Crude-oil options volatility fell as underlying futures rose for a third straight day on speculation that policy makers in Europe and the U.S. will act to stimulate economic growth.
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 34.41 percent at 3:10 p.m. on the New York Mercantile Exchange, down from 34.44 yesterday.
Volatility has fallen three consecutive days since June 1 when it was 40.56 percent, the highest level since Oct. 20.
“It’s coming in with the rally,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “Here we are at a higher price. We’ve found a temporary floor here.”
Crude oil for July delivery advanced 73 cents to settle at $85.02 a barrel on the Nymex.
The most active oil options in electronic trading today were July $75 calls, which fell 5 cents to 8 cents a barrel at 3:50 p.m. with 3,086 lots trading. July $77 puts were the second-most active options with 2,771 lots changing hands as they declined 10 cents to 15 cents.
Puts 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.
Bearish bets accounted for 59 percent of the 121,323 trades in the previous session. July $75 puts were the most actively traded, with 8,222 lots changing hands. They fell 11 cents to 13 cents a barrel. The next-most active options, September $65 puts, declined 14 cents to 65 cents on volume of 5,078.
Open interest was highest for December $80 puts with 52,323 contracts. Next were December $70 puts with 38,653 lots and December $150 calls with 36,023.
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