Bloomberg News

Crude Options Volatility Steady as Futures Slide to Two-Week Low

April 04, 2013

Crude options volatility was unchanged as oil futures slid 1.3 percent to a two-week low.

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 19.92 percent at 4:05 p.m. on the New York Mercantile Exchange, the same as yesterday.

West Texas Intermediate crude for May delivery fell $1.19 to settle at $93.26 a barrel on the Nymex. Prices have fallen three of the past four days, losing 4.1 percent.

The most-active options in electronic trading today were May $90 puts, which rose 12 cents to 42 cents a barrel on volume of 7,837 contracts at 4:12 p.m. May $88 puts were the second- most active, with 5,427 lots traded. They advanced 7 cents to 20 cents a barrel.

Bets that prices would fall accounted for 64 percent of electronic trading volume. Puts made up 59 percent of yesterday’s volume of 181,644 contracts.

May $90 puts were the most active options traded yesterday, with 13,281 contracts changing hands. They rose 23 cents to 30 cents a barrel. May $100 calls declined 29 cents to 10 cents on 5,681 lots.

Open interest was highest for December $105 calls with 36,084 contracts. Next were December $100 calls with 34,314 and December $110 calls at 32,336.

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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