Bloomberg News

Oil Options Volatility Climbs as Crude Rises to Nine-Month High

February 21, 2012

Feb. 21 (Bloomberg) -- Oil options volatility rose as crude climbed to the highest level in more than nine months after euro-area finance ministers agreed on a second bailout for Greece and Iran said it stopped selling oil to France and Britain.

Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 30.2 as of 2 p.m. in New York, up from 28.8 on Feb. 17.

Crude for March delivery gained $2.52 to $105.76 a barrel on the New York Mercantile Exchange. Oil rose as much as 2.7 percent to $106.07, the highest intraday level since May 5.

The most active options in electronic trading today were April $100 puts. They slipped 66 cents to 99 cents a barrel with 2,684 contracts trading as of 2:29 p.m. in New York. Next were April $92 puts, which dropped 16 cents to 20 cents a barrel on 1,593 lots. A contract covers 1,000 barrels of crude. Puts were 51 percent of the volume.

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.

Calls accounted for 60 percent of the volume Feb. 17. May $130 calls were the most actively traded options, with 4,962 lots changing hands. They rose 7 cents to 72 cents a barrel. The next-most active options, May $120 calls, climbed 9 cents to $1.19 a barrel on volume of 3,965 lots.

Open interest was highest for December $80 puts with 42,346 contracts. Next were December $150 calls with 38,157 lots and December $100 calls with 34,550.

--Editors: David Marino, Charlotte Porter

To contact the reporter on this story: Ksenia Galouchko in New York at kgalouchko1@bloomberg.net

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


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