Crude Oil Options Volatility Unchanged as Futures Drop

Crude oil options volatility was unchanged as the underlying futures declined amid concern the American economy will weaken if U.S. lawmakers miss a year-end budget deadline.

Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options price, was 24.62 percent at 2:25 p.m. on the New York Mercantile Exchange, the same as on Dec. 21.

Crude oil for February delivery fell 5 cents to $88.61 a barrel on the New York Mercantile Exchange, the second consecutive decline, as Democrats and Republicans discussed how to avoid more than $600 billion in tax gains and spending cuts scheduled for January.

Failure to reach an agreement would push the U.S. into recession in the first half of 2013, the nonpartisan Congressional Budget Office said.

The most active options in electronic trading today were March $150 calls on volume of 1,986 contracts. They were unchanged at 1 cent a barrel at 1:27 p.m. The second-most active, with 1,002 lots exchanged, were March $72 puts, which were down 2 cents to 26 cents a barrel.

Bets that prices would rise, or calls, accounted for 57 percent of electronic trading volume.

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. deteriorating.

In the previous session, bearish bets accounted for 60 percent of volume.

April $70 puts, which rose 9 cents to 44 cents a barrel, were the most active options Dec. 21, with 5,647 contracts changing hands. February $85 puts gained 32 cents to $1.10 a barrel on 4,272 lots.

Open interest was highest for February $105 calls with 35,821 contracts. Next were February $110 calls at 25,679 lots and March $70 puts with 25,640.

To contact the reporter on this story: Christine Harvey in New York at charvey32@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net

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