Crude oil options volatility climbed for a second consecutive day as the underlying futures fell before a report that may show U.S. inventories rose to the highest level in more than 22 years.
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 22.92 percent at 3:10 p.m. on the New York Mercantile Exchange, up from 21.68 percent yesterday.
West Texas Intermediate oil for June delivery slipped $1.04 to settle at $93.46 a barrel. A U.S. Energy Information Administration report may show tomorrow that stockpiles of crude rose by 1.1 million barrels to 389.9 million last week, the most since July 1990, according to a Bloomberg survey.
The most-active options in electronic trading today were June $90 puts, which rose 29 cents to 75 cents a barrel at 3:14 p.m. on 3,870 lots. The second-most active were July $70 puts on volume of 2,802 contracts. They were unchanged at 4 cents a barrel.
Puts, or bets that crude futures will fall, accounted for 61 percent of electronic trading volume. Bullish bets, or bets that prices would rise, made up 55 percent of the volume of 156,522 contracts yesterday.
June $98 calls were the most-active options in the previous session, with 14,007 lots changing hands as they gained 25 cents to 52 cents a barrel. June $100 calls increased 10 cents to 23 cents a barrel on volume of 7,332 contracts.
Open interest was highest for June $80 puts with 41,055 lots. Next were December $105 calls with 36,188 and December $110 calls with 35,123.
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.
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