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Oil Options Fall With Futures Stuck in Range Before Fed
November crude options volatility rose as underlying oil futures were little changed before a Federal Reserve statement on whether there would be another round of bond purchases to stimulate the economy.
Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 29.32 percent as of 3:39 p.m. in New York, rising from 28.41 percent yesterday. It was the first increase in five days.
Crude oil for November delivery fell 16 cents to settle at $97.34 a barrel on the New York Mercantile Exchange. It was the first decline in six days.
The Federal Reserve is likely to announce a third round of bond purchases tomorrow, according to almost two-thirds of economists in a Bloomberg survey, while also extending the duration of its zero-interest-rate policy into 2015.
The most active options in electronic trading today were October $110 calls, which were unchanged at 4 cents a barrel at 4:19 p.m. with 5,027 lots trading. October $100 calls were the second-most active, with 1,851 lots changing hands as they declined 9 cents to 32 a barrel.
Bets that prices would rise accounted for 57 percent of the 46,733 contracts in electronic trading. 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 open- outcry volume, where the bulk of options activity occurs.
In the previous session, bullish bets accounted for 54 percent of the 156,728 contracts traded.
October $105 calls were the most actively traded options yesterday with 12,217 lots changing hands. They rose 1 cent to 8 cents a barrel. October $100 calls advanced 4 cents to 41 cents on volume of 8,102.
Open interest was highest for December $120 calls with 47,012 contracts. Next were December $80 puts with 44,769 lots and December $100 calls with 42,124.
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