Crude Options Volatility Slips as Oil Rises From Two-Week Low

Crude options volatility slipped to a three-day low as the underlying futures bounced back from a two-week low.

Implied volatility for at-the-money options expiring in October was 21.25 percent on the New York Mercantile Exchange at 4:15 p.m., down from 22.71 percent yesterday.

West Texas Intermediate crude for October delivery rose $1.18, or 1.1 percent, to $105.03 a barrel on the Nymex.

The most active options in electronic trading today were October $91 puts, which fell 8 cents to 7 cents a barrel on volume of 3,157 lots traded as of 4:17 p.m. October $110 calls were the second-most active, rising 13 cents to 65 cents on volume of 1,969 contracts.

Puts accounted for 52 percent of electronic trading volume. In the prior session, bullish bets made up 52 percent of 82,051 contracts exchanged.

October $117 calls were the most-active options yesterday with 4,373 contracts changing hands as they fell 5 cents to 7 cents a barrel. October $100 puts rose 27 cents to $1.19 on 4,281 lots.

Open interest was highest for December $80 puts, with 39,877 contracts. Next were December $105 calls with 35,778 lots and December $90 puts with 35,596.

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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