Bloomberg News

Crude-Oil Volatility Declines as IEA Trims Demand Forecast

October 12, 2011

Oct. 12 (Bloomberg) -- Oil options volatility fell as the underlying futures fluctuated after the International Energy Agency cut its 2012 global oil-demand forecast.

Implied volatility for at-the-money options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 41.3 percent at noon in New York, down from 41.7 percent yesterday.

Oil for November delivery fell 16 cents, or 0.2 percent, to $85.65 a barrel at 12:24 p.m. on the New York Mercantile Exchange. Oil has dropped 6.3 percent this year.

The most active options contract in electronic trading today was December $110 calls, with 2,462 lots changing hands as of 12:26 p.m. The options were unchanged at 11 cents. December $65 puts, the next-most-active contract, declined 1 cent to 37 cents on volume of 1,541. One contract covers 1,000 barrels of crude.

The volume of calls outnumbered puts by about 52 percent to 48 percent.

The exchange distributes real-time data for electronic trading and releases information on floor trading, where the bulk of options trading occurs, the next business day.

December 2012 $80 puts were the most-active options traded in the previous session, with 8,825 lots changing hands. They fell 41 cents to $9.67 a barrel. The next-most-active options, December 2011 $80 puts, declined 32 cents to $2.41 a barrel on volume of 8,747.

Open interest was highest for December $100 calls with 51,887 contracts. Next were December $50 puts with 50,214 and December $120 calls with 42,111.

--With assistance from Margot Habiby in Dallas. Editors: Charlotte Porter, Bill Banker

To contact the reporter on this story: Justin Doom in New York at jdoom1@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net


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