Oil Options Volatility Falls as Futures Rise

Crude-oil options volatility fell as underlying futures settled above $80 a barrel for the first time in five days after government reports showed gains in U.S. durable goods orders and the housing market.

Implied volatility for at-the-money options expiring in August, a measure of expected price swings in futures and a gauge of options prices, was 30.5 percent at 3:05 p.m. on the New York Mercantile Exchange, down from 31.5 percent yesterday.

Crude oil for August delivery gained 85 cents to settle at $80.21 a barrel on the Nymex.

U.S. durable goods orders rose 1.1 percent in May, the Commerce Department reported. The index of pending home resales climbed 5.9 percent to 101.1, matching a two-year high reached in March, figures from the National Association of Realtors showed.

The most active oil options in electronic trading today were September $100 calls, which were unchanged at 16 cents a barrel at 3:09 p.m. with 2,791 lots trading. August $75 puts were the second-most active options, with 2,064 lots changing hands as they lost 27 cents to 66 cents.

Puts accounted for 55 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.

Bullish bets accounted for 64 percent of the 83,657 contracts traded in the previous session. August $90 calls were the most actively traded, with 3,453 lots changing hands. They fell 4 cents to 12 cents. The next-most active options, September $70 puts, declined 19 cents to $1.03 on volume of 3,328.

Open interest was highest for December $80 puts with 45,285 contracts. Next were December $120 calls with 39,639 lots and December $100 calls with 38,555.

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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