Crude Options Volatility Rises as Oil Futures Fall in New York

Crude oil options volatility rose as underlying futures fell for the sixth time in seven sessions.

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 26.9 as of 3 p.m. in New York, up from from 26.6 on Feb. 3.

“There was very light volume today,” said Michael Truscelli, a broker at Paramount Options Inc. in New York. “We’re still stuck in a short trading range.”

Crude for March delivery fell 93 cents, or 1 percent, to settle at $96.91 a barrel on the New York Mercantile Exchange. The 30-day range for the contract is $95.44 to $103.74.

The most active options in electronic trading today were March $90 puts, with 1,725 lots changing hands at 3:06 p.m. They fell 4 cents to 17 cents a barrel. March $97 puts, the second- most active options, rose 20 cents to $1.68 with 674 lots trading. One contract covers 1,000 barrels of crude.

Puts accounted for 52 percent of electronic trading volume.

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 50.2 percent of the 127,893 trades from the previous session. April $85 puts were the most actively traded, with 6,524 lots changing hands as they fell 24 cents to 55 cents a barrel. The next-most active options, March $90 puts, lost 18 cents to 21 cents on volume of 5,648.

Open interest was highest for December $80 puts with 42,144 contracts. Next were December $150 calls with 37,258 lots and December $100 calls with 34,615.

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

Bloomberg reserves the right to remove comments but is under no obligation to do so, or to explain individual moderation decisions.

Please enable JavaScript to view the comments powered by Disqus.