Bloomberg News

Crude Options Volatility Sinks to Two-Month Low as Oil Gains

June 14, 2013

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.

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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