Bloomberg News

Oil Options Volatility Little Changed as Futures Drop With Euro

July 30, 2012

Oil options volatility was little changed as futures fell when the dollar gained against the euro on concern that Europe’s debt crisis is worsening.

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 30.15 percent at 3:20 p.m. on the New York Mercantile Exchange, down from 30.16 on July 27.

“It’s a lackluster trading environment, no real direction,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

Crude oil for September delivery dropped 35 cents to settle at $89.78 a barrel on the Nymex, the first decline in five days. The dollar rose 0.5 percent against the euro at 3:30 p.m. in New York, the first gain in four days. A stronger dollar reduces the investment appeal of commodities.

The most active options in electronic trading today were September $80 puts, which fell 4 cents to 18 cents a barrel at 3:32 p.m. with 2,014 lots trading. September $95 calls were the second-most active options, with 898 lots changing hands as they declined 21 cents to 63 cents a barrel.

Calls 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.

In the previous session, bearish bets accounted for 55 percent of the 74,206 contracts traded.

September $83 puts were the most actively traded options July 27, with 3,614 lots changing hands. They fell 17 cents to 49 cents a barrel. September $80 puts declined 8 cents to 22 cents on volume of 2,943.

Open interest was highest for December $80 puts with 42,366 contracts. Next were December $100 calls with 40,904 lots and December $120 calls with 38,583.

To contact the reporter on this story: Barbara J Powell in Dallas at bpowell4@bloomberg.net

To contact the editor responsible for this story: Bill Banker at bbanker@bloomberg.net


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