Bloomberg the Company & Products

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 Rises as Futures Reach Four-Month High

Jan. 28 (Bloomberg) -- Crude options volatility rose above 20 percent for the first time in more than a week as futures advanced to a four-month high in New York.

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 20.09 percent on the New York Mercantile Exchange as of 3:20 p.m., compared with 19.62 percent on Jan. 25. It was last above 20 percent on Jan. 17.

West Texas Intermediate crude for March delivery rose 56 cents to settle at $96.44 a barrel on the Nymex, extending a seven-week gain. Trading volume was 23 percent below the 100-day average at 3:25 p.m. Eastern time.

The most-active options in electronic trading today were June $90 puts, which fell 18 cents to $2.22 a barrel on volume of 1,688 contracts at 3:27 p.m. in New York. June $120 calls were the second-most active with 1,138 lots. They rose 3 cents to 27 cents.

Puts accounted for 57 percent of electronic trading volume of 29,958. In the previous session, calls made up 52 percent of the 130,188 contracts traded.

April $107 calls were the most active options traded on Jan. 25, with 5,183 contracts changing hands. They fell 1 cent to 25 cents a barrel. December $110 calls declined 11 cents to $3.05 on 5,071 lots.

Open interest was highest for March $110 calls with 40,748 contracts. Next were March $85 puts at 32,351 and March $90 puts at 28,782.

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 editor responsible for this story: Dan Stets at dstets@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.