West Texas Intermediate crude options volatility rose for the first time in five sessions as oil futures jumped to the highest level since Jan. 2.
Implied volatility for at-the-money March WTI options, a measure of expected futures movements and a key gauge of value, was 17.75 percent at 3:53 p.m. on the New York Mercantile Exchange, up from 16.89 percent on Jan. 17.
WTI for February delivery, which expired today, rose 62 cents, or 0.7 percent, to $94.99 a barrel on the Nymex. The more active March contract increased 38 cents to $94.97 after fluctuating from $93.92 to $95.46.
Volatility for puts protecting against a 10 percent decline in futures rose to 22.56 percent from 21.89 percent. Calls protecting against a 10 percent gain advanced to 18.54 percent from 18.11 percent.
Puts accounted for 51 percent of electronic trading as of 4 p.m. The most active options were March $90 puts, which fell 12 cents to 32 cents a barrel on volume of 2,265 lots. Second-most active were March $100 calls, up 4 cents to 29 cents on 2,202 contracts.
In the previous session, puts accounted for 55 percent of trading volume of 80,608. April $102 calls were unchanged at 41 cents on 4,069 lots. March $100 calls fell 1 cent to 25 cents on volume of 3,600 contracts.
Open interest was highest for June $80 puts with 35,974 contracts. Next were $120 calls for December 2015 with 26,948 lots and June $85 puts with 26,633.
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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