Crude Options Volatility Steady as Nymex Oil Futures Rise
Crude oil options volatility for bets on a price increase fell and volatility for bets on a price drop gained after the underlying futures contract advanced for a third session.
Implied volatility for at-the-money options expiring in October was 21.79 percent on the New York Mercantile Exchange at 4 p.m., unchanged from yesterday.
Volatility for calls protecting against a 10 percent increase in prices dropped to 22.3 percent from 22.42 percent yesterday. Volatility for puts covering a 10 percent price drop advanced to 24.59 percent from 24.36 percent.
West Texas Intermediate crude for October delivery rose for a third day, gaining 88 cents to settle at $106.40 a barrel on the Nymex. September-delivery futures rose 72 cents to $106.83.
Volatility levels for November and December options were above October volatility.
The most active options in electronic trading today were October $130 calls, which were unchanged at 4 cents a barrel on volume of 4,762 lots as of 4:44 p.m. September $103 puts were the second-most active, dropping 12 cents to 6 cents on volume of 3,005 contracts.
September options expire on Aug. 15.
Bearish bets made up 50.2 percent of electronic trading volume. In the prior session, calls accounted for 53 percent of the 80,333 contracts exchanged.
October $95 puts were the most-active options yesterday, with 3,564 lots exchanging hands as they slid 7 cents to 29 cents a barrel. September $105 puts were next, declining 25 cents to 56 cents a barrel on volume of 2,701 contracts.
Open interest was highest for December $80 puts, with 39,637 contracts. Next were December $90 puts with 37,012 lots and December $100 calls with 35,447.
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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