Bloomberg News

Oil Volatility Rises as Futures Decline Most Since September

December 14, 2011

Dec. 14 (Bloomberg) -- Oil options volatility rose as underlying futures fell as much as 5.1 percent after the Organization of Petroleum Exporting Countries raised its output ceiling and Europe struggled to contain the debt crisis.

Implied volatility for at-the-money options expiring in January, a measure of expected swings in futures and a gauge of options prices, increased to 38.12 at 2 p.m. in New York from 34.95 yesterday. Futures sank after OPEC decided on an output target of 30 million barrels a day.

The most active options contracts in electronic trading today were January $90 puts, with 6,391 lots changing hands as of 2 p.m. in New York. The options rose 2 cents to 5 cents a barrel. January $95 puts traded 4,037 lots, increasing 69 cents to 79 cents. One contract covers 1,000 barrels of crude.

Oil for January delivery was down $5.03, or 5 percent, to $95.11 a barrel at 2:01 p.m. on the New York Mercantile Exchange. The intraday low was $95.02.

June $70 puts were the most active options traded in the previous session, with 10,296 lots changing hands. They dropped 28 cents to $1.51 a barrel. The next most-active options, June $80 puts, fell 51 cents to $3.05 on volume of 10,258 contracts.

Open interest was highest for December 2012 $150 calls with 38,023 contracts. Next were December 2012 $80 puts with 35,804 contracts and December 2012 $100 calls with 32,816.

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

--Editors: Richard Stubbe, David Marino

To contact the reporter on this story: Mark Shenk in New York at mshenk1@bloomberg.net

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


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