June 30 (Bloomberg) -- Oil options volatility declined as oil rose to the highest level in two weeks in New York, recouping all of the losses since the International Energy Agency said June 23 that members would tap emergency reserves.
Implied volatility for at-the-money options expiring in August, a measure of expected price swings in futures and a gauge of option prices, was 28 percent as of 3 p.m. in New York, down from 29.6 percent yesterday.
Crude for August delivery rose 65 cents, or 0.7 percent, to $95.42 on the New York Mercantile Exchange, 1 cent above the settlement price on June 22, the day before the IEA announcement. Prices have risen 4.4 percent this year and 26 percent in the past year.
The most active contracts in electronic trading today were December $120 calls, with 1,838 lots changing hands as of 4 p.m. They rose 1 cent to 91 cents a barrel. August $95 puts, the next-most active option, fell 32 cents to $2.15 a barrel with 1,425 lots trading. One contract covers 1,000 barrels of crude.
The exchange distributes real-time data for electronic trading and releases information on floor trading, where the bulk of options trading occurs, the next business day.
December $125 calls were the most active options traded yesterday, with 9,251 lots changing hands. They gained 8 cents to 56 cents a barrel. The next-most active options, September $110 calls, increased 12 cents to 38 cents a barrel on volume of 8,451 lots.
Open interest was highest for December $120 calls with 42,966 contracts. Next were December $100 calls with 38,802 and December $80 puts with 38,298.
To contact the reporter on this story: Leela Landress in Houston at email@example.com
To contact the editor responsible for this story: Dan Stets at firstname.lastname@example.org.