Crude Options Volatility Rises as Oil Sinks to Lowest This Year

Crude oil options volatility rose as underlying futures fell to the lowest level this year after a government report that supplies climbed to the highest level since July.

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 24.77 percent on the New York Mercantile Exchange as of 4 p.m., compared with 21.88 percent yesterday.

West Texas Intermediate crude for April delivery declined $2.38, or 2.5 percent, to end the session at $92.84 a barrel on the Nymex.

The most-active options in electronic trading today were June $90 puts, which rose 96 cents to $3.11 a barrel on volume of 5,463 contracts at 4:15 p.m. in New York. April $90 puts were the second-most active with 4,029 lots. They advanced 62 cents to $1.29 a barrel.

Puts accounted for 65 percent of electronic trading volume. In the previous session, bearish bets made up 64 percent of the 191,852 contracts traded.

April $105 calls were the most active options traded yesterday, with 8,793 contracts changing hands. They were down 4 cents to 6 cents a barrel. December $80 puts rose 37 cents to $2.66 on 7,011 lots.

Open interest was highest for April $110 calls with 35,041 contracts. Next were December $105 calls at 33,628 and June $90 puts at 31,353.

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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