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Crude Options Volatility Falls as Underlying Futures Advance

Jan. 7 (Bloomberg) -- 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.

To contact the reporter on this story: Eliot Caroom in New York at ecaroom@bloomberg.net

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

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