Oil Options Volatility Falls as Crude Hits 1-Month HighChristine Harvey
Crude oil options volatility declined as the underlying futures rallied to the highest level in a month on a better-than-expected U.S. employment report.
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 22.57 percent at 3:55 p.m. on the New York Mercantile Exchange, down from 23.15 percent yesterday.
WTI for June delivery jumped $1.62, or 1.7 percent, to $95.61 a barrel on the Nymex, the highest settlement since April 2. The futures advanced after Labor Department data showed nonfarm payrolls grew by 165,000 last month. Economists surveyed by Bloomberg forecast a 140,000 gain.
The most-active options in electronic trading today were June $85 puts with 5,833 contracts changing hands at 4 p.m. They dropped 15 cents to 45 cents a barrel. Second-most active were June $100 calls, which advanced 13 cents to 25 cents a barrel on volume of 5,691 lots.
Puts, or bets that crude futures will fall, accounted for 58 percent of electronic trading volume. Bearish bets made up 57 percent of the volume of 170,540 contracts yesterday.
June $85 puts were the most-active options in the previous session, with 7,534 lots changing hands as they dropped 28 cents to 14 cents a barrel. June $98 calls rose 17 cents to 28 cents a barrel on volume of 6,088 contracts.
Open interest was highest for June $80 puts with 42,293 lots. Next were December $105 calls with 38,374 and December $110 calls with 34,148.
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.