Bloomberg News

Crude Oil Options Volatility Declines as Futures Rise on Iran

February 14, 2013

Crude oil options volatility slid as the underlying futures advanced after United Nations nuclear inspectors failed to reach a deal with Iran.

Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 16.73 percent on the New York Mercantile Exchange as of 4:20 p.m., compared with 17.54 percent yesterday.

West Texas Intermediate crude for April delivery rose 30 cents to settle at $97.90 a barrel on the Nymex. Open interest climbed to a record yesterday, according to exchange owner CME Group Inc.

The most-active options in electronic trading today were March $97 puts, which fell 43 cents to 3 cents a barrel on volume of 2,844 contracts at 4:30 p.m. in New York. March $98 calls were the second-most active with 1,859 lots. They declined 12 cents to 1 cent.

Calls accounted for 52 percent of electronic trading volume. In the previous session, bearish bets calls made up 63 percent of the 145,887 contracts traded.

December $93 puts were the most active options traded yesterday, with 6,000 contracts changing hands. They were unchanged at $5.31. December $77 puts declined 15 cents to $4.39 a barrel on 6,000 lots.

Open interest was highest for March $85 puts with 42,491 contracts. Next were March $110 calls at 40,868 and December $105 calls at 33,475.

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.

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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