Bloomberg News

Options Volatility Rises as Oil Slips on Greek Debt Talks

November 12, 2012

Crude oil options volatility rose as futures retreated on talks by European finance ministers over aid to Greece.

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 29.88 percent on the New York Mercantile Exchange as of 3:10 p.m., up from 29.54 percent on Nov. 9.

January-delivery crude oil declined 48 cents, or 0.6 percent, to settle at $86.07 a barrel on the Nymex.

“There is ongoing concern about Europe,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago.

The most active options in electronic trading today were January $125 calls, which rose 1 cent to 4 cents a barrel on volume of 4,899 lots at 3:14 p.m. December $85 puts were the second-most active, with 3,127 lots exchanged as they declined 20 cents to 32 cents.

Bets that prices would rise, or calls, accounted for 56 percent of the 50,915 lots traded.

Exchange Data

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, puts made up 51 percent of the 134,264 contracts traded.

January $75 puts were the most actively traded options Nov. 9 with 7,047 contracts. They fell 21 cents to 35 cents a barrel. January $70 puts declined 8 cents to 11 cents on volume of 6,143 lots.

Open interest was highest for December $120 calls, with 68,068 contracts. Next were December $125 calls, with 46,020 lots, and December $115 calls with 42,060.

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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