Oil Options Volatility Slides as WTI Rises the Most This YearDan Murtaugh
Crude options volatility fell as underlying oil futures rose the most this year after U.S. orders for durable goods climbed more than forecast in February.
Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, settled at 16.36 percent on the New York Mercantile Exchange, down from 17.12 percent yesterday.
West Texas Intermediate oil for May delivery advanced $1.53, or 1.6 percent, to $96.34 a barrel on the Nymex, the biggest increase since Dec. 26 and the highest settlement since Feb. 19. The Commerce Department said bookings for goods meant to last at least three years rose the most since September.
The most-active options in electronic trading today were May $89 puts, which fell 13 cents to 10 cents a barrel on volume of 3,790 contracts. May $88 puts were the second-most active, with 3,289 lots traded. They declined 9 cents to 7 cents a barrel.
Puts accounted for 61 percent of electronic trading volume. In the prior session, puts were 64 percent of trading volume.
May $85 puts were the most active options traded in yesterday’s session, with 7,826 contracts changing hands. They fell 6 cents to 5 cents a barrel. May $87 puts were down 11 cents to 11 cents a barrel on 5,200 lots.
Open interest was highest for December $105 calls with 36,505 contracts. Next were December $110 calls at 32,428 followed by June $90 puts at 31,610.
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.