Crude Puts Rise as Futures Slide on Lower Syria Strike Threat

Crude oil puts rose as underlying futures retreated amid skepticism that the U.S. will attack Syria over its alleged use of chemical weapons.

Implied volatility of puts protecting against a 10 percent drop in October futures prices on the New York Mercantile Exchange rose to 34.62 percent at 4:15 p.m. from 30.63 percent Sept. 6. It was the first time in two weeks that puts were more expensive than calls.

“Some traders are starting to speculate there might be a way out of the conflict,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago.

West Texas Intermediate crude for October delivery fell $1.01 to $109.52 a barrel on the Nymex as Russia said it urged its ally Syria to give up chemical weapons to avoid a strike by the U.S. Jay Carney, White House spokesman, said Russia’s proposal was under review. Congress is set this week to consider President Barack Obama’s call for a limited attack on Syria.

The most active options in electronic trading today were November $140 calls, which fell 5 cents to 11 cents a barrel with 7,174 lots trading as of 4:25 p.m. January $72 puts were the second-most active, unchanged at 11 cents a barrel on volume of 3,972 contracts.

Volatility Rises

At-the-money volatility for October options, a measure of expected futures swings and a key gauge of value, increased to 26.3 percent from 25.64 percent on Sept. 6. Volatility for calls covering a 10 percent rise climbed to 33.84 percent from 33.14 percent.

Calls accounted for 53 percent of electronic trading volume today. In the previous session, calls made up 50.2 percent of the 125,131 lots traded.

October $100 puts were the most-active options Sept. 6 with 6,539 contracts changing hands as they lost 6 cents to 6 cents a barrel. October $120 calls, the next-most active, rose 8 cents to 19 cents on 6,049 lots.

Open interest was highest for December $80 puts, with 41,076 contracts. Next were December $90 puts with 37,444 lots and December $105 calls with 34,827.

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 reporters on this story: Barbara Powell in Dallas at bpowell4@bloomberg.net; Dan Murtaugh in Houston at dmurtaugh@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net

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