Bloomberg News

Oil Options Rise on Speculation Futures to Have Wider Swings

September 05, 2012

Crude options for later months rose on speculation that futures prices will have wider swings after the Nov. 3 U.S. presidential election.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 30.72 percent as of 4:55 p.m. in New York, from 30.46 percent yesterday. Bearish bets accounted for 53 percent of the 36,783 contracts traded.

Volatility on December options volatility rose to 32.04 percent from 31.72 percent.

“People are looking beyond” the November presidential “election and even to next year for any kind of price movement and expecting prices may be range-bound the rest of the year,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

Crude oil for October delivery rose 6 cents to settle at $95.36 a barrel on the Nymex.

Rigolini said he saw brisk buying in November $90 puts and December $100 and $110 calls trading as a spread. “We’re still seeing people reaching out for some upside calls for insurance.”

The most active options in electronic trading today were December 120 calls, up 7 cents to 54 cents a barrel at 5 p.m. with 2,011 lots trading. October $85 puts were the second-most active options, with 1,936 lots changing hands as they fell 2 cents to 12 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.

In the previous session, bearish bets accounted for 61 percent of the 115,733 contracts traded.

October $85 puts were the most actively traded options yesterday with 5,142 lots changing hands. They rose 4 cents to 14 cents a barrel. October $90 puts advanced 14 cents to 53 cents on volume of 3,878.

Open interest was highest for December $100 calls with 46,433 contracts. Next were December $80 puts with 44,151 lots and December $120 calls with 43,860.

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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