Oil Options Volatility Declines as Futures Hold Steady

Oil options volatility slipped to the lowest level since May 11 as underlying futures were unchanged.

Implied volatility for at-the-money options expiring in October, a measure of expected price swings in futures and a gauge of options prices, was 28.15 percent at 3:45 p.m. on the New York Mercantile Exchange, down from 28.74 yesterday.

“Volatility is creeping in every day as we sit in the range,” said Michael Truscelli, a broker at Paramount Options Inc. in New York.

Crude oil for October delivery settled unchanged at $93.63 a barrel on the Nymex. Prices traded today within yesterday’s range between $93.10 and $94.47.

The most active options in electronic trading today were December $65 puts, which were gained 1 cent to 24 cents a barrel at 3:49 p.m. with 4,108 lots trading. September $98 calls were the second-most active options, with 1,536 lots changing hands as they declined 6 cents to 27 cents a barrel.

Electronic trading volume was almost evenly split between calls and puts. 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, bullish bets accounted for 56 percent of the 109,254 contracts traded.

October $100 calls were the most actively traded options, with 5,321 lots changing hands. They fell 18 cents to $1.36 a barrel. September $90 puts declined 2 cents to 47 cents on volume of 3,312.

Open interest was highest for December $80 puts with 43,392 contracts. Next were December $100 calls with 43,365 lots and December $120 calls with 39,667.

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