Bloomberg News

Crude Oil Options Volatility Jumps as Oil Falls Most This year

April 03, 2013

Crude options volatility jumped to a four-week high as oil futures dropped the most this year.

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 20.16 percent at 4 p.m. on the New York Mercantile Exchange, up from 17.29 percent yesterday.

West Texas Intermediate crude for May delivery fell $2.74, or 2.8 percent, to settle at $94.45 a barrel on the Nymex. It was the biggest decline since Nov. 20 and came after the Energy Information Administration reported that oil stockpiles climbed to the highest level in more than 22 years last week.

The most-active options in electronic trading today were May $90 puts, which rose 26 cents to 33 cents a barrel on volume of 9,025 contracts at 4:19 p.m. May $100 calls were the second- most active, with 4,357 lots traded. They declined 29 cents to 10 cents a barrel.

Puts accounted for 59 percent of electronic trading volume. Calls made up 54 percent of yesterday’s volume of 84,716 contracts.

May $102 calls were the most active options traded yesterday, with 4,604 contracts changing hands. They fell 2 cents to 15 cents a barrel. May $105 calls declined 1 cent to 5 cents on 3,939 lots.

Open interest was highest for December $105 calls with 35,830 contracts. Next were December $100 calls with 34,313 and December $110 calls at 32,486.

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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