Jan. 8 (Bloomberg) -- Oil options volatility fell to the lowest level since at least 2006 as the underlying futures were little changed for the fourth straight day.
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 19.79 percent at 3:25 p.m. on the New York Mercantile Exchange, down from 21.19 percent yesterday. That’s the lowest level in data compiled by Bloomberg going back to March 22, 2006.
Crude oil for February delivery fell 4 cents to $93.15 a barrel on the Nymex. It’s the fourth day in a row that settlement prices moved 20 cents or less.
The most active options in electronic trading today were March $110 calls, which slipped 1 cent to 9 cents a barrel on volume of 2,536 contracts. The second-most active, with 2,255 lots exchanged, were February $90 puts, down 11 cents to 24 cents a barrel.
Bets that prices would fall, or puts, accounted for 54 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 56 percent of volume.
March $78 puts were the most active options yesterday, with 8,558 contracts trading as they fell 2 cents to 15 cents a barrel. March $73 puts slipped 1 cent to 6 cents a barrel on 3,091 lots.
Open interest was highest for February $105 calls with 32,421 contracts. Next were March $70 puts at 27,580 lots and February $110 calls with 25,916.
To contact the reporter on this story: Dan Murtaugh in Houston at email@example.com
To contact the editor responsible for this story: Dan Stets at firstname.lastname@example.org