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

Crude Options Volatility Below 20 Percent Sixth Straight Day

Jan. 25 (Bloomberg) -- Crude options volatility held below 20 percent for a sixth day as futures capped the longest run of weekly advances in almost four years.

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 19.68 percent on the New York Mercantile Exchange as of 3:50 p.m., compared with 19.62 percent yesterday.

West Texas Intermediate crude for March delivery fell 7 cents to settle at $95.88 a barrel on the Nymex for a seventh weekly gain.

The most-active options in electronic trading today were March $105 calls, which were unchanged at 7 cents a barrel on volume of 1,640 contracts at 3:53 p.m. in New York. March $90 puts were the second-most active with 1,383 lots. They declined 2 cents to 38 cents a barrel.

Puts accounted for 54 percent of electronic trading volume of 34,567. In the previous session, bearish bets made up 58 percent of the 146,643 contracts traded.

April $85 puts were the most active options traded yesterday, with 8,265 contracts changing hands. They fell 4 cents to 48 cents a barrel. April $90 puts declined 12 cents to $1.08 on 5,989 lots.

Open interest was highest for March $110 calls with 40,762 contracts. Next were March $85 puts at 32,237 and March $90 puts at 28,865.

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.

To contact the reporter on this story: Barbara Powell in Dallas at bpowell4@bloomberg.net

To contact the editors responsible for this story: Dan Stets at dstets@bloomberg.net; Richard Stubbe at rstubbe1@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.