Bloomberg News

Crude-Oil Options Volatility Declines as Futures Gain Fourth Day

July 16, 2012

Crude-oil options volatility slipped after underlying futures capped the longest advance since April.

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 31.37 percent at 3:55 p.m. on the New York Mercantile Exchange, down from 31.97 July 13. September options are more active than August, which will expire tomorrow.

Crude oil for September delivery rose $1.31, or 1.5 percent, to settle at $88.81 a barrel on the Nymex. Prices have risen four straight days.

The most active options in electronic trading today were August $90 calls, which fell 4 cents to 14 cents a barrel at 4:02 p.m. with 4,506 lots trading. August $87 puts were the second-most active options, with 2,891 lots changing hands as they dropped 72 cents to 17 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.

Bullish bets accounted for 56 percent of the 117,751 contracts traded in the previous session.

August $85 puts were the most actively traded, with 6,554 lots changing hands. They lost 45 cents to 26 cents a barrel. The next-most active options, August $87 calls, advanced 23 cents to 99 cents on volume of 5,105.

Open interest was highest for December $80 puts with 43,765 contracts. Next were December $120 calls with 40,606 lots and December $72 puts with 35,411.

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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