Bloomberg News

Crude Oil Options Volatility Climbs First Time in Five Days

March 28, 2013

Crude options volatility rose for the first time in five days after sliding below 16 percent yesterday. Oil futures climbed to a six-week high.

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 16.29 percent at 2:55 p.m. on the New York Mercantile Exchange, up from 15.97 percent yesterday.

“With higher prices, you expect to see volatility come down, but it’s up today because we were at extreme lows,” said Jim Colburn, a vice president and energy options broker at Jefferies Bache LLC in New York. “Oil markets don’t stay down that low for long. You don’t want to be overly short vols at these levels.”

West Texas Intermediate oil for May delivery gained 65 cents, or 0.7 percent, to $97.23 a barrel on the Nymex, the highest settlement since Feb. 14. Prices rose a fifth day in the longest rally this year.

The most-active options in electronic trading today were May $90 puts, which fell 2 cents to 8 cents a barrel on volume of 3,104 contracts at 3:13 p.m. June $88 puts were the second- most active, with 2,934 lots traded. They declined 4 cents to 33 cents a barrel.

Puts accounted for 52 percent of electronic trading volume. Calls made up 51 percent of yesterday’s trading volume of 127,393 contracts.

June $100 calls were the most active options traded yesterday, with 9,565 contracts changing hands. They rose 8 cents to $1.14 a barrel. May $90 puts slid 5 cents to 10 cents a barrel on 8,605 lots.

Open interest was highest for December $105 calls with 36,314 contracts. Next were December $100 calls at 34,181 and December $110 calls at 32,234.

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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