Bloomberg News

Crude Options Volatility Little Changed as Futures Hold Steady

March 15, 2012

Crude oil options volatility was steady as underlying futures were little changed after touching the lowest intraday level since Feb. 17.

Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, was 26.15 percent as of 4 p.m. in New York, up from 26.11 percent yesterday.

“We broke out of the range we’ve been in,” said Ray Carbone, president of Paramount Options Inc. in New York.

Crude for April delivery fell 32 cents to settle at $105.11 a barrel on the New York Mercantile Exchange. The May contract declined 30 cents to $105.65.

From Feb. 21 through yesterday, the front-month contract traded in a range of $104.26 to $110.55. Futures touched $103.78 today after reports that President Barack Obama and U.K. Prime Minister David Cameron had discussed a release from the U.S. Strategic Petroleum Reserve to stem rising pump prices.

White House Press Secretary Jay Carney said no such agreement was reached though the two leaders did discuss energy prices. Futures have risen 6.4 percent this year on concern that Iran’s development of a nuclear program would result in supply disruptions and higher prices.

The most-active options in electronic trading today were April $105 puts, with 4,452 lots changing hands as of 4:22 p.m. They fell 50 cents to 12 cents a barrel. April $105 calls, the second-most active options, declined 82 cents to 11 cents with 3,957 lots trading. One contract covers 1,000 barrels of crude.

Puts accounted for 55 percent of electronic trading volume.

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.

Previous Session

Bearish options accounted for 53 percent of the 125,158 trades from the previous session. May $140 calls were the most actively traded, with 6,670 lots changing hands as they fell 4 cents to 12 cents a barrel. The next-most-active options, June $70 puts, rose 1 cent to 6 cents on volume of 6,311.

Open interest was highest for December $80 puts with 46,051 contracts. Next were December $150 calls with 38,632 lots and December $100 calls with 34,926.

To contact the reporter on this story: Barbara J Powell in Dallas at bpowell4@bloomberg.net

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


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