Oil Options Volatility Little Changed as Crude Advances 3.5%

Crude oil options volatility was little changed after underlying futures rose 3.5 percent when commodities rallied and the dollar weakened as Americans selected a president.

Implied volatility for at-the-money options expiring in January, a measure of expected price swings in futures and a gauge of options prices, was 30 percent on the New York Mercantile Exchange as of 3:40 p.m., down from 30.11 percent yesterday.

January-delivery crude oil rose $3.03 to settle at $89.17 a barrel on the Nymex.

The ICE Futures’ dollar index, which tracks the currency against the euro, the yen and currencies of four other major U.S. trading partners, fell 0.14 percent at 3:51 p.m. in New York. The Standard & Poor’s GSCI gauge of commodities rose 2.3 percent with 22 of 24 materials rising.

“Everything is getting caught in a risk-on play before the election,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago.

The most active options in electronic trading today were December $85 puts, which slid 84 cents to 40 cents on volume of 2,937 lots at 3:55 p.m. January $110 calls were the second-most active, with 2,723 lots exchanged as they increased 8 cents to 17 cents.

Bets that prices would rose, or calls, accounted for 52 percent of the 63,856 lots traded.

Real-Time Data

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 made up 52 percent of the 104,005 contracts traded.

December $80 puts were the most actively traded options yesterday with 6,260 contracts. They fell 22 cents to 19 cents a barrel. December $85 calls advanced 16 cents to $1.89 on volume of 5,223 lots.

Open interest was highest for December $120 calls with 68,197 contracts. Next were December $125 calls with 46,014 lots and December $115 calls with 42,043.

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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