Crude Options Volatility Falls to One-Week Low as Futures Slip

Crude options volatility fell to a one-week low as the underlying futures slipped for the first time in four days.

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 21.66 percent at 4:05 p.m. on the New York Mercantile Exchange, down from 22.98 percent yesterday.

West Texas Intermediate crude for June delivery declined 54 cents to settle at $95.62 a barrel on the Nymex.

The most-active options in electronic trading today were September $85 puts, which rose 10 cents to $1.33 a barrel on volume of 5,021 contracts at 3:48 p.m. June $110 calls were the second-most active, unchanged at 2 cents a barrel on volume of 2,583 lots.

Puts accounted for 55 percent of electronic trading volume today. Bearish bets made up 51 percent of yesterday’s volume of 161,805 contracts.

July $90 puts were the most active options traded in the previous session, with 12,590 contracts changing hands. They fell 9 cents to 99 cents a barrel. June $100 calls increased 2 cents to 29 cents a barrel on 9,020 lots.

Open interest was highest for June $80 puts with 39,543 contracts. Next were December $105 calls with 38,008 and December $110 calls with 34,112.

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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