Crude Options Volatility Slips as Oil Futures Fall to 2013 Low

Crude options volatility declined as the underlying futures slid to the lowest level this year.

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 21.24 percent at 3:50 p.m. on the New York Mercantile Exchange, down from 22.31 percent yesterday.

West Texas Intermediate crude for April delivery fell 71 cents, or 0.8 percent, to settle at $92.05 a barrel on the Nymex. Since Feb. 21, oil has traded in an intraday range from $91.57 to $94.92.

The most-active options in electronic trading today were April $90 puts, which rose 7 cents to 90 cents a barrel on volume of 2,785 contracts at 3:56 p.m. in New York. April $88 puts were the second-most active with 2,065 lots. They advanced 4 cents to 48 cents a barrel.

Puts accounted for 58 percent of electronic trading volume. In the previous session, bearish bets made up 56 percent of the 102,065 contracts traded.

April $85 puts were the most active options traded yesterday, with 4,666 contracts changing hands. They were down 10 cents to 16 cents a barrel. April $80 puts fell 2 cents to 3 cents on 3,857 lots.

Open interest was highest for December $105 calls with 35,244 contracts. Next were April $110 calls at 34,277 and June $90 puts at 32,959.

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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