Bloomberg News

Oil Options Volatility Little Changed as Futures Advance

July 13, 2012

Crude-oil options volatility was little changed as underlying futures rose on speculation that central banks would boost economic stimulus measures to counter slowing growth.

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 31.9 percent at 3:30 p.m. on the New York Mercantile Exchange, up from 31.8 percent yesterday. September options are now more active than August.

“It was offered most of the day and then it came up a little,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “Volatility was oversold most of the week.” Volatility was as high as 35.76 on July 10.

Crude oil for September delivery gained $1.02, or 1.2 percent, to $87.10 a barrel on the Nymex, the highest settlement in six days.

Oil rose as Chinese gross domestic product expanded at a three-year-low 7.6 percent last quarter from a year earlier, the National Bureau of Statistics said. Medley Global Advisors predicted the European Central Bank will ease monetary policy further, boosting the euro from to a two-year low against the dollar, to an 0.3 percent gain, increasing the investment appeal of commodities.

The most active options in electronic trading today were August $85 puts, which fell 45 cents to 26 cents a barrel at 3:38 p.m. with 2,751 lots trading. August $84 puts were the second-most active options, with 2,677 lots changing hands as they dropped 31 cents to 12 cents a barrel.

Bullish Bets

Calls accounted for 54 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.

Bullish bets accounted for 60 percent of the 140,563 contracts traded in the previous session.

August $82 puts were the most actively traded, with 6,326 lots changing hands. They lost 16 cents to 16 cents a barrel. The next-most active options, September $110 puts, fell 1 cent to 12 cents on volume of 5,764.

Open interest was highest for December $80 puts with 43,765 contracts. Next were December $120 calls with 40,666 lots and December $72 puts with 35,410.

To contact the reporter on this story: Barbara J Powell in Dallas at

To contact the editor responsible for this story: Dan Stets at

Toyota's Hydrogen Man
blog comments powered by Disqus