Bloomberg News

Oil Volatility Declines as Futures Follow U.S. Equities Higher

December 06, 2011

Dec. 6 (Bloomberg) -- Oil options volatility fell as the underlying futures closed higher after equities rebounded on a report the European Union was in talks to double the size of its rescue fund.

Implied volatility for at-the-money options expiring in January, a measure of expected swings in futures and a gauge of options prices, fell to 33.9 at 5:45 p.m. in New York, from 34.5 yesterday. Crude rose 0.3 percent after stocks advanced on a Financial Times report of the EU talks. Prices had retreated earlier as Standard & Poor’s said it may cut European ratings.

The most active options contracts in electronic trading today were August $85 puts, with 4,600 lots changing hands as of 5:15 p.m. in New York. The options fell 21 cents to $5.93 a barrel. January $90 puts traded 4,404 lots, falling 8 cents to 13 cents. One contract covers 1,000 barrels of crude.

Puts accounted for 51 percent of the volume.

Oil for January delivery rose 29 cents to settle at $101.28 a barrel on the New York Mercantile Exchange.

June $120 calls were the most active options traded in the previous session, with 7,700 lots changing hands. They rose 11 cents to $3.47 a barrel. The next-most active options, June $85 puts, declined 21 cents to $4.84 on volume of 6,100.

Calls accounted for 55 percent of 104,522 lots traded.

Open interest was highest for December 2012 $150 calls with 38,023 contracts. Next were December 2012 $80 puts with 35,453 contracts, and December 2012 $100 calls with 32,357.

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.

--With assistance from Mark Shenk in New York. Editors: David Marino, Dan Stets

To contact the reporter on this story: Gene Laverty in Calgary at glaverty@bloomberg.net

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


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