Crude Options Volatility Falls for First Time in Four Days

Crude options volatility fell for the first time in four days as underlying futures advanced.

Implied volatility for at-the-money options expiring in March, a measure of expected price swings in futures and a gauge of options prices, was 22.06 percent on the New York Mercantile Exchange as of 4:02 p.m., compared with 24.01 percent yesterday.

Oil futures for March delivery rose 96 cents to settle at $94.68 a barrel on the Nymex. February-delivery crude futures, which expire Jan. 22, advanced 96 cents to $94.24 a barrel.

The most-active options in electronic trading today were March $85 puts, which fell 12 cents to 35 cents a barrel on volume of 4,714 contracts at 4:06 p.m. in New York. March $80 puts were the second-most active, with 3,029 lots exchanged as they declined 3 cents to 13 cents a barrel.

Bets that prices would fall, or puts, accounted for 60 percent of electronic trading volume.

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.

In the previous session, puts accounted for 53 percent of the 112,459 contracts traded.

March $90 puts were the most active options traded, with 4,918 contracts changing hands. They rose 16 cents to $1.27 a barrel. May $70 puts gained 2 cents to 24 cents on 4,506 lots exchanged.

Open interest was highest for March $110 calls with 34,629 contracts. Next were February $105 calls at 31,562 and March $70 puts at 27,293.

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