Crude oil options volatility rose for a second day as the underlying futures fell to the least in five weeks on economic data signaling lower fuel demand.
Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 20.81 percent at 4:05 p.m. on the New York Mercantile Exchange, up from 19.33 percent yesterday.
West Texas Intermediate crude for June delivery declined $2.24 to settle at $91.61 a barrel, the lowest level since March 6. The futures dropped as much as 3.4 percent earlier after Commerce Department figures showed that retail sales slipped 0.4 percent last month and a gauge of U.S. consumer sentiment slumped to a nine-month low.
The most-active options in electronic trading today were May $90 puts, which gained 41 cents to 53 cents a barrel on volume of 9,021 contracts at 4 p.m. June $70 puts were the second-most active, rising 1 cent to 3 cents a barrel. Contracts traded totaled 7,434.
Puts accounted for 63 percent of electronic trading volume today. Calls made up 51 percent of yesterday’s volume of 107,645 contracts.
May $90 puts were the most active options traded in the previous session, with 4,807 contracts changing hands. They increased 5 cent to 12 cents a barrel. June $90 puts rose 23 cents to 94 cents a barrel on 4,757 lots.
Open interest was highest for May $85 puts with 38,518 contracts. Next were June $80 puts with 38,069 and December $105 calls at 36,564.
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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