Crude Options Volatility Little Changed as July Futures Steady

Crude oil options volatility was little changed as the underlying futures held steady.

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 23.58 percent on the New York Mercantile Exchange at 2:55 p.m., versus 23.66 percent yesterday.

West Texas Intermediate crude for July delivery dropped 14 cents to $93.31 a barrel on the Nymex, the smallest daily change since May 24.

The most-active options in electronic trading today were August $110 calls, which were unchanged at 7 cents a barrel on volume of 2,102 contracts at 3 p.m. on the Nymex. July $92 puts were the second-most active, declining 5 cents to $1.10 a barrel on 1,860 lots.

Calls accounted for 53 percent of electronic trading volume today. In the prior day’s trading, puts accounted for 50.2 percent of 104,932 contracts.

July $95 calls were the most-active options traded in the previous session, with 4,582 contracts changing hands. They rose 44 cents to $1.01 a barrel. July $87 puts fell 20 cents to 20 cents a barrel on 3,972 lots.

Open interest was highest for December $105 calls with 39,306 contracts. Next were September $85 puts with 38,172 lots and July $110 calls with 35,935.

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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