Bloomberg News

Crude Volatility Slips as Futures Trade in Narrow Range

March 08, 2013

Crude oil options volatility slipped as West Texas Intermediate crude futures traded within the narrowest range in seven weeks.

Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, was 19.38 percent at 11:55 a.m. on the New York Mercantile Exchange, down from 19.54 percent yesterday.

Crude oil for April delivery dropped 32 cents, or 0.4 percent, to $91.24 a barrel on the Nymex, and traded between $90.83 and $91.73, the narrowest range since Jan. 18. The May contract slipped 29 cents to $91.74 a barrel.

The most-active options in electronic trading today were May $82 puts, which were slipped 1 cent to 26 cents a barrel on volume of 1,256 contracts. April $94 calls, the second-most active with 1,039 lots, fell 7 cents to 12 cents a barrel.

Puts, or best that prices would fall, accounted for 57 percent of electronic trading volume. In the previous session, calls made up 52 percent of the 110,379 contracts traded.

May $80 puts were the most active options traded yesterday, with 3,870 contracts changing hands. They dropped 9 cents to 16 cents a barrel. April $95 calls gained 1 cent to 10 cents a barrel on volume of 3,458 contracts.

Open interest was highest for December $105 calls with 36,319 contracts. Next were April $110 calls at 34,191 and June $90 puts at 31,149.

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: Christine Harvey in New York at charvey32@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net


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