Crude Options Volatility Steady as Futures Gain for Fifth Week

Crude options volatility was little changed as futures gained for a fifth week.

Implied volatility for at-the-money options expiring in March, a measure of expected price swings in futures and a gauge of options prices, was 22.24 percent on the New York Mercantile Exchange as of 4:10 p.m., compared with 22.06 percent yesterday. February options expire Jan. 16.

Crude oil for March delivery dropped 28 cents to settle at $93.99 on the exchange. February-delivery crude oil fell 26 cents to $93.56 a barrel and advanced 47 cents this week.

The most-active options in electronic trading today were March $85 puts, which rose 1 cent to 42 cents a barrel on volume of 2,928 contracts at 3:48 p.m. in New York. March $90 puts were the second-most active, with 1,858 lots exchanged as they advanced 1 cent to $1.14 a barrel.

Bets that prices would fall, or puts, 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.

In the previous session, bullish bets accounted for 53 percent of the 152,693 contracts traded.

March $110 calls were the most active options with 9,831 contracts changing hands. They rose 2 cents to 11 cents a barrel. March $85 puts fell 10 cents to 41 cents on 6,712 lots.

Open interest was highest for February $105 calls with 31,818 contracts. Next were March $70 puts at 27,480 and March $110 calls at 27,410.

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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