Bloomberg News

Crude Volatility Steady as Oil Drops Fourth Time in Five Days

March 06, 2013

Crude options volatility was little changed as oil futures fell for the fourth time in five days.

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 20.06 percent at 3:35 p.m. on the New York Mercantile Exchange, up from 19.92 yesterday.

West Texas Intermediate crude for April delivery fell 39 cents to settle at $90.43 a barrel on the Nymex. Prices have slid 7.7 percent from a year-to-date high of $97.94 on Jan. 30.

The most-active options in electronic trading today were June $110 calls, which declined 2 cents to 11 cents a barrel on volume of 4,299 contracts. April $92 calls were the second-most active with 2,675 lots. They slipped 18 cents to 49 cents a barrel.

Calls accounted for 55 percent of electronic trading volume. In the previous session, puts made up 52 percent of the 126,495 contracts traded.

April $85 puts were the most active options traded yesterday, with 7,050 contracts changing hands. They fell 15 cents to 10 cents a barrel. April $82 puts declined 6 cents to 3 cents on 5,579 lots.

Open interest was highest for December $105 calls with 36,271 contracts. Next were April $110 calls at 34,205 and June $90 puts at 30,598.

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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