Bloomberg News

Crude Options Volatility Reaches Two-Week High as Futures Sink

June 21, 2013

Crude oil options volatility increased to a two-week high as the underlying futures dropped 1.5 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 21.85 percent on the New York Mercantile Exchange as of 2:40 p.m., compared with 21.37 percent yesterday.

West Texas Intermediate crude for August delivery fell $1.45 to settle at $93.69 a barrel on the Nymex.

The most-active options in electronic trading today were September $85 puts, which gained 19 cents to 90 cents a barrel on volume of 6,997 lots traded at 2:46 p.m. August $103 calls were the second-most active, declining 5 cents to 12 cents a barrel on volume of 4,406 contracts.

Puts accounted for 56 percent of electronic trading volume. In the prior session, bearish bets accounted for 62 percent of 188,792 contracts.

August $90 puts were the most-active options traded yesterday, with 19,346 contracts changing hands. They rose 48 cents to 75 cents a barrel. September $85 puts advanced 36 cents to 71 cents on volume of 12,673 lots.

Open interest was highest for September $85 puts, with 47,133 contracts. Next were December $105 calls with 36,222 lots and December $80 puts with 35,678.

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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