Crude oil options volatility was little changed as the underlying futures retreated.
Implied volatility for at-the-money options expiring in July, a measure of expected price swings in futures and a gauge of options prices, was 22.3 percent on the New York Mercantile Exchange at 2:35 p.m., versus 22.2 percent yesterday.
West Texas Intermediate crude for July delivery dropped $1.64, or 1.8 percent, to $91.97 a barrel on the Nymex, the lowest settlement since May 1.
The most-active options in electronic trading today were July $100 calls, which declined 6 cents to 5 cents a barrel on volume of 3,449 contracts on the Nymex. July $86 puts were the second-most active, rising 8 cents to 26 cents on 2,563 lots.
Puts accounted for 52 percent of electronic trading volume today and 56 percent of the prior trading day’s volume of 135,943 contracts.
July $90 puts were the most-active options traded in the previous session, with 12,171 contracts changing hands. They fell 21 cents to 68 cents a barrel. September $85 puts declined 8 cents to $1.31 a barrel on 5,887 lots.
Open interest was highest for December $105 calls with 39,304 contracts. Next were September $85 puts with 38,317 lots and July $110 calls with 35,791.
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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