Bloomberg News

Crude Options Volatility Little Changed

May 11, 2012

Oil options volatility was little changed as the underlying futures traded in a range of about $3 this week.

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 26.98 percent at 2:45 p.m. on the New York Mercantile Exchange, up from 26.9 percent yesterday. Volatility, which was below 21 percent two weeks ago, rose to 28.17 percent May 8 after prices dropped $9 over five sessions.

“We’ve found a new intraday range here for now, unless something breaks down further for Europe,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “We need some big news. As long as we stay above $95 and below $100, you’re going to see volatility slowly come in if this persists for another week or so.

Crude oil for June delivery fell 95 cents, or 1 percent, to settle at $96.13 a barrel on the Nymex. Futures this week traded between an intraday high of $98.24 and a low of $95.17.

Futures dropped today as China’s industrial growth slowed in April and Greece struggled to form a new government, increasing concern it would leave the euro.

The most-active oil options in electronic trading today were June $100 calls, which fell 21 cents to 13 cents a barrel at 2:53 p.m. with 3,346 lots trading. June $90 puts were the second-most active options with 2,875 lots changing hands as they rose 3 cents to 9 cents.

Calls Trading

Calls accounted for 53 percent of electronic trading volume. One contract covers 1,000 barrels of crude.

“There was no real scrambling to buy puts,” Rigolini said. “September $75 puts was an active one today and somebody was buying a bunch of June $90 puts.”

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 55 percent of the 145,228 trades in the previous session. June $102 calls were the most actively traded, with 7,520 lots changing hands. They fell 4 cents to 11 cents a barrel. The next-most active options, June $95 puts, declined 22 cents to 66 cents on volume of 6,560.

Open interest was highest for December $80 puts with 39,851 contracts. Next were December $70 puts with 36,441 lots and December $150 calls with 36,036.

To contact the reporters 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


We Almost Lost the Nasdaq
LIMITED-TIME OFFER SUBSCRIBE NOW

(enter your email)
(enter up to 5 email addresses, separated by commas)

Max 250 characters

 
blog comments powered by Disqus