Bloomberg News

Crude Options Volatility Rises as Oil Sinks to Lowest This Year

February 21, 2013

Crude oil options volatility rose as underlying futures fell to the lowest level this year after a government report that supplies climbed to the highest level since July.

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 24.77 percent on the New York Mercantile Exchange as of 4 p.m., compared with 21.88 percent yesterday.

West Texas Intermediate crude for April delivery declined $2.38, or 2.5 percent, to end the session at $92.84 a barrel on the Nymex.

The most-active options in electronic trading today were June $90 puts, which rose 96 cents to $3.11 a barrel on volume of 5,463 contracts at 4:15 p.m. in New York. April $90 puts were the second-most active with 4,029 lots. They advanced 62 cents to $1.29 a barrel.

Puts accounted for 65 percent of electronic trading volume. In the previous session, bearish bets made up 64 percent of the 191,852 contracts traded.

April $105 calls were the most active options traded yesterday, with 8,793 contracts changing hands. They were down 4 cents to 6 cents a barrel. December $80 puts rose 37 cents to $2.66 on 7,011 lots.

Open interest was highest for April $110 calls with 35,041 contracts. Next were December $105 calls at 33,628 and June $90 puts at 31,353.

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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