Bloomberg News

Crude Options Volatility Falls as Oil Futures Are Steady

June 05, 2012

Crude-oil options volatility fell as underlying futures moved the least in a week.

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 34.33 percent at 2:34 p.m. on the New York Mercantile Exchange, down from 37.28 yesterday. Volatility has fallen two consecutive days since June 1 when it was 40.56 percent, the highest level since Oct. 20.

Crude oil for July delivery rose 31 cents to settle at $84.29 a barrel on the Nymex. The change of 0.4 percent was the smallest since May 29.

The most active oil options in electronic trading today were July $90 calls, which fell 8 cents to 20 cents a barrel at 2:37 p.m. with 1,882 lots trading. July $75 puts were the second-most active options with 1,666 lots changing hands as they declined 11 cents to 13 cents.

Puts 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 59 percent of the 172,422 trades in the previous session. July $75 puts were the most actively traded, with 14,333 lots changing hands. They fell 37 cents to 24 cents a barrel. The next-most active options, December $70 puts, declined 36 cents to $2.86 on volume of 11,555.

Open interest was highest for December $80 puts with 51,548 contracts. Next were December $70 puts with 37,551 lots and December $150 calls with 36,022.

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net


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