West Texas Intermediate crude options volatility slipped in New York as futures advanced from an eight-month low.
Implied volatility for at-the-money March WTI options, a measure of expected futures movements and a key gauge of value, was 18.4 percent at 3:55 p.m. on the New York Mercantile Exchange, down from 18.97 percent yesterday.
Trading was brisk for straddles, including $85 to $95 puts and calls for further-out months, said Phil Flynn, senior market analyst at Price Futures Group in Chicago. Purchasing a straddle involves buying a call and a put at the same strike price, to benefit from a move up or down.
WTI for February delivery rose $1.06 to $92.72 a barrel on the Nymex, after settling yesterday at the lowest level since May 1. The March contract advanced $1.06 to $92.95.
Futures gained as December payrolls rose at the slowest pace since January 2011, increasing speculation that the Federal Reserve will maintain its bond-buying pace to stimulate growth.
“People felt prices could go either way,” Flynn said. “Then the market stayed long because the jobs report was worse than expected.”
Puts accounted for 57 percent of electronic trading volume as of 4:05 p.m. The most active options were February $90 puts, which slipped 20 cents to 12 cents a barrel on volume of 3,865 lots. Second-most active were February $95 calls, up 4 cents to 10 cents on 2,422 contracts.
In the previous session, puts accounted for 52 percent of trading volume of 150,343. February $90 puts advanced 5 cents to 32 cents on 7,373 lots. February $95 calls declined 10 cents to 6 cents on volume of 5,963 contracts.
Open interest was highest for June $80 puts, with 35,025 contracts. Next were June $85 puts with 27,193 lots and December 2015 $120 calls with 26,947.
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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