Crude options volatility slid for the first time in three days as oil futures climbed from the lowest level this year.
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 19.91 percent at 3:40 p.m. on the New York Mercantile Exchange, down from 22.81 yesterday.
West Texas Intermediate crude for April delivery rose 70 cents to settle at $90.82 a barrel on the Nymex, a day after falling to the lowest level since Dec. 24. Oil’s gain was part of a broad commodities rally after the Dow Jones Industrial Average touched a record 14,286.37.
The most-active options in electronic trading today were April $88 puts, which declined 35 cents to 36 cents a barrel on volume of 2,226 contracts at 3:45 p.m. in New York. April $82 puts were the second-most active with 2,079 lots. They slipped 7 cents to 2 cents a barrel.
Calls accounted for 52 percent of electronic trading volume. In the previous session, puts made up 57 percent of the 110,016 contracts traded.
April $85 puts were the most active options traded yesterday, with 6,281 contracts changing hands. They were unchanged at 25 cents a barrel. April $87 puts rose 2 cents to 50 cents on 5,194 lots.
Open interest was highest for December $105 calls with 35,946 contracts. Next were April $110 calls at 34,207 and June $90 puts at 31,572.
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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