Crude Options Volatility Falls as Oil Sinks to Eight-Month Low

West Texas Intermediate crude options volatility fell as futures sank to an eight-month low.

Implied volatility for at-the-money March WTI options, a measure of expected futures movements and a key gauge of value, was 18.52 percent at 3:11 p.m. on the New York Mercantile Exchange, down from 18.89 percent yesterday. Volatility for calls protecting against a 10 percent rise in futures slipped to 17.84 percent from 18.69 percent in the prior session.

WTI February futures fell 67 cents, or 0.7 percent, to settle at $91.66 a barrel on the Nymex, the lowest settlement since May 1. March futures declined 64 cents to close at $91.89 a barrel.

Calls accounted for 52 percent of electronic trading volume as of 3:17 p.m. The most active options were February $90 puts, which slipped 9 cents to 18 cents a barrel on volume of 5,734 lots. Second-most active were March $106 calls, down 1 cent to 4 cents on 4,954 contracts.

In the previous session, puts accounted for 52 percent of trading volume of 139,526. February $95 calls declined 28 cents to 16 cents on volume of 5,252 contracts. February $90 puts rose 11 cents to 27 cents on 4,802 lots.

Open interest was highest for June $80 puts, with 33,755 contracts. Next were December 2015 $120 calls with 26,947 lots and June $85 puts with 26,692.

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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