Recent analysis powered by OptionMetrics data reveals how oil options markets are continuing to price in meaningful geopolitical risk, even following the US-Iran ceasefire.
By extracting implied probabilities from Brent crude options, OptionMetrics’ models show that while markets quickly repriced toward a lower central scenario, the right tail of the distribution remains elevated—indicating a persistent ~15–20% probability of renewed escalation.
As Garrett DeSimone, Head of Quantitative Research at OptionMetrics, notes, this reflects the market’s ability to capture multiple potential outcomes—not just the most likely path, but also extreme scenarios that carry significant impact.