Crude options volatility slid as underlying futures fell to the lowest level since Dec. 24 amid concerns that fuel demand will decline.
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 20.76 percent at 4:50 p.m. on the New York Mercantile Exchange, down from 20.93 percent yesterday.
West Texas Intermediate crude for April delivery dropped $1.37, or 1.5 percent, to settle at $90.68 a barrel on the Nymex as reports showed manufacturing contracted in China and the euro area. Prices touched $90.04 after trading in an intraday range from $91.57 to $94.92 for the previous six days.
The most-active options in electronic trading today were April $83 puts, which rose 7 cents to 14 cents a barrel on volume of 5,771 contracts at 4:52 p.m. in New York. April $95 calls were the second-most active with 3,517 lots. They declined 25 cents to 19 cents a barrel.
Puts accounted for 53 percent of electronic trading volume. In the previous session, bearish bets made up 58 percent of the 116,220 contracts traded.
June $80 puts were the most active options traded yesterday, with 6,071 contracts changing hands. They were down 7 cents to 77 cents a barrel. June $97.50 calls fell 42 cents to $1.77 on 4,545 lots.
Open interest was highest for December $105 calls with 35,244 contracts. Next were April $110 calls at 34,233 and June $90 puts at 32,440.
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.
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