Oil Options Volatility Rises From Three-Week Low as Crude Falls

Crude options volatility rose from a three-week low as the underlying futures declined.

Implied volatility for at-the-money options expiring in July, a measure of expected price swings in futures and a gauge of options prices, was 20.18 percent at 4:15 p.m. on the New York Mercantile Exchange, up from 19.7 percent yesterday.

West Texas Intermediate crude for June delivery dropped 23 cents to settle at $96.39 a barrel a barrel on the Nymex. July-delivery futures slid 19 cents to $96.66.

The most-active options in electronic trading today were July $90 puts, which rose 19 cents to 84 cents a barrel on volume of 11,745 contracts at 4:19 p.m. June $90 puts were the second-most active, advancing 3 cents to 9 cents a barrel on 2,226 lots.

Puts accounted for 70 percent of electronic trading volume today. Calls made up 57 percent of yesterday’s volume of 139,572 contracts.

July $110 calls were the most-active options traded in the previous session, with 6,731 contracts changing hands. They rose 2 cents to 15 cents a barrel. June $100 calls increased 3 cents to 20 cents a barrel on 3,846 lots.

Open interest was highest for June $80 puts with 38,011 contracts. Next were December $105 calls with 37,555 and June $75 puts with 34,317.

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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