http://www.bloomberg.com/news/2011-01-18/crude-oil-volatility-falls-as-futures-slip-in-new-york-trading.html
Crude Oil options volatility fell after the underlying crude futures slipped 16 cents after theInternational Energy Agency said supplies are ample, particularly in North America.
Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 26.2 percent as of 4 p.m. in New York, down from 27.3 percent Jan. 14.
Oil for February delivery settled at $91.38 on the New York Mercantile Exchange, compared with $91.54 a barrel Jan. 14. Futures erased all of this year’s gains and were unchanged from Dec. 31.
March $95 calls were the most active options in electronic trading today, with 2,121 lots changing hands. They fell 28 cents to $1.46 a barrel. March $110 calls, the next-most active contract, lost 3 cents to 5 cents a barrel with 1,812 contracts trading. One contract is for 1,000 barrels of crude oil. February options expired at the close of Nymex floor trading Jan. 14.
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.
March $80 puts were the most active options traded Jan. 14 with 6,786 lots changing hands. They fell 6 cents to 21 cents a barrel. The next-most active option, March $110 calls, slipped 1 cent to 8 cents a barrel on 4,500 contracts traded.
Open interest was highest Jan. 14 for March $100 calls with 41,212 contracts. Next were December $100 calls with 39,208 and December $120 calls with 33,703.
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