the ratio of 25% delta call option volatility to the 25% delta put option volatility. The starting level at the beginning of 2026 is marked 0%, and the highest point during 2026 is marked 100%, and we evaluate how much each of these parameters has retraced from this highest stress point."

"We find that the maximum stress levels were achieved in volatility first (12-March-2026),..."

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(This article was created with the help of an Artificial Intelligence tool and reviewed by an editor.)