Bloomberg News

Crude Options Volatility Falls as Oil Futures Advance

June 20, 2012

Crude-oil options volatility gained for the first time in three days as underlying futures sank as much as 3.5 percent after stockpiles rose to a 22-year high.

Implied volatility for at-the-money options expiring in August, a measure of expected price swings in futures and a gauge of options prices, was 30.9 percent at 2:29 p.m. on the New York Mercantile Exchange, up from 29.9 percent yesterday.

“The obvious reason is the lower price here,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “Breaking below $82 is significant.”

Crude oil for July delivery fell $2.52, or 3 percent, to $81.51 a barrel at 2:24 p.m. on the Nymex, after touching $81.12. Crude oil for August delivery lost $2.50 to $81.85, after falling as low as $81.43.

The Energy Department reported that crude inventories rose 2.86 million barrels last week to 387.3 million, the highest level since July 1990.

The most active oil options in electronic trading today were October $105 calls, which fell 8 cents to 37 cents a barrel at 2:27 p.m. with 4,189 lots trading. August $90 calls were the second-most active options, with 2,689 lots changing hands as they slipped 39 cents to 32 cents.

Calls 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 52 percent of the 147,171 contracts traded in the previous session. December $80 puts were the most actively traded, with 7,020 lots changing hands. They fell 43 cents to $4.70. The next-most active options, December $85 puts, lost 52 cents to $6.67 on volume of 5,820.

Open interest was highest for December $80 puts with 46,735 contracts. Next were December $100 calls with 39,163 lots and December $70 puts with 37,016.

To contact the reporter 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


Too Cool for Crisis Management
LIMITED-TIME OFFER SUBSCRIBE NOW
 
blog comments powered by Disqus