July 6 (Bloomberg) -- Crude-oil options volatility fell as underlying futures dropped as much as 3.4 percent after a report that U.S. employers added fewer workers than projected in June.
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 32.4 percent at 1:25 p.m. on the New York Mercantile Exchange, down from 34.5 percent yesterday.
“Initial reaction was higher in volatility, but we’re off the lows now and the market could be a little bit range-bound,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.
Crude oil for August delivery fell $2.32, or 2.7 percent, to $84.90 a barrel on the Nymex at 1:29 p.m., after touching $84.26.
Futures declined as Labor Department figures showed June payrolls climbed 80,000. Economists projected a 100,000 gain, according to the median estimate in a Bloomberg News survey. The Institute for Supply management reported earlier this week that June service industries activity slowed to 52.1 from 53.7 while the ISM’s factory index fell to 49.7 percent from 53.5 percent in May, the first contraction since July 2009.
The most active options in electronic trading today were September $105 calls, which fell 18 cents to 24 cents a barrel at 1:34 p.m. with 1,378 lots trading. August $75 puts were the second-most active options, with 1,360 lots changing hands as they rose 1 cent to 7 cents.
Calls accounted for 51 percent of total 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 and bearish bets were almost evenly divided as 157,554 contracts traded in the previous session.
November $110 calls were the most actively traded, with 13,000 lots changing hands. They rose 1 cent to $1. The next-most active options, August $80 puts, declined 3 cents to 28 cents on volume of 8,536.
Open interest was highest for December $80 puts with 44,346 contracts. Next were December $120 calls with 39,915 lots and December $70 puts with 35,712.
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