Crude Options Volatility Rises as Oil Falls Most in Two Months

Crude oil options volatility rose above 21 percent for the first time since Jan. 16 as futures fell the most in two months.

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 21.17 percent on the New York Mercantile Exchange as of 3:45 p.m., compared with 18.92 percent on Feb. 1.

West Texas Intermediate crude for March delivery dropped $1.60, or 1.6 percent, to $96.17 a barrel on the Nymex, the biggest decline since Dec. 6. Trading volume was 15 percent below the 100-day average at 3:50 p.m. Eastern time.

The most-active options in electronic trading today were March $95 puts, which rose 34 cents to 91 cents a barrel on volume of 2,464 contracts at 4 p.m. in New York. March $100 calls were the second-most active with 2,278 lots. They fell 31 cents to 18 cents.

Puts accounted for 60 percent of electronic trading volume of 47,625. In the previous session, calls made up 53 percent of the 117,320 contracts traded.

March $95 puts were the most active options traded on Feb. 1, with 6,088 contracts changing hands. They fell 8 cents to 57 cents a barrel. March $100 calls advanced 4 cents to 49 cents on 4,965 lots.

Open interest was highest for March $110 calls with 41,766 contracts. Next were March $85 puts at 35,919 and March $115 calls at 31,080.

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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