Oil Options Volatility Declines as Futures Hold Steady

Oil options volatility was little changed after the underlying futures rose for the first time in five days on higher U.S. retail sales and a gain in Germany’s gross domestic product.

Implied volatility for at-the-money options expiring in October, a measure of expected price swings in futures and a gauge of options prices, was 27.65 percent at 3:15 p.m. on the New York Mercantile Exchange, down from 27.79 yesterday.

“It’s been running a little bit lower the last few days and running about unchanged today,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “It’s lack of activity that’s got us in the doldrums right now. We’re not seeing too much in the way of volume.”

Crude oil for October delivery rose 71 cents to settle at $93.74 a barrel on the Nymex, after dropping 12 cents yesterday and 48 cents on Aug. 10.

The most active options in electronic trading today were November $110 calls, which rose 6 cents to 63 cents a barrel at 3:20 p.m. with 4,181 lots trading. October $110 calls were the second-most active options, with 2,778 lots changing hands as they advanced 4 cents to 26 cents a barrel.

Calls accounted for 55 percent of electronic trading volume today. 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.

In the previous session, bullish bets accounted for 53 percent of the 95,080 contracts traded.

October $115 calls were the most actively traded options, with 5,898 lots changing hands. They fell 2 cents to 14 cents a barrel. October $100 calls declined 14 cents to 96 cents on volume of 4,026.

Open interest was highest for December $80 puts with 43,467 contracts. Next were December $100 calls with 43,369 lots and December $120 calls with 41,150.

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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