Crude Oil Options Sink Most Since May on U.S. Jobs Data
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Crude oil options volatility sank to the lowest level since May as the underlying futures advanced on a better-than-expected U.S. employment report.
Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options price, was 21.66 percent at 3:40 p.m. on the New York Mercantile Exchange, down from 22.77 yesterday. That’s the lowest since May 2, according to data compiled by Bloomberg.