Crude Options Volatility Falls as Futures Gain on Greek Swap

Crude oil options volatility retreated from a six-week high as underlying futures rose after more investors agreed to a Greek debt swap, boosting optimism that the European debt crisis will be contained.

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 28.1 as of 3 p.m., down from 31.2 yesterday.

“We’re getting a little bit rangebound and there was no significant buying today,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

Crude for April delivery rose $1.46, or 1.4 percent, to settle at $106.16 a barrel on the New York Mercantile Exchange. Since Feb. 17, the front-month contract has traded in a range of $104.26 and $110.55.

The most active options in electronic trading today were April $95 puts, with 2,545 lots changing hands at 3:24 p.m. They fell 11 cents to 5 cents a barrel. April $100 puts, the second- most active options, declined 33 cents to 26 cents with 1,995 lots trading. One contract covers 1,000 barrels of crude.

Puts accounted for 53 percent of electronic trading volume.

The exchange distributes real-time data for electronic trading and releases information the next business day on floor trading, where the bulk of options trading occurs.

Bearish options accounted for 56 percent of the 131,038 trades from the previous session. June $90 puts were the most actively traded, with 9,423 lots changing hands as they rose 21 cents to $1.33 a barrel. The next-most active options, May $128 calls, lost 7 cents to 37 cents on volume of 7,802.

Open interest was highest for December $80 puts with 46,173 contracts. Next were December $150 calls with 38,727 lots and December $100 calls with 34,926.

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