Breaking News

Energy Transfer Partners and Regency Energy Partners to Merge in Deal Valued at $18 Billion Including Debt

Crude Options Volatility Gains as Futures Reach 16-Month High

Crude options volatility increased for the first time in three days as underlying futures touched a 16-month high.

Implied volatility for at-the-money options expiring in September, a measure of expected price swings in futures and a gauge of options value, was 21.77 percent on the New York Mercantile Exchange as of 4:35 p.m., up from 20.22 yesterday.

West Texas Intermediate crude for September delivery advanced 6 cents to settle at $107.87 a barrel on the Nymex. The front-month August contract touched $109.32 before settling up 1 cent at $108.05, the highest level for the front-month contract since March 19, 2012.

Calls protecting against a 10 percent rise in prices jumped to 24.47 percent from 22.41, while puts that profit from a 10 percent price drop increased to 28.63 percent from 27.72 yesterday.

The most-active options in electronic trading today were December $70 puts, which were unchanged at 13 cents a barrel on volume of 5,001 lots traded as of 4:23 p.m. September $112 calls were the second-most active, gaining 24 cents to $1.11 on volume of 4,426 contracts.

Puts accounted for 53 percent of electronic trading volume. In the prior session, bullish options made up 54 percent of 177,037 contracts exchanged.

September $120 calls were the most-active options yesterday, with 6,919 contracts changing hands as they increased 4 cents to 14 cents a barrel. September $100 puts dropped 20 cents to 51 cents on 6,799 lots.

Open interest was highest for September $90 puts, with 40,803 contracts. Next were December $80 puts with 39,016 lots and December $90 puts with 37,373.

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: Dan Murtaugh in Houston at

To contact the editor responsible for this story: Dan Stets at

Press spacebar to pause and continue. Press esc to stop.

Bloomberg reserves the right to remove comments but is under no obligation to do so, or to explain individual moderation decisions.

Please enable JavaScript to view the comments powered by Disqus.