Crude Calls Slip as Dimming Syria Strike Prospects Stall Rally
Crude oil calls declined for the first time in three days as underlying futures retreated from a two-year high on dimming prospects for an imminent strike on Syria by the U.S. and its allies.
Implied volatility of calls protecting against a 10 percent rise in October futures prices on the New York Mercantile Exchange fell to 30.45 percent at 4 p.m. from 34.2 percent yesterday.
The most active options in electronic trading today were October $100 puts, which rose 13 cents to 33 cents a barrel with 4,094 lots trading as of 4:07 p.m. October $120 calls were the second-most active, falling 37 cents to 24 cents a barrel at on volume of 4,032 contracts.
At-the-money volatility for October options, a measure of expected futures swings and a key gauge of value, was 25.12 percent, down from 28.11 percent yesterday, which was the highest level this year. Volatility for puts covering a 10 percent drop climbed to 28.79 percent from 27.81 percent yesterday.
West Texas Intermediate crude for October delivery fell $1.30 to $108.80 a barrel on the Nymex.
The U.K. and France are awaiting results from a United Nations investigation into alleged use of chemical weapons by Syrian President Bashar al-Assad against his own people. The U.S. won’t act without allies, Defense Secretary Chuck Hagel said today. Russia called for a meeting later today of the five permanent members of the Security Council.
“With the political wrangling going on behind the scenes, if they’re talking, they’re not going to be bombing,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago. “This pushes the issue back beyond the weekend.”
Calls accounted for 56 percent of electronic trading volume today, and made up six of the seven most-active contracts. In the previous session, bullish bets made up 59 percent of the 216,084 lots traded.
October $125 calls were also the most-active options yesterday with 10,113 contracts changing hands as they gained 17 cents to 31 cents a barrel. October $115 calls, the next-most active, rose 54 cents to $1.33 on 9,076 lots.
Open interest was highest for December $80 puts, with 41,327 contracts. Next were December $90 puts with 36,996 lots and December $105 calls with 34,826.
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 editor responsible for this story: Dan Stets at email@example.com