Bloomberg News

Oil Options Volatility Falls With Futures on Fed’s Bond Buying

June 19, 2013

Crude oil options volatility fell along with futures after the Federal Reserve said it will keep buying bonds at an $85 billion-a-month pace.

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 18.13 percent on the New York Mercantile Exchange as of 4:10 p.m., compared with 18.82 percent yesterday. West Texas Intermediate for August delivery fell 19 cents to $98.48 a barrel.

The most-active options in electronic trading today were August $90 puts, which were unchanged at 26 cents a barrel on volume of 2,766 lots traded at 4:12 p.m. August $110 calls were the second-most active with 2,121 contracts. They fell 3 cents to 7 cents a barrel.

Puts, or bets that prices would fall, accounted for 54 percent of electronic trading volume. In the prior session, puts accounted for 53 percent of 126,483 contracts.

December $120 calls were the most-active options traded yesterday as they increased 8 cents to 33 cents a barrel on volume of 7,234 lots. August $90 puts dropped 8 cents to 26 cents a barrel with 6,872 lots changing hands.

Open interest was highest for September $85 puts with 53,393 contracts. Next were December $105 calls with 36,093 lots and December $80 puts with 35,609.

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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