Oil Options Volatility at Record Low as April $69 Puts Top TradeEliot Caroom
April $69 puts were the most active crude options in electronic trading as volatility hung at the lowest level since at least 2006 and the underlying futures rose for the fourth time in five days.
Implied volatility for at-the-money February West Texas Intermediate options, a measure of expected futures movements, was 13.87 percent on the New York Mercantile Exchange as of 2:15 p.m., the same as yesterday, the lowest level in data compiled by Bloomberg. Volatility for WTI crude options has fallen as surging domestic output boosts stocks.
WTI for February delivery gained 31 cents to settle at $99.22 a barrel on the New York Mercantile Exchange.
Puts accounted for 70 percent of electronic trading volume as of 2:20 p.m. April $69 puts were unchanged at 3 cents a barrel with 3,925 lots trading. February $105 calls, the second most-active, were unchanged at 7 cents on volume of 735 lots.
“It looks like they’re cheap options to own,” said Michael Truscelli, a broker for Paramount Options Inc. in New York of the April puts. “They came in a little bit and it looked like a good buy.”
Puts accounted for 57 percent of the 49,424 lots traded yesterday. February $90 puts fell 2 cents to 5 cents a barrel on volume of 3,270 contracts. June $115 calls rose 1 cent to 21 cents with 3,050 lots changing hands.
Open interest was highest for June $80 puts, with 33,948 contracts. Next were June $85 puts with 26,169 lots and December 2015 $120 calls with 25,368.
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.