Bloomberg News

Crude Oil Options Volatility Falls as Oil Trades Within Range

November 05, 2012

Crude oil options volatility declined as underlying futures prices moved within a trading range from Oct. 24.

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 29.93 percent on the New York Mercantile Exchange at 2:40 p.m., down from 30.44 percent on Nov. 2.

“It’s down a bit today,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “You have a small range and it’s just moving around $85.”

December-delivery crude oil rose 79 cents to settle at $85.65 a barrel on the Nymex. Prices fell 6.5 percent last month. Since Oct. 24, oil has traded between $84.34 and $87.42.

The most active options in electronic trading today were December $80 puts, which slid 24 cents to 17 cents on volume of 2,59 lots at 2:39 p.m. December $82 puts were the second-most active, with 2,485 lots exchanged as they declined 40 cents to 39 cents a barrel.

Bets that prices would fall, or puts, accounted for 55 percent of the 38,407 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, bearish bets made up 57 percent of the 160,337 contracts traded.

January $70 puts were the most actively traded options Nov. 2 with 18,563 contracts. They rose 9 cents to 23 cents a barrel. January $65 puts advanced 3 cents to 7 cents on volume of 10,229 lots.

Open interest was highest for December $120 calls with 68,191 contracts. Next were December $125 calls with 46,014 lots and December $80 puts with 42,427.

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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