Crude Options Volatility Falls as Futures Settle Into Range

Crude options volatility fell as underlying futures were little changed, trading in a range of $3 a barrel over the past five days.

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 21.88 percent at 4 p.m. on the New York Mercantile Exchange, down from 23.93 percent yesterday.

West Texas Intermediate crude for April delivery rose 13 cents to settle at $92.76 on the Nymex. Since Feb. 21, oil has traded in an intraday range from $91.92 to $94.92.

The most-active options in electronic trading today were April $98 calls, which slid 5 cents to 18 cents a barrel on volume of 1,562 contracts at 4:03 p.m. in New York. April $95 calls were the second-most active with 1,513 lots. They declined 7 cents to 78 cents a barrel.

Puts accounted for 56 percent of electronic trading volume. In the previous session, bearish bets made up 62 percent of the 133,073 contracts traded.

April $82 puts were the most active options traded yesterday, with 8,268 contracts changing hands. They were unchanged at 10 cents a barrel. April $90 puts rose 13 cents to $1.02 on 7,474 lots.

Open interest was highest for December $105 calls with 35,134 contracts. Next were April $110 calls at 34,291 and June $90 puts at 32,278.

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.

Before it's here, it's on the Bloomberg Terminal.