Crude oil options volatility rose as the underlying futures fell for the first time in four days, after reports showed that claims for U.S. unemployment benefits gained more than forecast and an index of consumer comfort fell.
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 18.95 percent at 4:09 p.m. on the New York Mercantile Exchange, up from 18.7 percent yesterday.
Crude oil for March delivery slipped 46 cents to $97.49 a barrel on the Nymex. Prices declined as initial jobless claims rose to 368,000 last week, exceeding the median forecast of economists surveyed by Bloomberg. The Bloomberg Consumer Comfort Index dropped for a fourth week.
The most active options in electronic trading today were March $95 puts, which rose 3 cents to 65 cents a barrel on volume of 1,958 contracts. The second-most active, with 1,608 lots exchanged, were March $100 calls, which fell 15 cents to 46 cents a barrel.
Bets that prices would fall, or puts, accounted for 62 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, puts accounted for 57 percent of volume.
March $78 puts were the most active options yesterday, with 9,000 contracts trading as they were unchanged at 1 cent a barrel. March $87 puts slipped 2 cents to 8 cents a barrel on volume of 8,102 lots.
Open interest was highest for March $110 calls with 42,345 contracts. Next were March $85 puts at 33,334 and March $115 calls at 30,503.
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