Oil Options Volatility Slips Below 16% as Crude Futures Climb

Crude options volatility fell below 16 percent as oil futures jumped to a five-week 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 15.84 percent at 3 p.m. on the New York Mercantile Exchange, down from 16.42 percent yesterday.

West Texas Intermediate oil for May delivery advanced 24 cents to $96.58 a barrel on the Nymex, the highest settlement since Feb. 19.

The most-active options in electronic trading today were May $90 puts, which fell 5 cents to 10 cents a barrel on volume of 5,756 contracts at 3:05 p.m. May $102 calls were the second-most active, with 2,317 lots traded. They rose 1 cent to 15 cents a barrel.

Puts accounted for 62 percent of electronic trading volume. Bearish bets made up 53 percent of yesterday’s trading volume on 156,057 contracts.

May $100 calls were the most active options traded yesterday, with 7,308 contracts changing hands. They rose 19 cents to 36 cents a barrel. May $88 puts slid 9 cents to 7 cents a barrel on 6,789 lots.

Open interest was highest for December $105 calls with 36,355 contracts. Next were December $100 calls at 33,207 and December $110 calls at 32,227.

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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