Bloomberg News

Crude Volatility Slips as WTI Oil Futures Rise From 2013 Low

March 05, 2013

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.

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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