Crude-oil options volatility rose as the underlying futures fell to a six-month low on concern that Greece will abandon the euro, deepening a credit crisis in Europe and reducing fuel demand.
Implied volatility for at-the-money options expiring in July, a measure of expected price swings in futures and a gauge of options prices, was 29.6 percent at 3:50 p.m. on the New York Mercantile Exchange, up from 29.2 yesterday.
“It was up since we starting coming off after we broke the low of $92,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “There’s still nothing positive coming out of Europe.”
Crude oil for June delivery fell $1.08 to $91.48 a barrel on the Nymex, the lowest settlement since Oct. 26. July crude dropped $1.14, or 1.2 percent, to $91.80.
European Union Economic and Monetary Affairs Commissioner Olli Rehn warned Greece that the EU would continue to demand budget discipline after a June 17 election that may increase the risk of the nation’s exit from the euro.
The most-active oil options in electronic trading today were July $110 calls, which were unchanged at 14 cents a barrel at 4:03 p.m. with 3,728 lots trading. July $120 calls were the second-most active options with 3,199 lots changing hands as they fell 1 cent to 7 cents.
Calls in Majority
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 55 percent of the 130,249 trades in the previous session. December $60 puts were the most actively traded, with 11,129 lots changing hands. They rose 3 cents to 55 cents a barrel. The next-most active options, July $80 puts, gained 5 cents to 38 cents on volume of 5,593.
Open interest was highest for December $80 puts with 39,267 contracts. Next were December $150 calls with 36,072 lots and December $70 puts with 35,512.
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