Oil options volatility rose as crude climbed for a third day after U.S. first-time unemployment claims dropped and Greek political leaders struck a deal on austerity measures.
Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 29.8 as of 2:30 p.m. in New York, up from 29.5 yesterday.
Crude for February delivery rose $1.13 to settle at $99.84 a barrel on the New York Mercantile Exchange after rallying to an intraday high of $100.18.
“People have been buying upside out of the money calls, from $120 all the way to $150, just on the lottery ticket that something happens in the Middle East or the Persian Gulf,” Ray Carbone, president of Paramount Options Inc. in New York, said by phone. “The oil has been anywhere from $95 to $104 and we have not broken out of that range. We just continue to gyrate between that range and we’re still right in the middle of it.”
The most active options in electronic trading today were April $90 puts, which slipped 14 cents a barrel to 75 cents at 2:37 p.m. with 2,471 lots trading. Next were April $95 puts, which dropped 28 cents to $1.71 on 1,749 lots, and March $102.50 calls, which gained 7 cents to 42 cents on 1,625 lots. A contract covers 1,000 barrels of crude. Puts and calls were almost evenly split.
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.
Puts accounted for 38 percent of the volume yesterday. December 2015 $200 calls were the most actively traded options, with 7,850 lots changing hands. They added 29 cents to $1.42 a barrel. The next-most active options, April $140 calls, were unchanged at 10 cents a barrel on volume of 7,775 lots.
Open interest was highest for December $80 puts with 41,886 contracts. Next were December $150 calls with 37,258 lots and December $100 calls with 34,185.
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