Crude Options Volatility Increases as Underlying Futures Slide

Crude options volatility rose as the underlying futures declined for a second day.

Implied volatility for at-the-money options expiring in September was 21.91 percent on the New York Mercantile Exchange at 3:55 p.m., down from 20.82 on Aug. 2.

West Texas Intermediate crude for delivery in September dropped 38 cents, or 0.4 percent, to settle at $106.56 a barrel on the Nymex.

The most active options in electronic trading today were September $105 puts, which rose 2 cents to 94 cents a barrel on volume of 2,024 lots traded as of 3:59 p.m. September $102 puts were the second-most active, unchanged at 29 cents on volume of 2,021 contracts.

Puts accounted for 58 percent of electronic trading volume. In the prior session, bullish bets made up 57 percent of 121,195 contracts exchanged.

September $114 calls were the most-active options Aug. 2 with 6,445 contracts changing hands as they fell 12 cents to 11 cents a barrel. September $112 calls fell 24 cents to 24 cents on 6,377 lots.

Open interest was highest for December $80 puts, with 38,207 contracts. Next were December $90 puts with 36,663 lots and December $70 puts with 34,002.

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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