Crude Options Volatility Falls a Fifth Day as Futures Retreat
Crude options volatility fell a fifth straight day as underlying futures fell on the receding threat of an eminent U.S. military strike against Syria.
At-the-money volatility for November options, a measure of expected futures swings and a key gauge of value, was 21.23 percent at 3:40 p.m., down from 21.75 percent yesterday.
West Texas Intermediate crude for November delivery fell 21 cents to $107.54 a barrel on the Nymex, and declined 1.8 percent this week. The front-month October contract fell 39 cents to $108.21 a barrel, and retreated 2.1 percent this week.
Crude weakened as the U.S. and Russia began talks about Syria’s chemical weapons. U.S. Secretary of State John Kerry reported a “constructive” start to the discussions, while giving no sign of a breakthrough.
“The anticipation is that nothing will happen in Syria for, no missiles will be flying in the next another couple of weeks,” said Andy Lipow, president of Lipow Oil Associates LLC in Houston.
Bets that prices would fall accounted for 52 percent of electronic trading volume today.
October $110 calls were the most active options today, dropping 21 cents to 32 cents a barrel on volume of 2,081 contracts at 3:50 p.m. October options expire on Sept. 17. The next-most active option, November $100 puts, dropped 3 cents to 59 cents on volume of 1,564 contracts.
In the previous session, calls accounted for 52 percent of the 119,358 lots traded.
October $110 calls were the most-active options yesterday with 4,927 contracts changing hands as they rose 12 cents to 53 cents a barrel. November $120 calls, the next-most active, increased 6 cents to 30 cents on volume of 4,758 lots.
Open interest was highest for December $80 puts, with 40,654 contracts. Next were December $90 puts with 39,775 lots and December $100 calls with 32,847.
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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