Oil options volatility declined for a second day as the underlying futures advanced after the European Central Bank unexpectedly lowered interest rates and Greece said the nation wouldn’t hold a bailout referendum.
Implied volatility for at-the-money options expiring in December, a measure of expected price swings in futures and a gauge of options prices, declined to 37.7 at 2:30 p.m. in New York from 39.7 yesterday,
“Every time somebody over in Europe breathes the wrong way, the markets move,” Todd Horwitz, chief strategist at Adam Mesh Trading Group in New York, said by telephone. “The volatility is holding up pretty strong based on the size of the rally.”
The most-active options contracts in electronic trading today were December $100 calls, with 1,346 lots changing hands as of 2:35 p.m. The options rose 10 cents to 53 cents a barrel. December $85 puts, with 1,111 lots, were the next most active and fell 32 cents to 44 cents. One contract covers 1,000 barrels of crude.
Puts and calls each accounted for about 50 percent of the volume.
Oil for December delivery gained $1.56, or 1.7 percent, settle at $94.07 a barrel on the New York Mercantile Exchange.
December $100 calls were the most-active options traded in the previous session, with 9,539 lots changing hands. They rose 1 cent to 43 cents a barrel. The next-most-active options, December $102 calls, were unchanged at 24 cents a barrel on volume of 5,812. Puts accounted for about 55 percent of the 127,346 lots.
Open interest was highest for December $110 calls with 52,373 contracts. Next were December $50 puts with 49,721 and December $120 calls with 45,250.
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.