Bloomberg News

Crude Oil Options Slip as Futures Little Changed

February 06, 2013

Crude oil options volatility slipped as the underlying futures were little changed.

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 20.50 percent at 4 p.m. on the New York Mercantile Exchange, down from from 20.58 yesterday. Crude oil for March delivery slipped 2 cents to settle at $96.62 a barrel on the New York Mercantile Exchange.

An Energy Information Administration report today showed that crude inventories retreated 315,000 barrels at Cushing, Oklahoma, to 51.4 million last week, a one-month low. Nationwide supplies gained 2.62 million barrels to 371.7 million.

The most active options in electronic trading today were March $95 puts. They declined 11 cents to 58 cents a barrel on volume of 1,975 contracts. The second-most active were March $93 puts, which dropped 6 cents to 28 cents a barrel, with 1,839 lots exchanged.

Bets that prices would fall, or puts, accounted for 56 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 51 percent of volume.

December $110 calls were the most active traded options yesterday, with 8,100 contracts trading as they rose 6 cents to $2.89 a barrel. April $110 calls were unchanged at 14 cents a barrel on 5,703 lots.

Open interest was highest for March $110 calls with 41,621 contracts. Next were March $85 puts at 39,539 and March $115 calls at 31,078.

To contact the reporter on this story: Christine Harvey in New York at charvey32@bloomberg.net

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


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