Oil Options Volatility Rises as Futures Gain on Stimulus Bets

Crude oil options volatility increased as the underlying futures rose the most in four weeks.

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 23.49 percent on the New York Mercantile Exchange at 3:15 p.m., versus 22.4 percent May 31.

West Texas Intermediate crude for July delivery gained $1.48, or 1.6 percent, to settle at $93.45 a barrel on the Nymex. The Dollar Index, a weighing of the U.S. greenback against a basket of major currencies, fell 0.9 percent, fueling bets that the Federal Reserve will maintain its pace of stimulus.

The most-active options in electronic trading today were July $87 puts, which declined 20 cents to 20 cents a barrel on volume of 3,072 contracts on the Nymex. July $100 calls were the second-most active, rising 4 cents to 9 cents on 2,995 lots.

Puts accounted for 51 percent of electronic trading volume today and 56 percent of the prior trading day’s volume of 93,143 contracts.

July $83 puts were the most-active options traded in the previous session, with 4,377 contracts changing hands. They rose 3 cents to 9 cents a barrel. July $85 puts gained 7 cents to 19 cents a barrel on 4,224 lots.

Open interest was highest for December $105 calls with 39,301 contracts. Next were September $85 puts with 38,324 lots and July $110 calls with 35,936.

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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