Oil Volatility Declines as Futures Slip for First Day in Four

Oil options volatility fell as the underlying futures slipped for the first time in four days.

Implied volatility for at-the-money options expiring in January, a measure of expected swings in futures and a gauge of options prices, dropped to 33.55 at 5 p.m. in New York from 33.9 yesterday. Futures dropped 0.8 percent after the government said crude stockpiles rose 1.34 million barrels to 336.1 million last week and imports reached a 10-week high.

The most active options contracts in electronic trading today were January $95 puts, with 2,319 lots changing hands as of 4:04 p.m. in New York. The options fell 2 cents to 39 cents a barrel. January $90 puts traded 2,220 lots, falling 1 cent to 9 cents. One contract covers 1,000 barrels of crude.

Oil for January delivery fell 79 cents to settle at $100.49 a barrel on the New York Mercantile Exchange.

December 2014 $175 calls were the most active options traded in the previous session, with 4,000 lots changing hands. They rose 7 cents to $1.75 a barrel. The next-most active options, January $105 calls, declined 9 cents to 78 cents on volume of 3,110.

Open interest was highest for December 2012 $150 calls with 38,023 contracts. Next were December 2012 $80 puts with 35,453 contracts, and December 2012 $100 calls with 32,305.

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: Paul Burkhardt in New York at pburkhardt@bloomberg.net;

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

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