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 bpowell4@bloomberg.net

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

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