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 email@example.com
To contact the editor responsible for this story: Dan Stets at firstname.lastname@example.org