Bloomberg News

Crude Options Volatility Little-Changed as Futures Decline

May 29, 2012

Crude-oil options volatility was little-changed as the underlying futures declined after Egan- Jones Ratings Co. downgraded Spain’s credit rating.

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 26.52 percent at 5:05 p.m. on the New York Mercantile Exchange, down from 26.53 percent May 25. Floor trading was closed yesterday for the U.S. Memorial Day holiday.

Crude oil for July delivery slipped 10 cents to settle at $90.76 a barrel on the Nymex, below $91 for the fourth straight session. Prices are down 17 percent since their year-to-date high settlement of $109.77 on Feb. 24.

Futures fell as Spain’s rating was cut to B from Bb-. A debate in that country about how to fund a recapitalization of the Bankia group is spurring speculation that the debt crisis that is battering Greece is spreading. Earlier, oil touched a one-week high as U.S. equities advanced.

The most active oil options in electronic trading today were July $80 puts, which fell 6 cents to 13 cents a barrel at 5:09 p.m. with 3,261 lots trading. July $82 puts were the second-most active options, with 1,687 lots changing hands as they fell 7 cents to 23 cents.

Puts accounted for 59 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 56 percent of the 100,448 trades in the previous session. December $80 puts were the most actively traded, with 4,301 lots changing hands. They fell 4 cents to $3.31 a barrel. The next-most active options, July $95 calls, rose 2 cents to 76 cents on volume of 3,687.

Open interest was highest for December $80 puts with 44,295 contracts. Next were December $150 calls with 35,944 lots and December $70 puts with 35,459.

To contact the reporter on this story: Gene Laverty in Calgary at

To contact the editor responsible for this story: Dan Stets at

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