Oil Options Volatility Drops to Near 17% on Narrow Trading Range

Crude options volatility fell to near 17 percent as underlying oil futures have settled into a range of less than $4 a barrel since March 5.

Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, was 17.17 percent on the New York Mercantile Exchange as of 4:01 p.m., compared with 18.23 percent yesterday.

“Everything is flattening out,” said Carl Larry, a commodities broker at Atlas Commodities LLC in Houston. “It’s hard to take a side in either direction if there is no direction.”

West Texas Intermediate crude for May delivery rose 50 cents to settle at $93.38 a barrel on the Nymex. Since March 5, the May contract has traded in an intraday range from $90.04 to $93.90.

The most-active options in electronic trading today were May $90 puts, which retreated 23 cents to 80 cents a barrel on volume of 3,470 contracts at 4:08 p.m. May $83 puts were the second-most active with 3,427 lots. They dropped 5 cents to 10 cents a barrel.

Puts accounted for 53 percent of electronic trading volume. In the previous session, calls made up 51 percent of the 113,007 contracts traded.

June $85 puts were the most active options traded yesterday, with 3,744 contracts changing hands. They fell 3 cents to 76 cents a barrel. June $80 puts declined 1 cent to 29 cents a barrel on 3,554 lots.

Open interest was highest for December $105 calls with 36,108 contracts. Next were April $110 calls at 34,170 and June $90 puts at 32,011.

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

Bloomberg reserves the right to edit or remove comments but is under no obligation to do so, or to explain individual moderation decisions.

Please enable JavaScript to view the comments powered by Disqus.