Oil Volatility Increases as Futures Rise on Thanksgiving Retail

Oil options volatility increased as the underlying futures rose on record-high Thanksgiving retail sales in the U.S., signaling economic growth in the world’s largest crude-consuming nation.

Implied volatility for at-the-money options expiring in January, a measure of expected swings in futures and a gauge of options prices, increased to 40.6 at 11:30 a.m. in New York, from 39.7 on Nov. 25. U.S. consumers spent $52.4 billion during the holiday weekend, said the National Retail Federation, citing a survey from BIGresearch.

“With the consumer really coming to the rescue, it’s buoying sentiment for right now, and for what may lie ahead for the economy,” John Kilduff, a partner at Again Capital LLC, a New York-based hedge fund that focuses on energy, said in a telephone interview.

The most active options contracts in electronic trading today were January $110 calls, with 1,707 lots changing hands as of 11:55 a.m. in New York. The options gained 5 cents to 39 cents a barrel. January $90 puts traded 697 lots, falling 41 cents to $1.01. One contract covers 1,000 barrels of crude.

Puts accounted for 58 percent of the volume.

Oil for January delivery gained $1.68, or 1.7 percent, to $98.45 a barrel as of 11:36 a.m. on the New York Mercantile Exchange.

January $85 puts were the most active options traded in the previous session, with 3,369 lots changing hands. They fell 17 cents to 69 cents a barrel. The next-most active options, January $80 puts, fell 8 cents to 34 cents on volume of 3,287.

Puts accounted for 61 percent of 33,527 lots.

Open interest was highest for December 2012 $150 calls, with 37,171 contracts. Next were December 2012 $80 puts, with 35,399 contracts, and December 2012 $100 calls, with 32,482.

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.

To contact the reporter on this story: Justin Doom in New York at jdoom1@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net

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