Bloomberg News

Oil Options Volatility Rises as Futures Fall on Elections

May 10, 2012

Oil options volatility fell to a five-day low as underlying futures were little changed a second straight 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 26.9 percent at 3:25 p.m. on the New York Mercantile Exchange, down from 27.4 percent yesterday. Volatility had risen as high as 28.17 percent on May 8 after prices dropped $9 over five sessions.

“For prices to move sharply lower and extend the rise in volatility, we need catalysts,” Harry Tchilinguirian, head of commodity markets strategy at BNP Paribas SA in London, said in an e-mailed report today. “The inventory and supply side fundamentals that bear down on prices in the near term are by now largely discounted.”

Crude oil for June delivery rose 27 cents to settle at $97.08 a barrel. Prices fell 20 cents yesterday.

The most-active oil options in electronic trading today were June $101 calls, which fell 7 cents to 19 cents a barrel at 3:34 p.m. with 2,976 lots trading. June $100 calls were the second-most active options with 2,403 lots changing hands as they fell 13 cents to 30 cents.

Calls Trading

Calls accounted for 55 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 53 percent of the 168,321 trades in the previous session. June $90 puts were the most actively traded, with 10,906 lots changing hands. They fell 5 cents to 11 cents a barrel. The next-most active options, June $95 puts, declined 8 cents to 88 cents on volume of 8,853.

Open interest was highest for December $80 puts with 40,324 contracts. Next were December $70 puts with 36,439 lots and December $150 calls with 36,136.

To contact the reporters on this story: Barbara J Powell in Dallas at

To contact the editor responsible for this story: Dan Stets at

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