Bloomberg News

Oil Options Volatility Slips as Futures Gain on GDP

December 20, 2012

Crude options volatility slipped to while futures rose as better-than-projected economic growth in the U.S. countered concern that American budget negotiations will fail.

Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options prices, settled at 23.62 percent on the New York Mercantile Exchange, down from 24.03 percent yesterday.

February-delivery crude oil advanced 15 cents to settle at $90.13 a barrel on the Nymex, the fourth consecutive increase.

Futures reached a two-month high after the Commerce Department said U.S. gross domestic product grew at a 3.1 percent annual rate in the third quarter, greater than the highest forecast in a Bloomberg survey. Oil fell as much as 0.8 percent in intraday trading on speculation that efforts to avert the so-called fiscal cliff of tax gains and spending cuts are deteriorating.

The most active options in electronic trading today were February $85 puts, which fell 8 cents to 78 cents a barrel on volume of 1,067 contracts at 5:53 p.m. February $95 calls were the second-most active, with 980 lots exchanged as they declined 2 cents to 63 cents a barrel.

Bets that prices would fall, or puts, accounted for 60 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.

Bullish Bets

In the previous session, bullish bets accounted for 55 percent of the 123,691 contracts traded.

February $75 puts were the most active options yesterday, with 7,619 contracts changing hands. They declined 6 cents to 11 cents a barrel. February $98 calls rose 9 cents to 29 cents a barrel on 6,376 lots.

Open interest was highest for February $105 calls with 33,756 contracts. Next were February $110 calls at 25,116 lots and December 2013 $150 calls at 23,345.

To contact the reporter on this story: Dan Murtaugh in Houston at dmurtaugh@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net


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