Oil Options Volatility Rises as Furtures Slide

Crude-oil options volatility slid after underlying futures climbed amid lower inventories and the highest refinery rates in almost five years.

Implied volatility for at-the-money options expiring in September, a measure of expected price swings in futures and a gauge of options prices, was 33.87 percent at 4:35 p.m. on the New York Mercantile Exchange, down from 35.76 percent yesterday. September options are now more active than August.

Crude oil for September delivery advanced $1.89, or 2.2 percent, to settle at $86.19 a barrel on the Nymex.

U.S. oil inventories fell 4.7 million barrels to 378.2 million in the week ended July 6, according to the Energy Department. Refineries operated at 92.7 percent of capacity, the highest rate since July 2007.

The most active options in electronic trading today were August $90 calls, which rose 9 cents to 26 cents a barrel at 4:40 p.m. with 4,526 lots trading. August $80 puts were the second-most active options, with 3,451 lots changing hands as they fell 30 cents to 13 cents a barrel.

Bearish Bets

Puts accounted for 58 percent of total 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 53 percent of the 166,607 contracts traded in the previous session.

January $110 calls were the most actively traded, with 10,000 lots changing hands. They lost 21 cents to $1.38 a barrel. The next-most active options, August $80 puts, rose 19 cents to 43 cents on volume of 6,670.

Open interest was highest for December $80 puts with 44,885 contracts. Next were December $120 calls with 39,983 lots and December $72 puts with 35,411.

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

Bloomberg reserves the right to edit or 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.