June 28 (Bloomberg) -- Crude-oil options volatility rose as underlying futures slipped for the first time in three days.
Implied volatility for at-the-money options expiring in August, a measure of expected price swings in futures and a gauge of options prices, was 32.04 percent at 2:15 p.m. on the New York Mercantile Exchange, up from 30.07 percent yesterday. It was the first increase in three days.
“Investors are more afraid of the downside,” said James Cordier, portfolio manager at OptionSellers.com in Tampa, Florida.
Crude oil for August delivery fell $2.78, or 3.5 percent, to $77.43 a barrel at 2:17 p.m. on the Nymex.
Oil dropped on concern the U.S. recovery is slowing and European leaders won’t be able to contain the region’s debt crisis. Losses were extended as equities declined when the Supreme Court upheld the core of President Barack Obama’s health-care plan, which expands insurance to millions of people.
“A lot of investors were surprised by the court’s ruling and some will see it as business negative,” Cordier said.
The most active oil options in electronic trading today were August $75 puts, which advanced 71 cents to $1.35 a barrel at 2:18 p.m. with 2,835 lots trading. August $70 puts were the second-most active options, with 2,754 lots changing hands as they rose 22 cents to 36 cents.
Puts accounted for 60 percent of electronic trading volume. One contract covers 1,000 barrels of crude.
The exchange distributes real-time data for electronic trading and releases information the next business day on floor trading, where the bulk of options trading occurs.
Bullish bets accounted for 59 percent of the 127,463 contracts traded in the previous session. August $85 calls were the most actively traded, with 6,407 lots changing hands. They rose 7 cents to 60 cents. The next-most active options, August $90 calls, were unchanged at 12 cents on volume of 4,880.
Open interest was highest for December $80 puts with 45,080 contracts. Next were December $120 calls with 39,436 lots and December $70 puts with 38,381.
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