Crude Options Volatility Increases as WTI-Brent Spread Widens

Oil options volatility rose as underlying futures declined and the spread between U.S. and global crudes grew to the widest point in almost a year.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 30.83 percent at 3:40 p.m. New York time, up from 28.14 percent on Oct. 5.

Crude for November delivery dropped 55 cents to settle at $89.33 a barrel on the New York Mercantile Exchange. Brent oil for November settlement slid 20 cents to $111.82 a barrel on the London-based ICE Futures Europe exchange.

The discount of Nymex West Texas Intermediate oil to Brent widened to $22.49 a barrel, the most since Oct. 20, 2011, on signs that supply in the U.S. is exceeding demand.

The most-active options in electronic trading today were January $120 calls with 2,439 lots changing hands. They rose 2 cents to 24 cents a barrel. November $84 puts were second-most active options, with 1,185 contracts traded. They fell 3 cents to 26 cents a barrel. One contract covers 1,000 barrels of oil.

Bullish bets accounted for 58 percent of the 23,991 contracts in electronic trading as of 4:38 p.m.

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 58 percent of the 104,594 contracts exchanged.

December $120 calls were the most-active options, with 4,356 lots trading hands while falling 2 cents to 11 cents a barrel. November $95 calls were the second-most active, dropping 48 cents to 31 cents a barrel as 4,095 lots changed hands.

Open interest was highest for December $120 calls, with 54,577 contracts. Next were December $80 puts with 48,549 contracts.

To contact the reporter on this story: Dan Murtaugh in Houston at

To contact the editor responsible for this story: Dan Stets at

Press spacebar to pause and continue. Press esc to stop.

Bloomberg reserves the right to 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.