Crude options volatility rose after the underlying oil futures gained on the Federal Reserve’s plan to encourage growth in the world’s largest economy by buying mortgage securities.
Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 30.3 percent as of 4:05 p.m. New York time, up from 30 percent yesterday and the third consecutive increase.
Crude oil for November delivery advanced 70 cents to settle at $99.33 a barrel on the New York Mercantile Exchange. The Fed said yesterday it would make purchases of additional mortgage debt each month and hold the federal funds rate near zero until at least mid-2015 to boost growth. The move followed a European Central Bank bond-buying announcement Sept. 6.
The most active options in electronic trading today were October $100 calls, which fell 10 cents to 31 cents a barrel at 4:12 p.m. with 5,576 lots trading. November $80 puts were second-most active, falling 2 cents to 12 cents a barrel with 4,097 lots changing hands.
Bets that prices would rise accounted for 53 percent of the 76,768 contracts in electronic trading. 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 open-outcry volume, where the bulk of options activity occurs.
In the previous session, bullish bets accounted for 58 percent of the 157,737 contracts traded.
December $120 calls were the most actively traded options yesterday with 7,197 lots changing hands. They rose 10 cents to 65 cents a barrel. December $115 calls gained 15 cents to 96 cents a barrel on volume of 6,968.
Open interest was highest for December $80 puts with 45,333 contracts. Next were December $120 calls with 45,307 lots and December $100 calls with 42,293.