Bloomberg News

Oil Options Volatility Steady Amid ‘No Progress’ in Fiscal Talks

December 07, 2012

Crude options volatility was little changed and oil futures fell after House Speaker John Boehner said “no progress” had been made in talks with the White House on how to avoid the so-called fiscal cliff.

Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options prices, was 27.58 percent on the New York Mercantile Exchange as of 3 p.m., down from 27.97 percent yesterday.

February-delivery crude oil declined 35 cents to settle at $86.50 a barrel on the Nymex. Since Nov. 19, the contract has traded in an intraday range between $86.01 and $90.90.

“There’s a lot of uncertainty and people are sitting on the sidelines,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

Boehner, a Republican, said this has been a “wasted week” in the budget talks. Congress and President Barack Obama, a Democrat, are negotiating to avert more than $600 billion in tax increases and spending cuts set for January.

The most active options in electronic trading today were February $105 calls, which slipped 1 cent to 12 cents a barrel on volume of 2,040 lots at 3:05 p.m. January $85 puts were the second-most active, with 1,843 lots exchanged as they declined 7 cents to 90 cents.

Puts Majority

Bets that prices would fall, or puts, accounted for 53 percent of electronic trading volume.

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, bullish bets made up 51 percent of the 154,819 contracts traded.

February $100 calls were the most active options yesterday with 7,942 contracts changing hands. They fell 5 cents to 27 cents a barrel. January $85 puts rose 40 cents to 97 cents on 7,515 lots.

Open interest was highest for January $105 calls, with 45,800 contracts. Next were January $60 puts, at 34,922 lots, and January $110 calls, with 31,399.

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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