Crude Oil Options Advance With Futures on Budget Optimism

Crude oil options volatility rose with the underlying futures on optimism lawmakers will reach a last-minute budget deal that would protect all but top earners from a tax increase that threatens economic growth.

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 26.18 percent at 2:05 p.m. on the New York Mercantile Exchange, up from 25.46 on Dec. 28.

Crude oil for February delivery rose 68 cents, or 0.8 percent, to $91.48 a barrel on Nymex, reversing an earlier loss of as much as 0.9 percent. Futures gained as Democrats and Republicans discussed how to avert more than $600 billion of tax increases and spending cuts.

“It appears” a fiscal cliff agreement is “within sight,” President Barack Obama said today at a White House event with middle-class Americans. The U.S. can tackle the deficit “in stages,” he later added.

If no deal is struck, the changes would cause a recession in the first half of 2013, according to the Congressional Budget Office.

The most active options in electronic trading today were February $80 puts, which declined 4 cents to 11 cents a barrel at 2:07 p.m. on volume of 982 contracts. The second-most active, with 852 lots exchanged, were February $100 calls, up 1 cent at 15 cents a barrel.

Bullish Bets

Bets that prices would rise, or calls, accounted for 54 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, bets that prices would fall, or puts, accounted for 62 percent of volume.

February $85 puts were the most active options Dec. 28, with 4,586 contracts trading as they were unchanged at 53 cents a barrel. December 2014 $75 puts fell 4 cents to $5.60 a barrel on 2,000 lots.

Open interest was highest for February $105 calls with 37,001 contracts. Next were March $70 puts at 29,641 lots and February $100 calls with 26,746.

To contact the reporter on this story: Christine Harvey in New York 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.