Oil Options Volatility Falls as Futures Stay in Range

Oil options volatility fell to the lowest in more than a year as the underlying futures advanced 44 cents, staying within the trading range they’ve been in since April 4.

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 23.57 percent at 3:08 p.m. on the New York Mercantile Exchange, compared with 24.23 percent yesterday. It was the fourth straight decline and lowest level since at least March 4, 2011.

“It’s definitely off for today,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “We’re still in this tight range of about $100 to $105.”

Crude oil for June delivery rose 0.4 percent to settle at $103.55 a barrel on Nymex. Crude has traded in a range of $100.68 to $105.07 since April 4. Futures have declined 5.7 percent since reaching a high of $109.77 on Feb. 24.

The most-active oil options in electronic trading today were October $68 puts, which lost 7 cents to 24 cents a barrel at 3:14 p.m. with 2,451 contracts trading. June $100 puts were the second-most active with 2,380 lots changing hands. They fell 21 cents to $1.20.

Puts accounted for 56 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 57 percent of the 82,449 trades in the previous session. June $100 puts were the most actively traded, with 6,138 lots changing hands. They were up 3 cents to $1.41 a barrel. The next-most active options, June $95 puts, fell 4 cents to 47 cents on volume of 3,938.

Open interest was highest for December $80 puts with 43,436 contracts. Next were December $150 calls with 38,301 lots and June $140 calls with 34,972.

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

Press spacebar to pause and continue. Press esc to stop.

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.