Crude Oil Options Advance as Futures Fall to 4-Month Low

Crude oil options volatility increased after the underlying futures tumbled to a four-month low as equities slipped and U.S. output rose.

Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 28.15 percent at 4:30 p.m. on the New York Mercantile Exchange, up from 24.74 percent yesterday.

West Texas Intermediate for May delivery fell $2.04, or 2.3 percent, to $86.68 a barrel on the Nymex, the lowest settlement since Dec. 14. The volume of all futures traded was 44 percent above the 100-day average for the time of day as of 3:16 p.m. in New York.

The Standard & Poor’s 500 Index (SPX) slumped 1.4 percent as earnings from companies including Bank of America Corp. and EBay Inc. (EBAY) missed analysts’ estimates. Crude-oil output was 7.2 million barrels a day, the most since July 1992, according to the Energy Information Administration, the Department of Energy’s statistical arm.

The most-active options in electronic trading today were May $85 puts, which sank 5 cents to 1 cent a barrel on volume of 9,752 contracts at 4:37 p.m. June $80 puts were the second-most active, rising 51 cents to 98 cents on volume of 8,097 lots. May options expire today.

Puts accounted for 65 percent of electronic trading volume today. Bearish bets made up 59 percent of yesterday’s volume of 246,297 contracts.

July $80 puts were the most active options traded in the previous session, with 8,511 contracts changing hands. They dropped 14 cents to 87 cents a barrel. May $90 calls declined 22 cents to 18 cents a barrel on 7,463 lots.

Open interest was highest for December $105 calls with 36,133 contracts. Next were June $80 puts with 36,114 and June $85 puts with 34,418.

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: Christine Harvey in New York at charvey32@bloomberg.net

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

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