Crude oil options volatility fell as the underlying futures rallied to a two-week high on better-than-expected U.S. employment data.
Implied volatility for at-the-money options expiring in July, a measure of expected price swings in futures and a gauge of options prices, was 19.49 percent on the New York Mercantile Exchange at 3:45 p.m. compared with 21.78 percent yesterday.
West Texas Intermediate gained $1.27, or 1.3 percent, to close at $96.03 a barrel, the highest settlement since May 21. The futures rallied after Labor Department figures showed U.S. payrolls advanced 175,000 in May, beating the 163,000 median forecast of economists surveyed by Bloomberg.
The most-active options in electronic trading today were July $90 puts, which slid 13 cents to 11 cents a barrel on volume of 4,086 contracts at 3:50 p.m. on the Nymex. July $92 puts were the second-most active with 3,480 lots changing hands. They fell 29 cents to 25 cents a barrel.
Puts, or bets that prices would fall, accounted for 60 percent of electronic trading volume today. In the prior day’s trading, puts accounted for 59 percent of 136,902 contracts.
July $100 calls were the most-active traded options in the previous session, increasing 1 cent to 9 cents a barrel on volume of 7,788 contracts. July $88 puts dropped 9 cents to 10 cents a barrel as 6,827 lots exchanged hands.
Open interest was highest for September $85 puts with 41,904 contracts. Next were December $105 calls with 39,515 and July $110 calls with 36,928.
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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