Bloomberg News

Crude Options Volatility Slips as Futures Drop for Second Week

October 26, 2012

Crude oil options volatility eased as underlying futures were little changed, paring a second straight weekly decline.

Implied volatility for at-the-money options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 29.64 percent on the New York Mercantile Exchange at 4:15 p.m., down from 29.99 percent yesterday.

“It’s quiet,” said Jim Colburn, a vice president and energy options broker at Jefferies Bache LLC in New York. “We’re waiting for the next move. Will it continue down or find a little bit of support here?”

December-delivery crude oil rose 23 cents to settle at $86.28 a barrel on the Nymex. Prices fell 4.2 percent this week.

The most active options in electronic trading today were December $135 calls, which were unchanged at 1 cent on volume of 4,543 lots. December $130 calls were the second-most active, with 3,976 lots exchanged as they were unchanged at 2 cents a barrel.

Calls accounted for 64 percent of the 41,386 lots traded.

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, calls made up 58 percent of the 125,063 contracts traded.

December $135 calls were the most actively traded options yesterday with 5,877 contracts. They were unchanged at 1 cent a barrel. January $70 puts fell 7 cents to 29 cents on volume of 5,795 lots.

Open interest was highest for December $120 calls with 68,125 contracts. Next were December $80 puts with 46,566 lots and December $125 calls with 45,847.

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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