Bloomberg News

Oil Options Volatility Steady as Crude Rises on Economic Data

March 30, 2012

Oil options volatility was little changed as the underlying futures rose after reports showed U.S. consumer sentiment and spending increased and President Barack Obama cleared the way for sanctions targeting Iran.

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 24.98 percent as of 3:25 p.m. on the New York Mercantile Exchange versus 24.99 percent yesterday.

Crude futures advanced 24 cents to settle at $103.02 a barrel on the Nymex.

The most-active options in electronic trading today were May $100 puts, which fell 9 cents to $1.17 a barrel at 4:08 p.m. with 3,803 contracts trading. May $110 calls were the second- most active with 2,582 lots changing hands. They rose 1 cent to 35 cents a barrel.

Puts accounted for 52 percent of electronic trading volume. One contract covers 1,000 barrels of crude.

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.

Bullish options accounted for 52 percent of the 170,715 trades yesterday. May $92 puts were the most actively traded, with 9,096 lots changing hands as they rose 7 cents to 17 cents a barrel. The next-most active options, May $120 calls, declined 3 cents to 7 cents on volume of 8,167.

Open interest was highest for December $80 puts with 45,662 contracts. Next were December $150 calls with 38,578 lots and December $100 calls with 34,927.

To contact the reporter on this story: Gene Laverty in Calgary at glaverty@bloomberg.net

To contact the editor responsible for this story: Bill Banker at bbanker@bloomberg.net


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