Oil Options Volatility Up on Slowing Economy, Oil Releases
Oil options volatility increased amid concern that economic expansion in the U.S. is slowing and after the International Energy Agency said it will consider releasing more oil from emergency stockpiles.
Implied volatility for at-the-money options expiring in August, a measure of expected price swings in futures and a gauge of option prices, was 31.8 percent as of 1 p.m. in New York, up from 31 percent June 24.
Crude for August delivery fell 69 cents, or 0.8 percent, to $90.47 a barrel at 1:50 p.m. on the New York Mercantile Exchange. Earlier, futures touched $89.61, the lowest level since June 22.
The most active contracts in electronic trading today were August $85 puts, with 1,162 lots changing hands. They were down 6 cents to 81 cents a barrel. The next-most active contacts were December $65 puts, with 1,150 lots changing hands. They were 2 cents higher at 79 cents a barrel. One contract covers 1,000 barrels of crude.
The exchange distributes real-time data for electronic trading and releases information on floor trading, where the bulk of options trading occurs, the next business day.
August 2011 $90 puts were the most active options traded in the previous session, with 8,605 lots changing hands. They lost 26 cents to $2.22 a barrel. The next-most active options, August $85 puts, dropped 18 cents to 87 cents a barrel on volume of 5,289 lots.
Open interest was highest for December $120 calls with 43,770 contracts. Next were December $80 puts with 38,998 and December $100 calls with 37,683.
To contact the reporter on this story: Leela Landress in Houston at llandress@bloomberg.net
To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net.
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