Crude-oil options volatility fell as underlying futures rose, staying under $80 a barrel a fourth day as traders awaited the outcome of a meeting this week of European leaders on the region’s debt crisis.
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 31.3 percent at 2:35 p.m. on the New York Mercantile Exchange, down from 33.6 percent yesterday.
“We’ve been down most of the day and starting to find a little bit of a range,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “There’s not much movement. We came off pretty hard in the last week and consolidated a little until something more concrete comes out of Europe.”
Crude oil for August delivery gained 15 cents to settle at $79.36 a barrel on the Nymex. In the past three trading days, the front-month contract has ranged from $77.56 to $80.68.
German Chancellor Angela Merkel told lawmakers of her ruling coalition she “doesn’t see” shared debt in the euro area, according to Steffen Seibert, her chief spokesman. Leaders of the 27 European Union states are scheduled to meet in Brussels June 28-29.
The most active oil options in electronic trading today were August $80 calls, which fell 18 cents to $2.05 a barrel at 2:41 p.m. with 987 lots trading. September $70 puts were the second-most active options, with 801 lots changing hands as they lost 20 cents to $1.02.
Calls accounted for 56 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 57 percent of the 79,534 contracts traded in the previous session. August $65 puts were the most actively traded, with 6,929 lots changing hands. They fell 4 cents to 8 cents. The next-most active options, August $90 calls, declined 3 cents to 16 cents on volume of 5,091.
Open interest was highest for December $80 puts with 45,285 contracts. Next were December $120 calls with 39,639 lots and December $100 calls with 38,528.
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