Crude Options Volatility Falls as Oil Rises

Crude-oil options volatility was little changed as underlying futures rose for the first time in five days.

Implied volatility for at-the-money options expiring in July, a measure of expected price swings in futures and a gauge of options prices, was 40.63 percent at 4:35 p.m. on the New York Mercantile Exchange. Volatility was 40.56 on June 1, the highest level for the front-month contract since Oct. 20.

“The market is catching its breath and some people wanted to take profit,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

Crude oil for July delivery rose 75 cents to settle at $83.98 a barrel on the Nymex, after settling on June 1 at the lowest settlement since Oct. 7.

Futures climbed as the dollar slipped a second day against the euro, increasing the investment appeal of commodities.

The most active oil options in electronic trading today were July $75 puts, which fell 38 cents to 23 cents a barrel at 4:41 p.m. with 2,784 lots trading. July $80 puts were the second-most active options with 2,572 lots changing hands as they declined 70 cents to 83 cents.

Puts accounted for 56 percent of electronic trading volume, and four of the five most-active options were bearish. 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 76 percent of the 430,840 trades in the previous session. December $70 puts were the most actively traded, with 41,501 lots changing hands. They rose $1 to $3.22 a barrel. The next-most active options, December $72 puts, rose $1.09 to $3.71 on volume of 38,450.

Open interest was highest for December $80 puts with 50,512 contracts. Next were December $70 puts with 40,090 lots and December $150 calls with 36005.

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net

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