Oil Options Volatility Falls to Three-Week Low as Futures Gain

Crude options volatility fell to the lowest level since April 11 as the underlying futures jumped to a one-month high.

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 19.63 percent at 4:35 p.m. on the New York Mercantile Exchange, down from 21.79 percent yesterday.

West Texas Intermediate crude for June delivery jumped $1 to settle at $96.62 a barrel a barrel on the Nymex.

“Higher prices tend to bring out lower volatility,” said Jim Colburn, a vice president and energy options broker at Jefferies Bache LLC in New York.

The most-active options in electronic trading today were July $105 calls, which rose 2 cents to 34 cents a barrel on volume of 3,532 contracts at 4:41 p.m. June $100 calls were the second-most active, increasing 4 cents to 21 cents a barrel on volume of 3,304 lots.

Calls accounted for 53 percent of electronic trading volume today. Bearish bets made up 52 percent of yesterday’s volume of 161,777 contracts.

June $90 puts were the most-active options traded in the previous session, with 8,072 contracts changing hands. They fell 1 cent to 14 cents a barrel. July $90 puts increased 2 cents to $1.01 a barrel on 6,793 lots.

Open interest was highest for June $80 puts with 39,589 contracts. Next were December $105 calls with 37,061 and December $110 calls with 34,110.

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.

Before it's here, it's on the Bloomberg Terminal.
LEARN MORE