Bloomberg News

Oil Options Volatility Is Little Changed as Futures Top $93

August 07, 2012

Oil options volatility was little changed as underlying futures rose to the highest since May 15.

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 29.06 percent at 3:20 p.m. on the New York Mercantile Exchange, down from 29.48 yesterday.

“Crude is starting to break out of the range and that’s going to be a little volatile for prices, so volatility came off the lows a little toward the end,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

Crude oil for September delivery rose $1.47, or 1.6 percent, to settle at $93.67 a barrel on the Nymex. Prices touched $94.42, the highest intraday level since May 17.

Futures climbed as the Standard & Poor’s 500 Index touched the highest level since May 1, led by commodity and industrial shares, on speculation that central banks will add stimulus measures to boost growth. Rebels in Syria said Prime Minister Riad Hijab defected in the highest-ranking departure since an uprising began last year.

The most active options in electronic trading today were September $105 calls, which rose 1 cent to 9 cents a barrel at 3:29 p.m. with 2,735 lots trading. September $100 calls were the second-most active options, with 1,747 lots changing hands as they advanced 5 cents to 25 cents a barrel.

Calls accounted for 51 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

In the previous session, bearish bets accounted for 57 percent of the 94,347 contracts traded.

October $70 puts were the most actively traded options, with 7,729 lots changing hands. They fell 4 cents to 7 cents a barrel. October $65 puts declined 2 cents to 2 cents on volume of 7,390.

Open interest was highest for December $100 calls with 43,314 contracts. Next were December $80 puts with 41,543 lots and December $120 calls with 39,709.

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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