Brent Crude Put Premium Narrows as Futures Rise on Egypt Turmoil
Implied volatility for calls protecting against a 10 percent increase October-settlement Brent was 22.6 percent at 4 p.m. in New York, up from 21.8 percent yesterday, while puts covering a 10 percent drop were little changed at 23.3 percent.
Futures for September settlement increased 91 cents to $111.11 a barrel on ICE Futures Europe exchange, the highest settlement since March 7. The September contract expired today. October futures gained 78 cents to $109.60.
Prices advanced as Egypt declared a state of emergency and more than 500 people were killed as security forces broke up sit-ins. The country controls the Suez Canal, which is used by tankers carrying oil to Europe and North America from the Arabian Peninsula. All ports in Libya except for one remain closed because of protests, curbing exports from the nation with Africa’s larges oil reserves.
Implied volatility for at-the-money October options on West Texas Intermediate futures was 22.14 percent on the New York Mercantile Exchange at 4:05 p.m., up from 21.75 yesterday.
WTI crude for September delivery climbed 48 cents to settle at $107.33 a barrel on the Nymex.
The most active WTI options in electronic trading today were September $107 puts, which fell 60 cents to 1 cent a barrel on volume of 5,638 lots traded as of 4:25 p.m. September $108 calls were the second-most active, dropping 15 cents to 1 cents on volume of 3,688 contracts.
Puts accounted for 51 percent of electronic trading volume. In the prior session, bearish bets made up 56 percent of 120,550 contracts exchanged.
October $93 puts were the most-active options yesterday with 10,390 contracts changing hands as they fell 1 cent to 13 cents a barrel. October $115 calls advanced 1 cent to 47 cents on 7,983 lots.
Open interest was highest for December $80 puts, with 39,581 contracts. Next were December $90 puts with 37,079 lots and December $100 calls with 35,250.
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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