Bloomberg News

Crude Options Volatility Falls for First Time in Four Days

January 16, 2013

Crude options volatility fell for the first time in four days as underlying futures advanced.

Implied volatility for at-the-money options expiring in March, a measure of expected price swings in futures and a gauge of options prices, was 22.06 percent on the New York Mercantile Exchange as of 4:02 p.m., compared with 24.01 percent yesterday.

Oil futures for March delivery rose 96 cents to settle at $94.68 a barrel on the Nymex. February-delivery crude futures, which expire Jan. 22, advanced 96 cents to $94.24 a barrel.

The most-active options in electronic trading today were March $85 puts, which fell 12 cents to 35 cents a barrel on volume of 4,714 contracts at 4:06 p.m. in New York. March $80 puts were the second-most active, with 3,029 lots exchanged as they declined 3 cents to 13 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.

In the previous session, puts accounted for 53 percent of the 112,459 contracts traded.

March $90 puts were the most active options traded, with 4,918 contracts changing hands. They rose 16 cents to $1.27 a barrel. May $70 puts gained 2 cents to 24 cents on 4,506 lots exchanged.

Open interest was highest for March $110 calls with 34,629 contracts. Next were February $105 calls at 31,562 and March $70 puts at 27,293.

To contact the reporter on this story: Barbara 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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