Crude Oil Volatility Falls as Futures Decline on Inventory Gain

Crude options volatility fell as underlying oil futures declined after inventories rose to a seasonal high.

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 18.15 percent at 2:34 p.m. on the New York Mercantile Exchange, down from 18.37 percent the previous session. Volatility has been below 20 percent since March 7.

West Texas Intermediate crude for May delivery fell 4 cents to settle at $92.88 a barrel on the Nymex after the government reported supplies rose 2.62 million barrels last week to 384 million, the most for any week in March in records dating to 1982.

The most-active options in electronic trading today were May $105 calls, which fell 2 cents to 6 cents a barrel on volume of 2,576 contracts at 2:32 p.m. May $80 puts were the second-most active with 2,523 lots. They rose 1 cent to 7 cents a barrel.

Puts accounted for 59 percent of electronic trading volume. In the previous session, calls made up 58 percent of the 123,877 contracts traded.

May $105 calls were the most active options traded yesterday, with 7,168 contracts changing hands. They were unchanged at 8 cents a barrel. April $95 calls rose 4 cents to 11 cents a barrel on 4,758 lots.

Open interest was highest for December $105 calls with 36,480 contracts. Next were April $110 calls at 34,170 and June $90 puts at 31,650.

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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