Bloomberg News

Oil Volatility Rises to Four-Day High as Futures Drop Below $90

March 04, 2013

Crude options volatility rose to a four-day high as oil futures touched below $90 a barrel for the first time this year on concern China’s growth is slowing.

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 23.07 percent at 3:50 p.m. on the New York Mercantile Exchange, up from 21.19 percent on March 1.

West Texas Intermediate crude for April delivery declined 56 cents to $90.12 a barrel, the lowest settlement since Dec. 24, as service industries in China expanded at the weakest pace in five months. Prices touched $89.33.

The most-active options in electronic trading today were April $85 puts, which rose 1 cent to 26 cents a barrel on volume of 3,452 contracts at 3:26 p.m. in New York. April $88 puts were the second-most active with 2,693 lots. They advanced 8 cents to 74 cents a barrel.

Puts accounted for 58 percent of electronic trading volume. In the previous session, bearish bets made up 53 percent of the 165,684 contracts traded.

May $90 puts were the most active options traded March 1, with 7,224 contracts changing hands. They were up 43 cents to $2.42 a barrel. April $80 puts rose 2 cents to 5 cents on 7,104 lots.

Open interest was highest for December $105 calls with 35,945 contracts. Next were April $110 calls at 34,207 and June $90 puts at 32,160.

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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