Oil Options Volatility Rises as Crude Falls on Economic Data

Crude oil options volatility rose as the underlying futures fell after U.S. industrial production unexpectedly shrank and euro-area exports declined the most in five months.

Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, rose to 19.44 percent on the New York Mercantile Exchange from 16.83 percent yesterday.

West Texas Intermediate crude for April delivery fell $1.49, or 1.5 percent, to settle at $96.41 a barrel on the Nymex. Futures pared the week’s gain as January factory output slipped while euro-area exports dropped in December.

The most-active options in electronic trading today were April $100 calls, which fell 23 cents to 67 cents a barrel on volume of 6,855 contracts. April $101 calls were the second-most active with 5,431 lots. They declined 15 cents to 46 cents.

Puts accounted for 51 percent of electronic trading volume. In the previous session, bearish bets calls made up 62 percent of the 89,803 contracts traded.

April $85 puts were the most active options traded yesterday, with 3,498 contracts changing hands. They were down 3 cents at 17 cents. June $85 puts declined 5 cents to 77 cents a barrel on 3,392 lots.

Open interest was highest for December $105 calls with 33,475 contracts. Next were April $110 calls at 33,118 and December $110 calls at 30,339.

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.

To contact the reporter on this story: Dan Murtaugh in Houston at dmurtaugh@bloomberg.net

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

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