WTI Crude Options Volatility Steady as Oil Narrows Decline

Crude options volatility was little changed as West Texas Intermediate futures narrowed a decline to settle down 5 cents.

Implied volatility for at-the-money March WTI options, a measure of expected futures movements and a key gauge of value, was 20.07 percent at 4:05 p.m., up from 19.97 percent yesterday. WTI for March delivery closed at $97.36 a barrel on the New York Mercantile Exchange. The price ranged from $96.32 and $97.75.

Puts accounted for 53 percent of electronic trading volume as of 4:09 p.m.

The most-active options were March $101 calls, which fell 3 cents to 40 cents with 1,999 lots trading. March $85 puts, the second-most active, slid 1 cent to 3 cents on volume of 1,250. March $102 calls were down 3 cents to 25 cents on 1,162 lots.

In yesterday’s session, bearish bets accounted for 62 percent of the 101,254 lots traded. June $85 puts declined 25 cents to $1 a barrel on 9,184 contracts. March $102 calls rose 15 cents to 28 cents on volume of 5,489 lots.

Open interest in the previous session was highest for June $80 puts, with 37,658 contracts. Next were June $85 puts with 34,708 lots and December 2015 $120 calls with 27,648.

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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