Oil Options Volatility Falls as Futures Trade in Narrow Range

Crude options volatility fell as futures were little changed, trading in a range of less than $4 a barrel the past five days.

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 23.11 percent on the New York Mercantile Exchange as of 3:16 p.m., down from 24.41 percent yesterday.

“This is mostly due to the fact we’re range trading here at the higher price,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.

February-delivery crude oil fell 20 cents to $92.92 a barrel on the Nymex after settling yesterday at the highest level since Sept. 18. Since Dec. 27, crude has traded in an intraday range from $90 to $93.87.

The most-active options in electronic trading today were February $95 calls, which fell 26 cents to 71 cents a barrel on volume of 1,831 contracts at 3:32 p.m. in New York. February $90 puts were the second-most active, with 1,761 lots exchanged as they declined 3 cents to 69 cents a barrel.

Puts accounted for 56 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, puts accounted for 57 percent of the 156,639 contracts traded.

March $75 puts were the most active options with 11,195 contracts changing hands. They declined 7 cents to 14 cents a barrel. February $72 puts fell 1 cent to 1 cent on 10,146 lots.

Open interest was highest for February $105 calls with 36,924 contracts. Next were March $70 puts at 27,808 and February $110 calls at 27,114.

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