Bloomberg News

October Oil Options, Later Months Little Changed

August 22, 2012

Volatility on near-term and later- month crude options was little changed as futures rose on speculation the Federal Reserve will increase stimulus efforts.

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 28.12 percent at 3:37 p.m. in New York, up from 28.08 percent yesterday.

Volatility on December options fell to 30.49 from 30.7 percent yesterday.

Crude oil for October delivery rose 71 cents, or 0.7 percent, to $97.55 a barrel on the Nymex.

Futures advance as minutes from a July 31-Aug. 1 meeting of Fed policy makers showed that many said additional stimulus would probably be needed soon unless the economy shows signs of a durable pickup.

Implied volatility on calls protecting against a 10 percent rise in futures were little changed at 30 percent as of 3:41 p.m. Puts protecting against a 10 percent decline were 31 percent, almost unchanged from the day before.

The most active options in electronic trading today were October $90 puts, which fell 9 cents to 65 cents a barrel at 3:45 p.m. with 1,839 lots trading. October $100 calls were the second-most active options, with 1,720 lots changing hands as they rose 11 cents to $1.79 a barrel.

Bearish bets accounted for 53 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 would rise predominated, accounting for 57 percent of the 101,234 contracts traded.

December $100 calls were the most actively traded options yesterday, with 4,350 lots changing hands. They rose 27 cents to $9.47 a barrel. December $140 calls fell 6 cents to $1.24 on volume of 4,000.

Open interest was highest for December $100 calls with 45,956 contracts. Next were December $80 puts with 43,846 lots and December $120 calls with 42,541.

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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