Crude Oil Volatility Falls as Oil Rises for Fourth Straight Day

Crude options volatility fell as underlying oil futures advanced for a fourth straight day.

Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, was 18.22 percent at 3:55 p.m. on the New York Mercantile Exchange, down from 18.62 percent the previous session. Volatility has been below 20 percent since March 7.

West Texas Intermediate crude for May delivery rose 40 cents to settle at $92.92 a barrel on the Nymex.

The most-active options in electronic trading today were April $95 calls, which rose 4 cents to 11 cents a barrel on volume of 4,072 contracts at 4:43 p.m. May $105 calls were the second-most active with 2,668 lots. They were unchanged at 8 cents a barrel.

Calls accounted for 58 percent of electronic trading volume. In the previous session, bullish bets made up 56 percent of the 100,938 contracts traded.

May $105 calls were the most active options traded yesterday, with 6,839 contracts changing hands. They fell 2 cents to 8 cents a barrel. April $93 calls declined 4 cents to 39 cents a barrel on 4,276 lots.

Open interest was highest for December $105 calls with 36,598 contracts. Next were April $110 calls at 34,174 and June $90 puts at 31,634.

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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