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.
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