Bloomberg News

Oil Volatility Declines as Futures Slip for First Day in Four

December 07, 2011

Dec. 7 (Bloomberg) -- Oil options volatility fell as the underlying futures slipped for the first time in four days.

Implied volatility for at-the-money options expiring in January, a measure of expected swings in futures and a gauge of options prices, dropped to 33.55 at 5 p.m. in New York from 33.9 yesterday. Futures dropped 0.8 percent after the government said crude stockpiles rose 1.34 million barrels to 336.1 million last week and imports reached a 10-week high.

The most active options contracts in electronic trading today were January $95 puts, with 2,319 lots changing hands as of 4:04 p.m. in New York. The options fell 2 cents to 39 cents a barrel. January $90 puts traded 2,220 lots, falling 1 cent to 9 cents. One contract covers 1,000 barrels of crude.

Oil for January delivery fell 79 cents to settle at $100.49 a barrel on the New York Mercantile Exchange.

December 2014 $175 calls were the most active options traded in the previous session, with 4,000 lots changing hands. They rose 7 cents to $1.75 a barrel. The next-most active options, January $105 calls, declined 9 cents to 78 cents on volume of 3,110.

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 32,305.

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.

--Editors: Richard Stubbe, Margot Habiby

To contact the reporter on this story: Paul Burkhardt in New York at pburkhardt@bloomberg.net;

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


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