The premium for crude oil put options over calls narrowed as the underlying futures rose for the first time in five days amid gains by U.S. retailers.
The skew, or premium of puts protecting against a 10 percent drop in futures over calls covering a 10 percent gain, shrank to 6.19 percentage points at 1:10 p.m. in New York from 6.8 on Nov. 27. Implied volatility for the puts rose to 24.35 percent on the New York Mercantile Exchange from 23.94 percent, while calls increased to 18.16 percent from 17.14 percent in the previous session.
At-the-money January options, a measure of expected futures swings and a key gauge of value, rose to 18.14 percent from 17.75 percent.
West Texas Intermediate for January delivery jumped $1.15, or 1.25 percent, to $93.45 a barrel on the Nymex. The Standard & Poor’s 500 Index increased to a record as Macy’s Inc. (M) and J.C. Penney Co. (JCP) climbed amid post-Thanksgiving holiday sales events in the U.S.. Oil also moved higher on concern that unrest in Libya will cut output.
“The increased geopolitical risk and cold temperatures kind of conspired today to get people to cover their shorts,” Phil Flynn, senior market analyst at the Price Futures Group in Chicago, said by telephone today.
Calls accounted for 52 percent of electronic trading volume at 1:12 p.m. The most-active options were January $90 puts, which tumbled 23 cents to 45 cents a barrel with 1,869 lots trading. January $94 calls jumped 33 cents to $1.08 on volume of 1,734 lots.
In the previous session, puts accounted for 52 percent of the 138,688 lots traded. January $85 puts gained 4 cents to 10 cents a barrel on 9,658 contracts. January $90 puts rose 28 cents to 68 cents on volume of 4,545 lots.
Open interest in the last session was highest for June $80 puts, with 28,974 contracts. Next were January $75 puts with 27,261 lots and December 2015 $120 calls with 25,369.
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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