Oil Options Volatility Steady as Futures Fall on Embargo Delay
Oil options volatility slipped as underlying futures fell to a three-week low on news that an embargo on Iranian oil imports may be postponed.
Implied volatility for at-the-money options expiring in March, a measure of expected swings in futures and a gauge of options prices, was 32.3 at 3 p.m. in New York, compared with 32.6 yesterday.
Crude fell 0.4 percent after two European Union officials said that the ban would be delayed for six months to allow nations to find new supply. Members of the Organization of Petroleum Exporting Countries would be able to make up for a drop in Iranian supplies to Europe, former OPEC President Chakib Khelil said.
“Oil had been rising because of the escalating tension surrounding Iran, and now the same thing that brought oil up is the same thing that’s bringing it down,” said James Williams, an economist at WTRG Economics, an energy research firm in London, Arkansas.
The most active options contracts in electronic trading today were March $90 puts, with 2,457 lots changing hands at 3:15 p.m. The options slid 7 cents to $1.11 a barrel. Next were February $100 calls, with 2,230 lots. They fell 31 cents to 56 cents. One contract covers 1,000 barrels of crude.
Puts accounted for 55 percent of the volume.
Futures Decline
Crude oil for February delivery fell 40 cents to $98.70 a barrel on the New York Mercantile Exchange, the lowest settlement since Dec. 21. Oil dropped 2.8 percent this week and is down 8 percent from a year earlier.
February $105 calls were the most active options traded in the previous session, with 5,246 lots changing hands. They slid 16 cents to 10 cents. The next-most active options, March $90 puts, increased 23 cents to $1.18 on volume of 4,752.
Calls accounted for 51 percent of 157,289 lots traded.
Open interest was highest for December $80 puts with 37,514 contracts. Next were June $80 puts with 37,427.
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: Moming Zhou in New York at mzhou29@bloomberg.net
To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net
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