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Crude Options Volatility Declines Along With Underlying Futures

Aug. 7 (Bloomberg) -- Crude oil options volatility rose as as underlying futures sank to the lowest level in a week.

Implied volatility for at-the-money options expiring in September, a gauge of options value, was 21.82 percent on the New York Mercantile Exchange, up from 21.62 percent yesterday. West Texas Intermediate crude for September delivery fell 93 cents to settle at $104.37 a barrel on the Nymex. Prices have dropped 3.4 percent since reaching a 16-month high on July 19.

The most active options in electronic trading today were September $100 puts, which rose 7 cents to 23 cents a barrel on volume of 6,639 lots as of 4:55 p.m. October $120 calls were the second-most active, falling 2 cents to 9 cents on volume of 2,417 contracts.

Calls made up 56 percent of electronic trading volume. In the prior session, puts and calls were about evenly split among the 96,497 contracts exchanged.

September $100 puts were the most-active options yesterday with 10,086 lots exchanging hands as they rose 5 cents to 16 cents a barrel. September $110 calls lost 23 cents to 15 cents a barrel on volume of 5,589 contracts.

Open interest was highest for December $80 puts, with 38,226 contracts. Next were December $90 puts with 36,685 lots and December $105 calls with 35,285.

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: Dan Murtaugh in Houston at

To contact the editor responsible for this story: Dan Stets at

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