Oil Options Volatility Declines as Futures Little Changed

Crude oil options volatility fell as underlying futures moved less than 0.3 percent for the third straight day.

Implied volatility for options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 30.57 percent at 4:05 p.m. in New York, down from 31.33 yesterday.

December-delivery crude oil rose 22 cents to settle at $92.54 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were January $60 puts, which rose 4 cents to 6 cents a barrel at 4:11 p.m. with 2,944 lots trading. November $90 puts were the second-most active, with 2,785 lots exchanged as they declined 16 cents to 11 cents a barrel.

Jim Colburn, a vice president and energy options broker at Jefferies Bache LLC in New York, said that as of 2:33 p.m. 26,000 January $60 puts traded at 5 cents and 6 cents.

Bearish bets accounted for 69 percent of the 41,016 contracts in electronic trading. One contract covers 1,000 barrels of oil.

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, bets that prices would fall made up 56 percent of the 103,133 contracts traded.

December $75 puts were the most actively traded options yesterday with 7,402 lots changing hands. They fell 2 cents to 10 cents a barrel. November $90 puts declined 19 cents to 27 cents on volume of 5,034 lots.

Open interest was highest for December $120 calls with 67,834 contracts. Next were December $80 puts with 52,755 lots and December $125 calls with 45,309.

Before it's here, it's on the Bloomberg Terminal. LEARN MORE