Bloomberg News

Crude Options Volatility Gains as Futures Sink

May 22, 2012

Crude-oil options volatility fell a second day as futures remained within yesterday’s trading range.

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 25.97 percent at 12:55 p.m., on the New York Mercantile Exchange, down from 26.92 percent yesterday. Volatility was at the lowest level since May 3.

“Right now, we’re in a tight range again and no one is in a rush to buy puts or calls right now,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

Crude oil for June delivery fell $1.10 to $91.47 a barrel at 12:56 p.m. on the Nymex, within yesterday’s trading range between $90.84 and $93.06. July crude, which becomes the front- month contract tomorrow, fell 97 cents to $91.89.

The most-active oil options in electronic trading today were July $100 calls, which fell 13 cents to 28 cents a barrel at 12:54 p.m. with 2,282 lots trading. July $80 puts were the second-most active options with 1,579 lots changing hands as they rose 1 cent to 18 cents.

Calls accounted for 53 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.

Bullish bets accounted for 58 percent of the 110,552 trades in the previous session. July $80 puts were the most actively traded, with 6,331 lots changing hands. They fell 25 cents to 17 cents a barrel. The next-most active options, July $110 calls, lost 3 cents to 11 cents on volume of 4,345.

Open interest was highest for December $80 puts with 39,495 contracts. Next were December $150 calls with 35,724 lots and December $70 puts with 35,216.

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


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