Jan. 4 (Bloomberg) -- Crude oil options volatility sank to the lowest level since May as the underlying futures advanced on a better-than-expected U.S. employment report.
Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options price, was 21.66 percent at 3:40 p.m. on the New York Mercantile Exchange, down from 22.77 yesterday. That’s the lowest since May 2, according to data compiled by Bloomberg.
Crude oil for February delivery settled at $93.09 a barrel on the Nymex, extending its advance to 2.5 percent this week, the most since Sept. 14. Prices increased 17 cents from yesterday after the Labor Department said payrolls rose by 155,000 workers last month, compared with the forecast for 152,000 in a Bloomberg survey of economists.
The Labor Department also revised the November payroll increase to 161,000, more than initially estimated. The U.S. unemployment rate held at 7.8 percent, matching the lowest level since December 2008.
The most active options in electronic trading today were February $95 calls, which declined 7 cents to 68 cents a barrel at 4:16 p.m. on volume of 1,584 contracts. The second-most active, with 1,544 lots exchanged, were February $90 puts, down 10 cents to 52 cents a barrel.
Bets that prices would fall, or puts, accounted for 57 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 51 percent of volume.
February $105 calls were the most active options yesterday, with 9,671 contracts trading as they were unchanged at 6 cents a barrel. March $110 calls fell 2 cents to 14 cents a barrel on 6,940 lots.
Open interest was highest for February $105 calls with 32,376 contracts. Next were March $70 puts at 27,622 lots and February $110 calls with 26,137.
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