Crude Volatility Slips as Futures Rise From Four-Month LowBarbara Powell
Crude options volatility fell for the first time this week as underlying futures rose from a four-month low to settle little changed.
Implied volatility for at-the-money December options, a measure of expected futures swings and a key gauge of value, was 20.25 percent at 3:25 p.m. on the New York Mercantile Exchange, down from 21.39 percent yesterday. Put options protecting against a 10 percent drop in prices slipped to 28.08 percent from 28.98.
West Texas Intermediate crude for December delivery rose 25 cents to settle at $97.11 a barrel on the Nymex.
Puts, or bets that prices would fall, accounted for the three most popular options and 67 percent of electronic trading volume today.
The most active options in electronic trading today were December $70 puts, which were unchanged at 1 cent a barrel with 4,759 lots trading as of 3:46 p.m. December $75 puts were unchanged at 2 cents with volume of 4,653 lots.
In the previous session, puts accounted for 59 percent of the 229,014 lots traded. December $88 puts were the most-active options, with 15,552 contracts trading as they advanced 9 cents to 27 cents a barrel. December $90 puts rose 13 cents to 42 cents on volume of 15,018 lots.
Open interest in the prior session was highest for December $80 puts, with 41,820 contracts. Next were December $90 puts with 40,487 lots and December $85 puts with 35,283.
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.