WTI Crude Options Volatility Rises as Oil Highest This Year

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West Texas Intermediate crude options volatility rose as futures climbed a fourth straight day to the highest level this year.

Implied volatility for at-the-money March WTI options, a measure of expected futures movements and a key gauge of value, was 18.2 percent at 4:35 p.m. on the New York Mercantile Exchange, up from 17.64 percent yesterday.

Volatility for puts protecting against a 10 percent decline in futures rose to 23.22 percent from 22.45 percent. Calls protecting against a 10 percent gain advanced to 19.77 percent from 19.16 percent.

WTI for March delivery advanced 59 cents, or 0.6 percent, to $97.32 a barrel on the Nymex. Prices have jumped 3.1 percent in four days of increases.

“There’s an even balance between people who think the market can go higher and go lower and you have about an equal amount of bets on both sides of the strike price,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago.

Calls accounted for 51 percent of electronic trading as of 4:59 p.m. The most active options were March $100 calls, which rose 16 cents to 69 cents a barrel on volume of 5,747 lots. Second-most active were March $98 calls, up 26 cents to $1.39 on 4,067 contracts.

In the previous session, puts accounted for 51 percent of trading volume of 149,086. March $95 puts slipped 72 cents to $1.02 a barrel on 8,992 lots. March $100 calls increased 27 cents to 53 cents on volume of 7,330 contracts.

Open interest was highest for June $80 puts with 35,845 contracts. Next were December 2015 $120 calls with 27,648 lots and June $85 puts with 26,815.

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.

To contact the reporter on this story: Barbara Powell in Houston atbpowell4@bloomberg.net

To contact the editor responsible for this story: Dan Stets atdstets@bloomberg.net