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Crude Options Volatility Little Changed as Oil Futures Advance

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June 12 (Bloomberg) -- Crude oil options volatility was little changed as the underlying futures gained for the first time in three days.

Implied volatility for at-the-money options expiring in August, a measure of expected price swings in futures and a gauge of options prices, was 20.07 percent on the New York Mercantile Exchange as of 2:35 p.m., compared with 20.15 percent yesterday.

West Texas Intermediate crude for August delivery rose 50 cents to settle at $96.10 a barrel on the Nymex. July futures gained 50 cents to $95.88.

The most-active options in electronic trading today were September $85 puts, which fell 2 cents to 62 cents a barrel on 10,694 lots at 2:40 p.m. on the Nymex. July $100 calls were the second-most active, holding at 3 cents a barrel on volume of 3,238 contracts.

Puts accounted for 58 percent of electronic trading volume today. In the prior session, bearish bets accounted for 54 percent of 127,079 contracts.

July $94 puts were the most-active options traded yesterday, with 7,109 contracts changing hands. They rose 5 cents to 50 cents a barrel. July $98 calls declined 9 cents to 14 cents on volume of 6,561 lots.

Open interest was highest for September $85 puts with 42,418 contracts. Next were December $105 calls with 37,676 lots and July $110 calls with 36,683.

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 Houston at bpowell4@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net

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