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 email@example.com
To contact the editor responsible for this story: Dan Stets at firstname.lastname@example.org