Bloomberg News

Crude-Oil Options Volatility Holds Steady as Futures Advance

July 17, 2012

Crude-oil options volatility was little changed as underlying futures rose to a seven-week high in 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 32.62 percent at 4 p.m. on the New York Mercantile Exchange, up from 32.46 percent yesterday.

Crude oil for September delivery rose 79 cents, or 0.9 percent, to settle at $89.22 a barrel on the Nymex. Prices have risen five straight days, the longest stretch of gains since April 27.

Future rose as the median estimate of 10 analysts in a survey by Bloomberg News forecast that U.S. crude inventories fell 1.3 million barrels last week. Federal Reserve data showed U.S. factory output rose 0.4 percent last month after declining in May, indicating demand for fuel may increase.

The most active options in electronic trading today were August $90 calls, which fell 14 cents to 1 cent a barrel at 4:06 p.m. with 5,901 lots trading. September $80 puts were the second-most active options, with 4,637 lots changing hands as they dropped 10 cents to 59 cents a barrel.

Puts accounted for 52 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.

Calls accounted for 61 percent of the 298,987 contracts traded in the previous session.

August $90 calls were the most actively traded, with 9,783 lots changing hands. They lost 4 cents to 14 cents a barrel. The next-most active options, December $100 calls, advanced 25 cents to $2.88 on volume of 7,926.

Open interest was highest for December $80 puts with 44,115 contracts. Next were December $120 calls with 40,793 lots and December $100 calls with 38,140.

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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