Oil Options Volatility Rises as Futures Decline on Obama Comment
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Oil options volatility rose for the second day as crude fell the most since December as President Barack Obama said a pre-emptive strike on Iran might generate “sympathy” for the Persian Gulf country, easing concern that an attack would take place.
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 28.2 as of 2:30 p.m. in New York, up from 27.9 yesterday. Puts were 60 percent of the volume. Implied volatility for 25-delta calls, which gain 25 cents for each $1 rise in futures, was 28.6, up from 27.8 yesterday.