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Crude Options Volatility Jumps as Underlying Futures Sink 1.9%

Crude oil options volatility rose as underlying futures slid 1.9 percent, propelled by speculation that a commodity fund was liquidating positions.

Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 22.65 percent on the New York Mercantile Exchange as of 4:10 p.m., compared with 19.54 percent yesterday.

West Texas Intermediate crude for April delivery fell $1.88 to settle at $95.22 a barrel on the Nymex.

The most-active options in electronic trading today were April $90 puts, which rose 35 cents to 79 cents a barrel on volume of 5,039 contracts at 4:23 p.m. in New York. April $105 calls were the second-most active with 3,473 lots. They declined 4 cents to 6 cents a barrel.

Puts accounted for 66 percent of electronic trading volume. In the previous session, bearish bets made up 56 percent of the 111,607 contracts traded.

April $90 puts were the most active options traded yesterday, with 4,228 contracts changing hands. They were down 11 cents to 44 cents. April $80 puts declined 3 cents to 5 cents a barrel on 3,539 lots.

Open interest was highest for December $105 calls with 33,475 contracts. Next were April $110 calls at 33,237 and December $110 calls at 30,522.

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: 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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