Crude oil options volatility sank to the lowest level since April 10 as the underlying futures jumped 1.2 percent.
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 18.88 percent on the New York Mercantile Exchange as of 3:10 p.m., compared with 19.74 percent yesterday.
“We’ve had a little bit of a bull run here but we’re still in a big trading range,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago. “If the market gets above $100 or below $87, the vols will go off the map.”
West Texas Intermediate crude for August delivery rose $1.15, or 1.2 percent, to settle at $98.07 a barrel on the Nymex. July futures gained $1.16 to $97.85.
The most-active options in electronic trading today were July $100 calls, which rose 1 cent to 5 cents a barrel on 4,912 lots at 3:47 p.m. on the Nymex. July $98 calls were the second-most active, rising 17 cents to 40 cents a barrel on volume of 3,410 contracts.
Calls and puts were almost evenly split in electronic trading volume. In the prior session, puts accounted for 60 percent of 109,862 contracts.
August $90 puts were the most-active options traded yesterday, with 6,766 contracts changing hands. They fell 16 cents to 52 cents a barrel. August $86 puts declined 7 cents to 21 cents on volume of 6,317 lots.
Open interest was highest for September $85 puts with 53,758 contracts. Next were July $110 calls with 36,683 lots and December $105 calls with 36,137.
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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