Crude Oil Options Decline as Futures Rise to 4-Month High

Crude oil options volatility fell while the underlying futures climbed to a four-month high.

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 19.56 percent at 5:10 p.m. on the New York Mercantile Exchange, down from 19.82 yesterday.

Crude oil for March delivery rose $1.13 to $97.57 a barrel on the Nymex, the highest settlement since Sept. 14, after the S&P/Case-Shiller index of property values in 20 U.S. cities climbed the most in more than six years.

Home prices increased 5.5 percent in November from the year-earlier period, the biggest year-over-year gain since August 2006. A median gain of 5.6 percent was projected by 30 economists surveyed by Bloomberg. The index is based on a three-month average, which means the November data were influenced by transactions in October and September.

The most active options in electronic trading today were March $100 calls, which gained 16 cents to 55 cents a barrel on volume of 3,582 contracts. The second-most active, with 2,747 lots exchanged, were April $100 calls, which advanced 32 cents to $1.75 a barrel.

Bets that prices would fall, or puts, accounted for 52 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 50 percent of volume.

June $120 calls were the most active options yesterday, with 6,116 contracts trading as they rose 3 cents to 27 cents a barrel. April $80 puts slipped 3 cents to 18 cents a barrel on 4,279 lots.

Open interest was highest for March $110 calls with 40,633 contracts. Next were March $85 puts at 32,447 and March $90 puts at 28,659.

Before it's here, it's on the Bloomberg Terminal. LEARN MORE