Crude options volatility rises as futures near $90 a barrel

May 23 (Bloomberg) -- Crude-oil options volatility rose for the first time in three days as underlying futures slipped below $90 a barrel.

Implied volatility for at-the-money options expiring in July, a measure of expected price swings in futures and a gauge of options prices, was 27.44 at 1:38 p.m., on the New York Mercantile Exchange, up from 25.21 percent yesterday.

“We broke below $90 and everything is pretty well bid right now,” said Fred Rigolini, vice president of Paramount Options Inc. in New York. “Earlier we were seeing action in August $105 calls and July $100 calls.”

Crude oil for July delivery fell $1.91 to $89.94 a barrel at 1:41 p.m. on the Nymex. Today was the first time the front- month contract had fallen below $90 since November.

The most-active oil options in electronic trading today were July $80 puts, which rose 17 cents to 33 cents a barrel at 2:09 p.m. with 3,419 lots trading. July $100 calls were the second-most active options with 2,901 lots changing hands as they fell 13 cents to 15 cents.

Puts accounted for 55 percent of electronic trading volume. One contract covers 1,000 barrels of crude.

The exchange distributes real-time data for electronic trading and releases information the next business day on floor trading, where the bulk of options trading occurs.

Bullish bets accounted for 57 percent of the 135,023 trades in the previous session. July $105 calls were the most actively traded, with 10,021 lots changing hands. They fell 3 cents to 11 cents a barrel. The next-most active options, July $100 calls, lost 13 cents to 28 cents on volume of 8,023.

Open interest was highest for December $80 puts with 39,863 contracts. Next were December $150 calls with 35,723 lots and December $70 puts with 34,778.

Bloomberg News

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