Crude Oil Options Volatility Increases as Futures Decline

Crude options volatility was steady as futures changed little following two days of gains.

Implied volatility for at-the-money options expiring in September, a measure of expected price swings in futures and a gauge of options, was 21.63 percent on the New York Mercantile Exchange as of 2:30 p.m., up from 21.39 percent yesterday.

West Texas Intermediate crude for September delivery fell 23 cents to settle at $105.69 a barrel on the Nymex. August futures slipped 32 cents to $106.

The most-active options in electronic trading today were September $100 puts, which rose 8 cents to 88 cents a barrel on volume of 6,655 lots traded at 2:38 p.m. August $110 calls were the second-most active, falling 6 cents to 3 cents on volume of 4,758 contracts.

Puts accounted for 54 percent of electronic trading volume. In the prior session, bearish options also made up 54 percent of 115,962 contracts exchanged.

August $102 puts were the most-active options yesterday, with 4,465 contracts changing hands as they declined 9 cents to 6 cents a barrel. August $105 puts slipped 35 cents to 34 cents on 3,996 lots.

Open interest was highest for December $80 puts, with 39,012 contracts. Next were December $100 calls with 36,316 lots and September $90 puts with 36,058.

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.

Before it's here, it's on the Bloomberg Terminal.
LEARN MORE