Bloomberg News

Oil Volatility Declines After Futures Increase Most in a Week

December 09, 2011

Dec. 9 (Bloomberg) -- Oil options volatility fell as underlying futures rose the most in a week after a report showed higher confidence among U.S. consumers.

Implied volatility for at-the-money options expiring in January, a measure of expected swings in futures and a gauge of options prices, declined to 35.28 at 4:30 p.m. in New York from 36.42 yesterday. Futures gained 1.1 percent after the Thomson Reuters/University of Michigan preliminary index of consumer sentiment increased to 67.7 in December from 64.1 last month.

The most active options contracts in electronic trading today were January $90 puts, with 2,484 lots changing hands as of 4:52 p.m. in New York. The options fell 12 cents to 10 cents a barrel. January $95 puts traded 1,594 lots, dropping 46 cents to 36 cents. One contract covers 1,000 barrels of crude.

Oil for January delivery rose $1.07 to settle at $99.41 a barrel on the New York Mercantile Exchange. It was the biggest gain since Nov. 29.

January $90 puts were the most active options traded in the previous session, with 8,358 lots changing hands. They rose 13 cents to 22 cents a barrel. The next-most active options, February $135 calls, declined 2 cents to 18 cents on volume of 5,370 contracts.

Open interest was highest for December 2012 $150 calls with 38,023 contracts. Next were December 2012 $80 puts with 35,454 contracts and December 2012 $100 calls with 32,464.

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: Bill Banker, Richard Stubbe

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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