Bloomberg News

Crude Options Volatility Falls as Futures Gain Most in Two Weeks

April 09, 2013

Crude options volatility fell as oil futures advanced the most in two weeks.

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 18.97 percent at 3 p.m. on the New York Mercantile Exchange, down from 19.98 percent yesterday. Volatility for options expiring in June declined to 18.81 percent from 19.41 percent.

West Texas Intermediate crude for May delivery rose 84 cents to settle at $94.20 a barrel on the Nymex, the biggest increase since March 26. WTI for June delivery advanced 83 cents to $94.51.

The most-active options in electronic trading today were June $80 puts, which fell 2 cents to 7 cents a barrel on volume of 8,248 contracts at 3:06 p.m. May $90 puts were the second- most active, declining 15 cents to 12 cents on volume of 2,471 contracts.

Puts accounted for 66 percent of electronic trading volume. Puts made up 55 percent of yesterday’s volume of 97,228 contracts.

July $85 puts were the most active options traded in the previous session, with 3,849 contracts changing hands. They declined 16 cents to 74 cents a barrel. June $70 puts were unchanged at 2 cents on 3,243 lots.

Open interest was highest for May $85 puts with 38,303 contracts. Next were December $105 calls with 36,197 and December $100 calls at 33,916.

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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