West Texas Intermediate call options volatility jumped as underlying futures climbed the most in seven weeks.
Implied volatility for calls protecting against a 10 percent rise in March futures advanced to 19.35 percent at 4:40 p.m. on the New York Mercantile Exchange from 18.6 percent yesterday. At-the-money March options were at 17.85 percent, up from 17.76 percent. The skew, or premium of puts over calls, narrowed to 3.25 percentage points from 3.83 in the previous sentence.
WTI for March delivery rose $1.76 to $96.73 a barrel on the Nymex, the highest settlement since Dec. 31 and the biggest gain since Dec. 3.
Puts accounted for 54 percent of electronic trading volume as of 4:47 p.m. The most active options were March $95 puts, which declined 67 cents to $1.07 a barrel on volume of 6,067 lots. Second-most active were March $100 calls, up 26 cents to 52 cents on 4,188 contracts.
In the previous session, puts accounted for 53 percent of trading volume of 85,751. March $95 calls rose 15 cents to $1.71 a barrel on 3,458 lots. March $90 puts fell 9 cents to 35 cents on volume of 2,965 contracts.
Open interest was highest for June $80 puts, with 36,020 contracts. Next were December 2015 $120 calls with 26,948 lots and June $85 puts with 26,414.
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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