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 Falls as Oil Climbs on Fed Stimulus

Dec. 12 (Bloomberg) -- Crude options volatility fell as futures rose after the Federal Reserve boosted stimulus measures and the International Energy Agency forecast higher demand.

Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options prices, was 26.39 percent on the New York Mercantile Exchange as of 2:35 p.m., down from 27.5 percent yesterday.

February-delivery crude oil advanced 99 cents to settle at $87.31 a barrel on the Nymex.

Futures rose as the Fed said it will buy $45 billion a month of Treasury securities starting in January, and the IEA increased its world oil-demand forecast for this quarter and next year.

The most active options in electronic trading today were January $85 puts, which slipped 38 cents to 21 cents a barrel on volume of 4,058 lots at 2:41 p.m. February $75 puts were the second-most active, with 3,016 lots exchanged as they declined 6 cents to 27 cents.

Bets that prices would fall, or puts, accounted for 60 percent of electronic 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, bullish and bearish bets were almost evenly split amid the 101,689 contracts traded.

February $110 calls were the most active options yesterday with 5,742 contracts changing hands. They were unchanged at 7 cents a barrel. February $72 puts fell 2 cents to 17 cents on 4,244 lots.

Open interest was highest for January $105 calls, with 45,794 contracts. Next were January $60 puts at 34,922 lots, and January $110 calls with 31,399.

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.