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Crude Options Volatility Advances as Futures Slip a Third Day

Crude oil options volatility rose after underlying futures dropped for a third day.

Implied volatility for at-the-money options expiring in March, a measure of expected price swings in futures and a gauge of options prices, was 28.34 as of 4:01 p.m. in New York, up from 27.89 yesterday.

Crude for March delivery fell 30 cents to $98.48 a barrel on the New York Mercantile Exchange, the lowest settlement price since Jan. 20.

The most active options in electronic trading today were March $90 puts, with 1,636 lots changing hands at 4:03 p.m. They rose 1 cent to 30 cents a barrel. July 61 puts, the second-most active option, declined 3 cents to 34 cents with 1,320 lots trading. One contract covers 1,000 barrels of crude.

Calls accounted for 54 percent of electronic trading volume and were five of the eight most-active contracts.

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.

Bearish options accounted for 51 percent of volume in the previous session. December $200 calls were the most actively traded, with 7,000 lots changing hands as they fell 3 cents to 72 cents a barrel. The next-most active options, April $80 puts, dropped 4 cents to 33 cents on volume of 3,422 lots.

Open interest was highest for December $80 puts with 39,925 contracts. Next were December $150 calls with 36,813 lots and December $100 calls with 32,924.

To contact the reporter on this story: Barbara J. Powell in Dallas at bpowell4@bloomberg.net

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

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