Bloomberg News

Oil Options Volatility Falls as Oil Gains on Iran Plans

July 12, 2012

Crude-oil options volatility fell as underlying futures rose after the U.S. announced more sanctions on Iran because of its nuclear program.

Implied volatility for at-the-money options expiring in September, a measure of expected price swings in futures and a gauge of options prices, was 32 percent at 3:25 p.m. on the New York Mercantile Exchange, down from 34 percent yesterday. September options are now more active than August.

Crude oil for September delivery gained 27 cents to settle at $86.08 a barrel on the Nymex.

Oil rose as the U.S. said it will target Iran’s weapons proliferation networks and “front companies” helping to evade international sanctions.

The most active options in electronic trading today were December $117 calls, which fell 2 cents to 62 cents a barrel at 3:37 p.m. with 3,438 lots trading. August $82 puts were the second-most active options, with 2,801 lots changing hands as they dropped 16 cents to 16 cents a barrel.

Calls accounted for 59 percent of total 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.

Puts accounted for 52 percent of the 132,097 contracts traded in the previous session.

August $80 puts were the most actively traded, with 7,496 lots changing hands. They lost 30 cents to 13 cents a barrel. The next-most active options, August $90 calls, rose 9 cents to 26 cents on volume of 5,951.

Open interest was highest for December $80 puts with 44,604 contracts. Next were December $120 calls with 40,662 lots and December $72 puts with 35,410.

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


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