Bloomberg News

Crude Options Volatility Slides as 0il Futures Jump 1.4%

March 22, 2013

Crude options volatility dropped as oil futures gained 1.4 percent.

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 17.64 percent on the New York Mercantile Exchange at 3:50 p.m., down from 18.31 percent yesterday.

West Texas Intermediate crude oil for May delivery advanced $1.26 to settle at $93.71 a barrel on the Nymex. Prices rose 0.3 percent this week.

The most-active options in electronic trading today were May $95 calls, which rose 41 cents to $1.19 a barrel on volume of 3,616 contracts at 3:59 p.m. May $83 puts were the second- most active, with 1,798 lots traded. They fell 5 cents to 6 cents a barrel. Puts accounted for 57 percent of electronic trading volume.

December $90 puts were the most active options traded in the previous session, with 5,801 contracts changing hands. They rose 29 cents to $5.27 a barrel. December $80 puts were up 12 cents to $2.26 a barrel on 4,553 lots. Puts accounted for 58 percent of the volume.

Open interest was highest for December $105 calls with 36,499 contracts. Next were June $90 puts at 32,382 and December $110 calls at 30,930.

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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