Bloomberg News

Crude Options Volatility Falls as Oil Rises on Germany

February 22, 2013

Crude oil options volatility fell for the first time since Feb. 14 as the underlying futures rose on higher German business confidence.

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 21.82 percent on the New York Mercantile Exchange as of 4:05 p.m., compared with 24.81 percent yesterday.

West Texas Intermediate crude for April delivery climbed 29 cents, or 0.3 percent, to $93.13 a barrel on the Nymex as the Munich-based Ifo Institute’s business climate index increased to a 10-month high, signaling that Europe’s largest economy is strengthening.

The most-active options in electronic trading today were April $100 calls, which slid 1 cent to 14 cents a barrel on volume of 3,958 contracts at 4:07 p.m. in New York. April $90 puts were the second-most active, dropping 43 cents to 90 cents a barrel with 2,128 lots exchanged.

Puts, or bets that prices would fall, accounted for 51 percent of electronic trading volume. In the previous session, bearish bets made up 69 percent of the 227,843 contracts traded.

April $85 puts were the most active options yesterday, as 14,054 contracts changed hands. They rose 25 cents to 46 cents a barrel. April $82 puts gained 14 cents to 24 cents a barrel on 12,757 lots.

Open interest was highest for December $105 calls with 34,763 contracts. Next were April $110 calls at 34,551 and June $90 puts at 32,557.

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: 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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