Oil options volatility at highest

New York: Crude oil options volatility rose to the highest level in five weeks at the end of last week's trading as the underlying futures tumbled for a fourth day, capping their worst week in six on the New York Mercantile Exchange.

Implied volatility for at-the-money options expiring in 30 days, a measure of expected price swings in futures and a gauge of options prices, was 34.2 per cent as of 3:55pm in New York on Friday, the highest level since July 7. It was up from 34 per cent Thursday and a three-month low of 29 percent on August 5.

Oil for September delivery lost 35 cents, or 0.5 per cent, to settle at $75.39 a barrel on the Nymex after sales at US retailers rose less than forecast in July, a sign that economic growth is slowing. Crude tumbled 6.6 per cent this week, the commodity's worst showing since the week ended July 2.

September $75 puts, the most active options in electronic trading on the exchange on Friday, fell 17 cents to 70 cents a barrel, or $700 a contract, on volume of 1,897 lots. September $70 puts lost 3 cents to 6 cents a barrel with 1,310 contracts trading. September oil options expire August 17.

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

October $65 puts were the most active options, trading 7,183 lots. They rose 13 cents to 45 cents a barrel. October $100 calls, the next-most-active option, fell 1 cent to 3 cents a barrel with 6,364 contracts changing hands.

Open interest was highest yesterday for December $100 calls with 73,712 contracts. Next were December $110 calls with 54,553 and December $50 puts with 48,781.