Jan. 8 (Bloomberg) -- West Texas Intermediate crude options volatility rose as futures fell below $93 a barrel for the first time in a month.
Implied volatility for at-the-money March WTI options, a measure of expected futures movements and a key gauge of value, was 18.87 percent at 3:05 p.m. on the New York Mercantile Exchange, up from 18.38 percent yesterday. Volatility for calls protecting against a 10 percent rise in futures rose to 18.68 percent from 18.22.
“We’re giving back the late-December runup in the price of crude, and back to a more normal price of oil,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago. “People are a little concerned we could see another runup.”
WTI March futures declined $1.31, or 1.4 percent, to close at $92.53 a barrel on the Nymex. February futures fell $1.34, or 1.4 percent, to $92.33, the lowest settlement since Nov. 27.
Calls accounted for 51 percent of electronic trading volume as of 3:13 p.m. The most active options were February $95 calls, which slipped 29 cents to 15 cents a barrel on volume of 3,891 lots. Second-most active were February $90 puts, up 9 cents to 25 cents on 3,424 contracts.
In the previous session, calls accounted for 54 percent of trading volume of 97,247. February $100 calls were unchanged at 3 cents on volume of 5,279 contracts. March $90 puts declined 23 cents to 95 cents on 5,031 lots.
Open interest was highest for June $80 puts, with 33,204 contracts. Next were December 2015 puts with 26,946 lots and June $85 puts with 26,560.
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.
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