Bloomberg News

Oil Options Volatility Sinks as Futures Gain on Economic Data

November 08, 2012

Crude oil options volatility fell as futures advanced after U.S. jobs and trade data showed gains amid indications China’s economy may be strengthening.

Implied volatility for at-the-money options expiring in January, a measure of expected price swings in futures and a gauge of options prices, was 31.26 percent on the New York Mercantile Exchange as of 3:55 p.m., down from 31.37 percent yesterday.

January-delivery crude oil rose 65 cents to settle at $85.56 a barrel on the Nymex.

The U.S. trade deficit narrowed in September on record exports. Applications for jobless benefits fell by 8,000 to 355,000 last week, according to the Labor Department.

China’s central bank governor and statistics chief signaled October data will show growth improving this quarter in the world’s second-largest economy.

The most active options in electronic trading today were December $80 puts, which fell 19 cents to 13 cents a barrel on volume of 5,276 lots at 3:59 p.m. February $115 calls were the second-most active, with 2,715 lots exchanged as they increased 3 cents to 19 cents.

Bets that prices would rise, or calls, accounted for 54 percent of the 59,701 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 55 percent of the 258,381 contracts traded.

December $85 puts were the most actively traded options yesterday with 12,879 contracts. They rose $1.43 to $1.80 a barrel. December $80 puts advanced 26 cents to 32 cents on volume of 11,426 lots.

Open interest was highest for December $120 calls with 68,065 contracts. Next were December $125 calls with 46,067 lots and December $115 calls with 42,057.

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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