Bloomberg News

Oil Options Volatility Little Changed as Futures Retreat

April 19, 2012

Oil options volatility was little changed as the underlying futures fell after more Americans than expected filed for unemployment benefits and sales of existing homes declined.

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 25.62 as of 3 p.m. on the New York Mercantile Exchange, versus 25.74 yesterday.

Crude oil for May delivery fell 40 cents to settle at $102.27 a barrel on the New York Mercantile Exchange. Crude since April 4 has traded in a range of $100.68 to $105.07.

“The market is dilly-dallying here on lack of news to move it much,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “And you’ve got a tight range again.”

Crude for June delivery declined 40 cents to $102.72. May futures expire tomorrow.

The most-active oil options in electronic trading today were June $90 puts, which gained 1 cent to 25 cents a barrel at 2:44 p.m. with 3,202 contracts trading. June $95 puts were the second-most active with 2,159 lots changing hands. They rose 2 cents to 72 cents.

Puts accounted for 59 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.

Bearish bets accounted for 59 percent of the 162,482 trades in the previous session. December $70 puts were the most actively traded, with 32,572 lots changing hands. They were up 9 cents to 82 cents a barrel. The next-most active options, June $95 puts, rose 14 cents to 70 cents on volume of 8,840.

Open interest was highest for December $80 puts with 42,653 contracts. Next were December $150 calls with 38,483 lots and June $140 calls with 34,644.

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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