Crude Options Volatility Stable as Oil at Three-Month High

Crude options volatility was little changed as the underlying futures advanced to the highest level in three months.

Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options prices, was 22.08 percent on the New York Mercantile Exchange at 3:35 p.m., down from 22.19 percent yesterday. It was the seventh consecutive day that volatility was less than 25 percent.

February-delivery crude oil advanced 72 cents to $93.82 a barrel on the Nymex, the highest settlement since Sept. 18. Volatility has lessened and oil prices have been little changed since Congress approved a budget deal Jan. 2 to avert the “fiscal cliff” of spending cuts and higher taxes for most Americans that threatened the U.S. economy.

“Implied volatility for crude oil has declined sharply,” said Jim Colburn, a vice president and energy options broker at Jefferies Bache LLC in New York.

The most-active options in electronic trading today were February $90 puts, which fell 8 cents to 13 cents a barrel on volume of 4,051 contracts at 3:37 p.m. in New York. February $95 calls were the second-most active, with 3,720 lots exchanged as they rose 16 cents to 47 cents a barrel.

Calls Dominate

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.

In the previous session, bullish bets accounted for 51 percent of the 103,472 contracts traded.

March $85 puts were the most active options with 4,768 contracts changing hands. They rose 1 cent to 51 cents a barrel. June $130 calls fell 1 cent to 13 cents on 3,558 lots.

Open interest was highest for February $105 calls with 32,279 contracts. Next were March $70 puts at 27,483 and February $110 calls at 25,921.

To contact the reporter on this story: Barbara 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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