Options Volatility Jumps to Highest Since May 1 as Oil Declines

Crude oil options volatility jumped to the highest level since May 1 as the underlying futures fell 2 percent.

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 22.9 percent at 2:30 p.m. on the New York Mercantile Exchange, up from 21.3 percent yesterday.

West Texas Intermediate crude for July delivery slipped $1.88 to settle at $93.13 barrel on the Nymex, the lowest level since May 1.

The most-active options in electronic trading today were July $87 puts, which rose 18 cents to 39 cents a barrel on volume of 4,083 contracts at 2:37 p.m. in New York. July $101 calls were the second-most active, declining 9 cents to 7 cents on 3,254 lots.

Puts accounted for 54 percent of electronic trading volume today and 62 percent of the prior trading day’s volume of 101,461 contracts.

September $85 puts were the most-active options traded in the previous session, with 9,057 contracts changing hands. They fell 17 cents to $1.09 cents a barrel. July $102 calls rose 1 cent to 10 cents a barrel on 3,540 lots.

Open interest was highest for December $105 calls with 38,323 contracts. Next were July $90 puts with 37,737 lots and July $110 calls with 35,544.

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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