Bloomberg News

Crude Options Fall as WTI Rises on 5-Year Low for Jobless Claims

May 02, 2013

Crude oil options volatility fell as the underlying futures snapped a two-day losing streak after government report showed jobless claims sank to a five-year low.

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 24.42 percent at 4:10 p.m. on the New York Mercantile Exchange, down from 25.9 percent yesterday.

West Texas Intermediate for June delivery climbed $2.96 to settle at $93.99 a barrel on the Nymex, the first advance in three days. Futures rose after Labor Department figures showed U.S. jobless claims fell 18,000 to 324,000 in the week ended April 27, the fewest since January 2008.

The most-active options in electronic trading today were June $90 puts with volume of 4,346 contracts at 4:13 p.m. They dropped 85 cents to 65 cents a barrel. The second-most active were June $85 puts, which retreated 26 cents to 16 cents a barrel with 2,531 lots changing hands.

Puts, or bets that crude futures will fall, accounted for 59 percent of electronic trading volume and were the five most- traded contracts. Bearish bets made up 66 percent of the volume of 242,482 contracts yesterday.

June $80 puts were the most-active options in the previous session, with 13,844 lots changing hands as they gained 5 cents to 10 cents a barrel. June $85 puts rose 25 cents to 42 cents a barrel on volume of 12,512 contracts.

Open interest was highest for June $80 puts with 42,057 lots. Next were December $105 calls with 38,275 and December $110 calls with 34,142.

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: Christine Harvey in New York at charvey32@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net


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