Crude Options Volatility Rises for First Time in Three Days

Crude options volatility rose for the first time in three days as underlying futures slipped after two days of gains.

Implied volatility for at-the-money October options was 21.04 percent on the New York Mercantile Exchange at 2:25 p.m., up from 20.83 percent on Aug. 23.

West Texas Intermediate crude for October delivery fell 50 cents to $105.92 a barrel on the Nymex.

The most active options in electronic trading today were October $110 puts, which were unchanged at 47 cents at 2:30 p.m. on volume of 1,450 contracts. October $110 calls were the second-most active, dropping 21 cents to 73 cents a barrel on volume of 1,422 lots traded.

Puts accounted for 63 percent of electronic trading volume as of 2:30 p.m., up from 62 percent in the prior season when 102,582 contracts were exchanged.

October $95 puts were the most-active options Aug. 23 with 9,170 contracts changing hands as they fell 10 cents to 12 cents a barrel. October $110 calls, the next-most active, rose 27 cents to 94 cents on 4,668 lots.

Open interest was highest for December $80 puts, with 40,038 contracts. Next were December $90 puts with 36,392 lots and December $105 calls with 34,889.

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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