Jan. 18 (Bloomberg) -- Crude options volatility fell below 20 percent for the first time in at least six years as the underlying futures settled above $95.
Implied volatility for at-the-money options expiring in March, a measure of expected price swings in futures and a gauge of options prices, was 19.27 percent on the New York Mercantile Exchange as of 4:02 p.m., compared with 20.87 percent yesterday. It was the first time that volatility for the front-month options contract has dipped below 20 percent since at least March 2006, according to data compiled by Bloomberg.
Oil futures for March delivery rose 10 cents to settle at $96.04 a barrel on the Nymex. February-delivery crude futures, which expire Jan. 22, advanced 7 cents to $95.56 a barrel, the highest settlement since Sept. 17.
“Crude has consolidated up at this level in a tight range,” said Fred Rigolini, vice president of Paramount Options Inc. in New York.
The most-active options in electronic trading today were March $120 calls, which were unchanged at 3 cents a barrel on volume of 2,118 contracts at 4:09 p.m. in New York. March $90 puts were the second-most active with 1,742 lots. They fell 14 cents to 49 cents a barrel.
Bets that prices would fall, or puts, accounted for 61 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 55 percent of the 175,385 contracts traded.
March $110 calls were the most active options traded, with 10,632 contracts changing hands. They rose 1 cent to 8 cents a barrel. March $75 puts fell 2 cents to 3 cents on 10,459 lots.
Open interest was highest for March $110 calls with 41,214 contracts. Next were March $85 puts at 30,354 and March $70 puts at 26,919.
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