Feb. 7 (Bloomberg) -- Crude oil options volatility fell with the underlying futures after European Central Bank President Mario Draghi said the euro’s strength could hamper an economic recovery and crimp fuel demand.
Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 20.28 percent at 3:45 p.m. on the New York Mercantile Exchange, down from from 20.70 yesterday. Crude oil for April delivery slipped 74 cents to $95.35 a barrel on the Nymex.
The futures declined after Draghi said ECB policy makers are concerned an advance in the euro, which gained 2.5 percent this year through yesterday, could stymie a recovery by curbing exports and damping inflation. They “want to see if the appreciation is sustained,” he said.
The most active options in electronic trading today were March $95 puts. They increased 10 cents to 76 cents a barrel on volume of 2,666 contracts. The second-most active were March $94 puts, which gained 4 cents to 50 cents a barrel, with 1,953 lots exchanged.
Bets that prices would fall, or puts, accounted for 58 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 57 percent of volume.
March $85 puts were the most active traded options yesterday, with 6,785 contracts trading as they were unchanged at 3 cents a barrel. April $115 calls dropped 1 cent to 7 cents barrel on 5,499 lots.
Open interest was highest for March $85 puts with 42,876 contracts. Next were March $110 calls at 40,923 and March $115 calls at 30,924.
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