Bloomberg News

Oil Options Rise as Futures Sink on Isaac Plant Closures

August 27, 2012

Volatility on near-term crude options rose as futures fell as refineries closed in advance of Tropical Storm Isaac, curbing oil demand.

Implied volatility for options expiring in October, a measure of expected price swings in futures and a gauge of options prices, was 28.8 at 3:40 p.m. in New York, up from 27.9 percent Aug. 24. Bets that prices would fall accounted for 53 percent of electronic trading today.

Crude oil for October delivery fell 68 cents, or 0.7 percent, to $95.47 a gallon on the Nymex. It was the third consecutive decline.

Isaac may go ashore early Aug. 29 south of New Orleans as a hurricane, according to the National Hurricane Center.

The most active options in electronic trading today were October $115 calls, which slipped 5 cents to 8 cents a barrel at 3:47 p.m. with 2,125 lots trading. October $90 puts were the second-most active options, with 1,634 lots changing hands as they rose 4 cents to 75 cents a barrel. 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.

Previous Session

In the previous session, bullish bets accounted for 54 percent of contracts traded.

December $130 calls were the most actively traded options Aug. 24, with 5,285 lots changing hands. They rose 1 cent to 38 cents a barrel. October $110 calls were unchanged at 23 cents on volume of 4,875.

Open interest was highest for December $100 calls with 45,295 contracts. Next were December $80 puts with 43,703 lots and December $120 calls with 41,445.

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net


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