Bloomberg News

Crude Oil Options Volatility Falls to Lowest in Two Months

June 13, 2013

Crude oil options volatility slid to the lowest level since April 11 today as the underlying futures settled at the highest price in more than three weeks.

Implied volatility for at-the-money options expiring in August, a measure of expected price swings in futures and a gauge of options prices, was 19.68 percent on the New York Mercantile Exchange as of 4:35 p.m., compared with 20.17 percent yesterday.

West Texas Intermediate crude for August delivery rose 82 cents to $96.92 a barrel on the Nymex, the highest settlement since May 20. July futures gained 81 cents to $96.69.

The most-active options in electronic trading today were August $100 calls, which rose 19 cents to $1.01 a barrel on 3,026 lots at 4:40 p.m. on the Nymex. August $90 puts were the second-most active, falling 16 cents to 52 cents a barrel on volume of 3,011 contracts.

Puts accounted for 59 percent of electronic trading volume today. In the prior session, bearish bets accounted for 52 percent of 167,735 contracts.

September $85 puts were the most-active options traded yesterday, with 12,896 contracts changing hands. They fell 2 cents to 62 cents a barrel. July $100 calls were unchanged at 3 cents on volume of 6,756 lots.

Open interest was highest for September $85 puts with 51,882 contracts. Next were December $105 calls with 37,198 lots and July $110 calls with 36,683.

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 Houston at bpowell4@bloomberg.net

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


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