Oil Options Volatility Slips as Futures Rise to One-Month High

Crude options volatility fell as oil futures jumped to a one-month high, breaking above $95 a barrel in intraday trading for the first time since Feb. 20.

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 at 3:21 p.m., down from 17.47 percent on March 22.

West Texas Intermediate oil for May delivery advanced $1.10 to $94.81 a barrel on the Nymex, the highest settlement since Feb. 19.

The most-active options in electronic trading today were May $85 calls, which fell 5 cents to 6 cents a barrel on volume of 6,575 contracts at 4:11 p.m. May $90 puts were the second- most active, with 3,871 lots traded. They declined 21 cents to 37 cents a barrel.

Puts accounted for 66 percent of electronic trading volume. Trading volume was almost equally divided between puts and calls in the prior session.

May $95 calls were the most active options traded in the March 22 session, with 4,318 contracts changing hands. They rose 38 cents to $1.16 a barrel. May $90 puts were down 37 cents to 58 cents a barrel on 2,768 lots.

Open interest was highest for December $105 calls with 36,505 contracts. Next were June $90 puts at 31,996 and December $110 calls at 30,633.

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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