Bloomberg the Company & Products

Bloomberg Anywhere Login

Bloomberg

Connecting decision makers to a dynamic network of information, people and ideas, Bloomberg quickly and accurately delivers business and financial information, news and insight around the world.

Company

Financial Products

Enterprise Products

Media

Customer Support

  • Americas

    +1 212 318 2000

  • Europe, Middle East, & Africa

    +44 20 7330 7500

  • Asia Pacific

    +65 6212 1000

Communications

Industry Products

Media Services

Follow Us

Oil Options Volatility Increases as Lawmakers Seek Budget Accord

Dec. 4 (Bloomberg) -- Crude oil options volatility rose as the underlying futures declined while U.S. leaders remained at odds in negotiations to avert the so-called fiscal cliff.

Implied volatility for at-the-money options expiring in January, a measure of expected price swings in futures and a gauge of options prices, was 27.23 percent on the New York Mercantile Exchange as of 3:50 p.m., an increase from 26.73 percent yesterday.

January-delivery crude oil fell 59 cents, or 0.7 percent, to settle at $88.50 on the Nymex, the first drop in four days.

“Concern about the fiscal cliff is impacting the market,” said Amrita Sen, chief oil market strategist at Energy Aspects Ltd., a research consulting company in London. President Barack Obama, a Democrat, yesterday rejected Republican House Speaker John Boehner’s counterproposal to avoid the $607 billion in tax increases and spending cuts set to take effect in January.

Boehner proposed $2.2 trillion in spending cuts and new revenue without raising taxes. Obama said in a Bloomberg Television interview today that the stalemate will continue as long as Republicans refuse to raise tax rates on the top 2 percent of earners.

The most active options in electronic trading today were January $85 puts, which advanced 9 cents to 54 cents a barrel on volume of 2,221 lots at 3:49 p.m. January $80 puts were the second-most active, with 1,447 lots exchanged as they were unchanged at 9 cents a barrel.

Puts Predominate

Bets that prices would decline, or puts, accounted for 58 percent of trading volume.

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, bearish bets made up 61 percent of the 123,775 contracts traded.

February $110 calls were the most active options yesterday with 6,106 contracts. They were unchanged at 11 cents a barrel. January $85 puts fell 13 cents to 45 cents on 5,112 lots.

Open interest was highest for January $105 calls, with 45,699 contracts. Next were January $60 puts, at 34,922 lots, and January $110 calls, with 31,400.

To contact the reporter on this story: Barbara J Powell in Dallas at bpowell4@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net

Please upgrade your Browser

Your browser is out-of-date. Please download one of these excellent browsers:

Chrome, Firefox, Safari, Opera or Internet Explorer.