Crude Options Volatility Falls as Underlying Futures Rise

Crude options volatility fell and West Texas Intermediate futures rose after U.S. Secretary of State John Kerry tempered expectations of a possible deal over Iran’s nuclear work.

Implied volatility for at-the-money January options, a measure of expected futures swings and a key gauge of value, was 17.76 percent at settlement on the New York Mercantile Exchange, down from 19.22 yesterday.

West Texas Intermediate crude for December delivery rose 40 cents, or 0.4 percent, to settle at $94.60 a barrel on the Nymex. WTI advanced with Brent crude.

Puts accounted for 53 percent of electronic trading volume today. The most-active options were April $65 puts, which fell 3 cents to 7 cents a barrel with 2,860 lots trading as of 5:28 p.m. February $110 calls fell 1 cent to 12 cents on volume of 2,151.

In the previous session, puts accounted for 53 percent of the 87,832 lots traded. December $95 calls fell 39 cents to 73 cents a barrel with 5,248 contracts trading. December $90 puts slipped 1 cent to 15 cents on volume of 4,682 lots.

Open interest yesterday was highest for December $80 puts, with 43,336 contracts. Next were December $90 puts with 40,265 lots and December $85 puts with 36,851.

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: Eliot Caroom in New York at ecaroom@bloomberg.net

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

Press spacebar to pause and continue. Press esc to stop.

Bloomberg reserves the right to remove comments but is under no obligation to do so, or to explain individual moderation decisions.

Please enable JavaScript to view the comments powered by Disqus.