Oil Options Volatility Little Changed as Futures Retreat

Oil options volatility was little changed after underlying futures fell for the first time in three days as U.S. inventories rose last week.

Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 25.53 as of 3:25 p.m. on the New York Mercantile Exchange, versus 25.63 yesterday.

“Yesterday, volatility was down a little because of the rally,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “Today, crude is down, but it hasn’t been able to break out of the range.”

Crude oil for May delivery fell $1.53, or 1.5 percent, to settle at $102.67 a barrel on the New York Mercantile Exchange, after settling at the highest level since April 2 yesterday. Crude since April 4 has traded in a range of $100.68 to $105.07.

Crude for June delivery lost $1.52 to $103.12. May futures expire April 20.

The most-active oil options in electronic trading today were June $95 puts, which rose 14 cents to 70 cents a barrel at 3:05 p.m. with 3,836 contracts trading. June $100 puts were the second-most active with 3,045 lots changing hands. They gained 33 cents to $1.76 a barrel.

Puts accounted for 58 percent of electronic trading volume. One contract covers 1,000 barrels of crude.

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 bets accounted for 51 percent of the 81,003 trades in the previous session. June $130 calls were the most actively traded, with 9,531 lots changing hands. They were down 1 cent to 9 cents a barrel. The next-most active options, June $100 puts, fell 54 cents to $1.43 on volume of 3,899.

Open interest was highest for December $80 puts with 46,763 contracts. Next were December $150 calls with 38,483 lots and June $140 calls with 34,436.

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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