Crude Oil Options Volatility Rises as Futures Gives Up Gains

Crude options volatility rose as oil fell after U.S. Secretary of State John Kerry said a diplomatic solution to the standoff on Iran’s nuclear program was possible.

Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 23.73 percent on the New York Mercantile Exchange as of 3:55 p.m., up from 22.11 on Feb. 22.

West Texas Intermediate crude for April delivery fell 2 cents to settle at $93.11 a barrel on the Nymex. Futures extended the decline after the 2:30 p.m. close of floor trading as the euro slipped 0.9 percent against the dollar, making commodities priced in the U.S. currency less attractive.

The most-active options in electronic trading today were May $70 puts, which gained 1 cent to 9 cents on volume of 2,869 contracts at 4:09 p.m. in New York. April $90 puts were the second-most active with 2,636 lots. They rose 20 cents to $1.18 a barrel.

Puts accounted for 58 percent of electronic trading volume. In the previous session, bearish bets made up 60 percent of the 111,650 contracts traded.

April $85 puts were the most active options traded Feb. 22, with 6,098 contracts changing hands. They were down 19 cents to 27 cents a barrel. April $100 calls fell 2 cents to 13 cents on 4,467 lots.

Open interest was highest for December $105 calls with 34,763 contracts. Next were April $110 calls at 34,431 and June $90 puts at 32,311.

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.