Crude-oil options volatility rose as underlying futures fell to the lowest level in 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 29.74 percent at 4 p.m. on the New York Mercantile Exchange, up from 28.86 yesterday. Volatility has increased from below 21 percent on April 27 as futures prices have dropped $12.37 a barrel.
Crude oil for June delivery fell 25 cents to $92.56 a barrel on the Nymex, the lowest settlement since Nov. 2. July crude dropped 25 cents to $92.94.
The most-active oil options in electronic trading today were June $92 puts, which fell 52 cents to 4 cent a barrel at 4:08 p.m. with 3,996 lots trading. July $75 puts were the second-most active options with 3,925 lots changing hands as they added 5 cents to 18 cents. June options expired today.
“July $115 calls have been trading pretty actively and August $120 calls,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.
Puts accounted for 52 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 52 percent of the 178,579 trades in the previous session. June $92 puts were the most actively traded, with 9,081 lots changing hands. They rose 20 cents to 52 cents a barrel. The next-most active options, June $90 puts, gained 4 cents to 13 cents on volume of 8,546.
Open interest was highest for December $80 puts with 39,161 contracts. Next were December $150 calls with 36,073 lots and December $70 puts with 35,498.
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