Crude-oil options volatility rose as the underlying futures slid to the lowest level in more than six months.
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 28.75 percent at 4:20 p.m. on the New York Mercantile Exchange, up from 28.63 yesterday. Volatility has increased from below 21 percent on April 27 as futures prices have dropped $12.12.
Crude oil for June delivery declined $1.17, or 1.2 percent, to $92.81 a barrel on the Nymex, the lowest settlement since Nov. 2.
The most-active oil options in electronic trading today were June $92 puts, which rose 20 cents to 52 cents a barrel at 4:23 p.m. with 7,169 lots trading. June $90 puts were the second-most active options with 5,726 lots changing hands as they added 3 cents to 12 cents.
Puts accounted for 62 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 167,830 trades in the previous session. June $90 puts were the most actively traded, with 11,948 lots changing hands. They fell 3 cents to 9 cents a barrel. The next-most active options, June $95 calls, declined 54 cents to 50 cents on volume of 4,324.
Open interest was highest for December $80 puts with 39,142 contracts. Next were December $150 calls with 36,073 lots and December $70 puts with 35,495.
To contact the reporters on this story: Barbara J Powell in Dallas at firstname.lastname@example.org
To contact the editor responsible for this story: Dan Stets at email@example.com