WTI Crude Options Volatility Rises First Time in Five Sessions

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.

“We saw some big swings in the market today,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago. “Traders were a a little less confident. The market is more treacherous.”

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.

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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