Bloomberg News

Oil Options Volatility Rises as Futures Fall on Pipe Shutdown

April 01, 2013

Crude oil options volatility rose as the underlying futures fell for the first time in six days after Exxon Mobil Corp. (XOM:US) shut its Pegasus pipeline following a spill in Arkansas.

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 17.43 percent at 3:30 p.m. on the New York Mercantile Exchange, up from 16.57 percent on March 28.

West Texas Intermediate oil for May delivery dropped 16 cents to settle at $97.07 a barrel on the Nymex. The shutdown of Pegasus, which carries oil to the Gulf Coast from Illinois, stoked concern that U.S. stockpiles will build.

The most-active options in electronic trading today were May $90 puts, which were unchanged at 9 cents a barrel on volume of 2,319 contracts at 3:41 p.m. June $105 calls were the second- most active, with 1,597 lots traded. They declined 4 cents to 30 cents a barrel.

Puts accounted for 56 percent of electronic trading volume. Calls made up 51 percent of the trading volume of 103,438 contracts on March 28.

May $90 puts were the most active options traded in that session, with 5,693 contracts changing hands. They fell 1 cent to 9 cents a barrel. June $110 calls gained 2 cents to 12 cents a barrel on 3,988 lots.

Open interest was highest for December $105 calls with 36,119 contracts. Next were December $100 calls at 34,150 and December $110 calls at 32,238.

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: Dan Murtaugh in Houston at dmurtaugh@bloomberg.net

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


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Companies Mentioned

  • XOM
    (Exxon Mobil Corp)
    • $92.89 USD
    • 1.12
    • 1.21%
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