Oil Options Volatility Little Changed as Futures Rise 4 Cents
Crude oil options volatility was little changed as underlying futures rose 4 cents.
Implied volatility for options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 31.24 percent at 3:05 p.m. in New York, after being at 31.04 on Oct. 12.
“We’re kind of range-bound here again after the rally last week,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.
December-delivery crude oil rose 4 cents to settle at $92.32 a barrel on the New York Mercantile Exchange, after falling 22 cents on Oct. 12.
The most active options in electronic trading today were November $90 puts, which fell 17 cents to 29 cents a barrel at 3:34 p.m. with 2,417 lots trading. January $110 calls were the second-most active, with 1,618 lots exchanged as they declined 7 cents to 59 cents a barrel.
Bearish bets accounted for 51 percent of the 40,120 contracts in electronic trading. One contract covers 1,000 barrels of oil.
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, bets that prices would rise made up 54 percent of the 96,432 contracts traded.
December $100 calls were the most actively traded options on Oct. 12 with 4,679 lots changing hands. They fell 19 cents to 89 cents a barrel. November $95 calls declined 15 cents to 25 cents on volume of 3,941 lots.
Open interest was highest for December $120 calls with 67,836 contracts. Next were December $80 puts with 51,455 lots and December $125 calls with 45,154.
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