Bloomberg Anywhere Remote Login Bloomberg Terminal Demo Request

Bloomberg

Connecting decision makers to a dynamic network of information, people and ideas, Bloomberg quickly and accurately delivers business and financial information, news and insight around the world.

Company

Financial Products

Enterprise Products

Media

Customer Support

  • Americas

    +1 212 318 2000

  • Europe, Middle East, & Africa

    +44 20 7330 7500

  • Asia Pacific

    +65 6212 1000

Communications

Industry Products

Media Services

Follow Us

Bloomberg Customers

Crude Options Volatility Falls as Underlying Futures Advance

West Texas Intermediate crude options volatility fell as futures rose for the first time in six days.

Implied volatility for at-the-money February WTI options, a measure of expected futures movements and a key gauge of value, was 18.01 percent at 4:20 p.m. on the New York Mercantile Exchange, down from 19.86 percent on Jan. 6, according to data compiled by Bloomberg.

WTI for February delivery increased 24 cents to settle at $93.67 a barrel on New York Mercantile Exchange, ending a five-day losing streak, the longest since September. The volume of all futures traded was 14 percent lower than the 100-day average at 3:26 p.m.

Calls accounted for 53 percent of electronic trading volume as of 4:47 p.m. The most-active options were February $97 calls, which slipped 2 cents to 11 cents on volume of 2,308 lots. Second-most-active were February $94 calls, which sank 4 cents to 83 cents on 1,653 contracts.

In the previous session, calls accounted for 52 percent of trading volume of 117,967. March $90 puts rose 8 cents to $1.18 on volume of 8,704 contracts. February $98 calls declined 5 cents to 7 cents on 4,492 lots.

Open interest was highest for June $80 puts, with 33,409 contracts. Next were June $85 puts with 26,541 lots and December 2015 $120 calls with 25,368.

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.

Please upgrade your Browser

Your browser is out-of-date. Please download one of these excellent browsers:

Chrome, Firefox, Safari, Opera or Internet Explorer.