BRENT’s front-month futures price fell -$10.73 (-9.5%) on July 5. The decline came on a day with little new information about production or consumption but traders seemed to anticipate a higher probability of an economic slowdown. In percentage terms, the decline was the third-largest since July 2020 and 4.1 standard deviations away from average since 1990:
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* The fact China’s top policymaking group held a meeting dedicated to coronavirus control and its impact on daily life and the economy, and chose to publicise it as the top item on all state-controlled websites, suggests the country’s leaders are deeply concerned about the extent and impact of the latest outbreaks.
BRENT’s six-month calendar spread has become highly volatile as traders try to assess whether or not sanctions will disrupt Russia’s exports and how much impact that will have on global oil supplies. In recent weeks, the spread in dollars per barrel has seen 5-10 standard deviation movements on multiple days, which is generating large P&L swings and margin calls:
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