Oil Options Rise as Futures Jump on Stimulus OptimismChristine Harvey
Crude oil options volatility advanced for the first time in eight days, rising as underlying futures jumped 1.6 percent.
Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 21.69 percent at 3:50 p.m. on the New York Mercantile Exchange, up from 20.41 percent April 26.
West Texas Intermediate oil for June delivery climbed $1.50 to settle at $94.50 a barrel, the biggest gain since April 25.
Crude rallied on optimism European Central Bank policy makers may cut interest rates this week, while the Federal Reserve will consider renewing its commitment to bond-buying at a two-day meeting starting tomorrow, according to majority of economists in a Bloomberg survey. The ECB will meet May 2.
The most-active options in electronic trading today were June $100 calls, which rose 8 cents to 21 cents a barrel at 3:51 p.m. as 2,662 lots exchanged hands. The second-most active were July $80 puts on volume of 2,499 contracts. They fell 3 cents to 21 cents a barrel.
Puts, or bets that crude futures will fall, accounted for 53 percent of electronic trading volume. Bearish bets made up 59 percent on volume of 131,889 contracts on April 26.
June $90 puts were the most-active options in the previous session, with 5,611 lots changing hands. They gained 10 cents to 77 cents a barrel. December $55 puts were unchanged at 6 cents a barrel with volume of 5,236 contracts.
Open interest was highest for June $80 puts with 41,040 contracts. Next were December $105 calls with 35,888 and December $110 calls with 35,137.
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.