Bloomberg News

October Oil Options Slip on Slim Range; Later Months Rise

August 20, 2012

Volatility on near-term crude options fell to the lowest since May 10 as futures were little changed. Later-month contracts gained.

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 27.3 percent at 3:39 p.m. in New York, down from 29.3 on Aug. 17.

Crude oil for October delivery dropped 4 cents to $96.26 a barrel on the Nymex, after trading between $96.83 and $95.32.

Volatility on December options rose to 30.82 percent from 30.22 on Aug. 17.

Implied volatility on calls protecting against a 10 percent rise in futures declined to 29.5 percent today from 32.1 percent Aug. 17. Puts protecting against a 10 percent decline were at 30.6 percent, down from 31.4 percent.

The most active options in electronic trading today were October $100 calls, which slipped 24 cents to 25 cents a barrel at 3:54 p.m. with 2,700 lots trading. November $110 calls were the second-most active options, with 1,708 lots changing hands as they declined 15 cents to 98 cents a barrel.

Bullish bets accounted for 57 percent of electronic trading today. 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, bets that prices will fall accounted for 54 percent of the 95,303 contracts traded.

October $90 puts were the most actively traded options on Aug. 17, with 3,738 lots changing hands. They dropped 8 cents to $1.04 a barrel. October $80 puts fell 1 cent to 13 cents on volume of 2,979.

Open interest was highest for December $100 calls with 45,869 contracts. Next were December $80 puts with 42,925 lots and December $120 calls with 42,099.

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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