Feb. 11 (Bloomberg) -- Crude oil options volatility fell as the underlying futures rose after the euro advanced against the dollar.
Implied volatility for at-the-money options expiring in April, a measure of expected swings in futures and a gauge of options prices, was 18.65 percent at 4 p.m. on the New York Mercantile Exchange, down from 19.87 Feb. 8. Crude oil for April delivery increased $1.31 to $97.58 a barrel on the Nymex. The more-active March futures climbed $1.31 to $97.03.
West Texas Intermediate, the benchmark for Nymex futures, narrowed its discount to Brent oil the most this year after the euro advanced as much as 0.5 percent against the dollar. In a speech today, Jens Weidmann, a European Central Bank member, said the euro isn’t seriously overvalued and warned governments against trying to weaken it.
The most active options in electronic trading today were March $95 puts. They slid 41 cents to 26 cents a barrel on volume of 3,571 contracts at 4:23 p.m. The second-most active were April $120 calls, which were unchanged at 4 cents a barrel, with 2,907 lots exchanged.
Bets that prices would fall, or puts, accounted for 51 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 volume.
March $95 puts were the most active options Feb. 8, with 4,491 contracts trading as they dropped 10 cents to 67 cents a barrel. March $98 calls slipped 12 cents to 17 cents a barrel on 3,428 lots.
Open interest was highest for March $85 puts with 42,500 contracts. Next were March $110 calls at 40,863 and March $115 calls at 30,934.
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