Crude Put Volatility Increases as Futures Touch Five-Month Low

Crude put options volatility increased as underlying futures closed little changed after touching a five-month low earlier in the session.

Implied volatility for puts protecting against a 10 percent drop in January futures rose to 23.96 percent at 4:35 p.m. on the New York Mercantile Exchange from 23.68 yesterday. At-the-money January options were almost unchanged at 18.3 percent, up from 18.28 percent yesterday.

West Texas Intermediate for January delivery fell 8 cents to $94.41 a barrel on the Nymex. WTI crude for December delivery slipped 12 cents to settle at $93.76 a barrel.

Puts, or bets that prices would fall, accounted for 51 percent of electronic trading volume today. The most-active options were December $93 puts, which dropped 10 cents to 21 cents a barrel with 4,564 lots trading as of 4:48 p.m. December $95 calls fell 10 cents to 11 cents on volume of 4,223 lots.

In the previous session, puts accounted for 58 percent of the 134,961 lots traded. December $92 puts declined 28 cents to 14 cents a barrel on 9,127 contracts. December $95 calls rose 4 cents to 21 cents on volume of 8,163 lots.

Open interest yesterday was highest for December $80 puts, with 43,234 contracts. Next were December $85 puts with 36,672 lots and December $90 puts with 34,584.

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 Houston at bpowell4@bloomberg.net

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

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