Oil Options Volatility Falls as Underlying Futures Strengthen

Crude oil options volatility dropped as futures strengthened to the highest level in a week.

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 percent on the New York Mercantile Exchange at 3:50 p.m., compared with 23.7 percent yesterday.

West Texas Intermediate crude for July delivery gained 43 cents to $93.74 a barrel on the Nymex.

The most-active options in electronic trading today were July $90 puts, which fell 12 cents to 46 cents a barrel on volume of 3,093 contracts. July $85 puts were the second-most active, declining 2 cents to 5 cents a barrel on 2,126 lots.

Puts accounted for 55 percent of electronic trading volume today. In the prior day’s trading, puts made up 51 percent of the 100,683 contracts.

July $100 calls were the most-active options traded in the previous session, with 4,363 contracts changing hands. They fell 1 cent to 8 cents a barrel. July $86 puts fell 1 cent to 12 cents a barrel on 3,908 lots.

Open interest was highest for December $105 calls with 39,330 contracts. Next were September $85 puts with 38,178 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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