Oil Options Volatility Rises as Crude Gains on Seaway IncreaseDan Murtaugh
Crude oil options volatility increased as the underlying futures gained the most in a week after operators said the flow of crude on the Seaway pipeline will climb.
Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, rose to 19.55 percent at 5:30 p.m. on the New York Mercantile Exchange from 19.45 percent Feb. 15.
West Texas Intermediate crude for April delivery gained 69 cents, or 0.7 percent, to settle at $97.10 a barrel on the Nymex. Enterprise Products Partners LP said Seaway volumes will average 295,000 barrels a day between February and May, from 180,000 barrels in January. Traders are counting on the pipeline to cut a supply glut at Cushing, Oklahoma, where Nymex futures are delivered.
The most-active options in electronic trading today were April $80 puts, which dropped 3 cents to 5 cents a barrel on volume of 3,239 contracts as of 5:30 p.m. April $90 puts were the second-most active with 2,323 lots. They declined 11 cents to 44 cents.
Puts accounted for 63 percent of electronic trading volume. In the previous session, bearish bets made up 52 percent of the 154,611 contracts traded.
April $100 calls were the most active options traded Feb. 15, with 7,755 contracts changing hands. They slid 23 cents to 67 cents a barrel. April $85 puts gained 4 cents to 21 cents a barrel on 6,485 lots.
Open interest was highest for December $105 calls with 33,475 contracts. Next were April $110 calls at 33,034 and December $110 calls at 30,319.
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.