Crude options volatility rose for a third day as the underlying futures fell from the highest level in almost four months.
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 23.89 percent on the New York Mercantile Exchange as of 4:40 p.m., compared with 23.76 percent yesterday.
Volatility for February options, which expire tomorrow, rose to 23.99 percent from 23.86 percent yesterday, after falling as low as 20.46 percent on Jan. 8. March volatility was 21.98 on that day.
“Volatility is going up but just incrementally,” said Michael Truscelli, a broker and trader at Paramount Options Inc. in New York and a Nymex trader. “It was just a little too low for everybody.”
Oil futures for March delivery fell 87 cents to $93.72 a barrel on the Nymex. February-delivery crude futures, which expire Jan. 22, declined 86 cents to $93.28 a barrel.
The most-active options in electronic trading today were February $93 puts, which rose 13 cents to 37 cents a barrel on volume of 2,189 contracts at 4:45 p.m. in New York. March $120 calls were the second-most active, with 2,086 lots exchanged as they were unchanged at 4 cents a barrel.
Bets that prices would fall, or puts, accounted for 60 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 52 percent of the 109,940 contracts traded.
May $110 calls were the most active options traded, with 6,515 contracts changing hands. They rose 9 cents to 65 cents a barrel. March $100 calls gained 15 cents to 74 cents on 5,275 lots exchanged.
Open interest was highest for March $110 calls with 32,281 contracts. Next were February $105 calls at 31,543 and March $70 puts at 27,481.
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