Crude Options Volatility Falls as Underlying Futures Advance
The volatility of crude options fell as West Texas Intermediate futures surged the most in seven weeks amid optimism that U.S. economic growth will accelerate.
Implied volatility for at-the-money January options, a measure of expected futures swings and a key gauge of value, was 16.52 percent at 4:10 p.m. on the New York Mercantile Exchange, down from 17.25 percent yesterday.
West Texas Intermediate crude for January delivery rose $1.59 a barrel, or 1.7 percent, to settle at $95.44 a barrel on the Nymex after fewer Americans than forecast filed claims for unemployment benefits.
Puts, or bets that prices will fall, accounted for 56 percent of electronic trading volume today. The most-active options were January $90 puts, which slid 24 cents to 33 cents a barrel with 3,068 lots trading. January $97 calls rose 32 cents to 84 cents a barrel on volume of 2,978 contracts.
In the previous session, puts accounted for 58 percent of the 53,181 lots traded. January $90 puts declined 5 cents to 57 cents a barrel with 1,987 contracts trading. January $99 calls slipped 3 cents to 21 cents on volume of 1,812 lots.
Open interest yesterday was highest for June $80 puts, with 27,653 contracts. Next were January $75 puts with 27,245 lots and December 2015 $120 calls with 25,319.
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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