Bloomberg News

Crude Oil Options Decline With Futures Stuck in Range

September 07, 2012

Crude oil options fell as underlying futures remained within a trading range from mid-August.

Implied volatility for options expiring in October, a measure of expected price swings in futures and a gauge of options prices, was 27.3 percent as of 3:55 p.m. in New York, falling from 29.17 percent yesterday. October options will expire on Sept. 17.

“We’re still in this upper range, $99 down to $94, without a whole lot of movement,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “There’s no real direction.”

Crude oil for October delivery rose 89 cents, or 0.9 percent, to settle at $96.42 a barrel on the New York Mercantile Exchange. Prices have swung between $93.93 and $98.29 since Aug. 16.

The most active options in electronic trading today were October $90 puts, which fell 19 cents to 22 cents a barrel at 4:03 p.m. with 2,406 lots trading. October $100 calls were the second-most active options, with 2,204 lots changing hands as they rose 2 cents to 52 cents a barrel.

Bets that prices would fall accounted for 50.4 percent of the 54,956 contracts in electronic trading. 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 open- outcry volume, where the bulk of options activity occurs.

In the previous session, bearish bets accounted for 56 percent of the 159,255 contracts traded.

November $90 puts were the most actively traded options yesterday with 5,284 lots changing hands. They fell 9 cents to $1.79 a barrel. December $80 puts declined 2 cents to 98 cents on volume of 5,179.

Open interest was highest for December $120 calls with 46,400 contracts. Next were December $80 puts with 44,336 lots and December $100 calls with 44,300.

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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