Bloomberg News

Oil Options Volatility Little Changed as Futures Hold

April 16, 2012

Oil options volatility was little changed as the underlying futures settled 10 cents higher after fluctuating for much of the day.

Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 27.1 as of 3:30 p.m. on the New York Mercantile Exchange, up from 26.8 percent on April 13.

“We’re kind of range bound again and we’re not seeing much movement,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

Crude oil for May delivery settled at $102.93 a barrel on the Nymex. Crude since April 4 has traded between $100.68 and $104.24 a barrel. Crude for June delivery rose 5 cents to $103.37. May futures expire April 20.

The most-active oil options in electronic trading today were May $100 puts, which fell 15 cents to 4 cents a barrel at 3:28 p.m. with 4,438 contracts trading. May $103 calls were the second-most active with 3,050 lots changing hands. They lost 31 cents to 50 cents a barrel.

Puts accounted for 51 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 bets accounted for 54 percent of the 102,679 trades in the previous session. May $100 puts were the most actively traded, with 6,359 lots changing hands. They were unchanged at 19 cents a barrel. The next-most active options, May $102 puts, rose 4 cents to 57 cents on volume of 6,148.

Open interest was highest for December $80 puts with 46,811 contracts. Next were December $150 calls with 38,982 lots and June $140 calls with 34,401.

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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