Bloomberg News

Crude Options Volatility Falls as Oil Rises on G-7, OPEC

February 12, 2013

Crude oil options volatility declined for a fourth day as the underlying futures rose after OPEC raised its demand forecast.

Implied volatility for at-the-money options expiring in April, a measure of expected swings in futures and a gauge of options prices, was 17.56 percent at 4:30 p.m. on the New York Mercantile Exchange, down from 18.7 percent yesterday.

Crude oil for April delivery rose 49 cents, or 0.5 percent, to $98.07 a barrel on the Nymex. March-delivery futures gained 48 cents to $97.51, the highest settlement since Feb. 1.

West Texas Intermediate, the benchmark for Nymex futures, climbed as the Organization of Petroleum Exporting Countries said it will have to provide 29.8 million barrels a day in 2013, up 0.3 percent from an estimate last month. The Group of Seven pledged in London to avoid devaluing their currencies.

The most active options in electronic trading today were March $95 puts. They declined 13 cents to 12 cents a barrel on volume of 3,073 contracts at 4:38 p.m. The second-most active were March $99 calls, which rose 3 cents a barrel to 15 cents with 2,403 lots exchanged.

Bets that prices would fall, or puts, accounted for 52 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 50.4 percent of volume.

March $95 puts were the most active options yesterday, with 5,469 contracts trading. They slid 42 cents to 25 cents a barrel. April $110 calls were unchanged at 10 cents a barrel on 4,173 lots.

Open interest was highest for March $85 puts with 42,499 contracts. Next were March $110 calls at 40,868 and December $110 calls at 31,446.

To contact the reporter on this story: Kenneth Christensen in New York at kchristense9@bloomberg.net

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


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