Crude Options Volatility Rise to Highest Level Since Jan. 3

Crude options volatility rose to the highest level since Jan. 3 as underlying futures advanced.

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 rose 60 cents to $94.59 a barrel on the Nymex. February-delivery crude oil advanced 58 cents to $94.14 a barrel, the highest settlement for the front- month contract since Sept. 17.

The most-active options in electronic trading today were March $120 calls, which were unchanged at 4 cents a barrel on volume of 867 contracts at 3:21 p.m. in New York. March $85 puts were the second-most active, with 1,463 lots exchanged as they fell 6 cents to 40 cents a barrel.

Bets that prices would fall, or puts, accounted for 50.2 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, bearish bets accounted for 54 percent of the 102,861 contracts traded.

March $90 puts were the most active options with 4,716 contracts changing hands. They rose 7 cents to 7 cents a barrel. March $110 calls fell 1 cent to 10 cents on 4,601 lots.

Open interest was highest for February $105 calls with 31,541 contracts. Next were March $110 calls at 31,422 and March $70 puts at 27,475.

To contact the reporter on this story: Barbara Powell in Dallas 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.