MercoPress. South Atlantic News Agency

Volatility Oil Prices, Futures Rise Most Since 2009

Oil options volatility increased as the underlying futures surged the most since September 2009 as unrest in Egypt raised concern that protests would spread to major oil-producing parts of the Middle East.

Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, rose to 30.1 percent in New York from 27.6 percent on Friday.

Oil for March delivery climbed $3.70, or 4.3 percent, to settle at $89.34 a barrel on the New York Merchantile Exchange http://topics.bloomberg.com/new-york-mercantile-exchange/ It was the biggest jump since September 30th, 2009. The contract rose 0.3 percent this week and has gained 21 percent this year.

March $100 calls were the most active options in electronic trading today, with 6,280 lots changing hands. They rose 32 cents to 35 cents a barrel. April $100 calls, the next-most active contract, gained 79 cents to $1.16 a barrel with 4,649 contracts trading. One contract is for 1,000 barrels of oil.

Nymex 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 yesterday with 9,618 lots changing hands. They rose 16 cents to 51 cents a barrel. The next-most active option, April $100 calls, fell 10 cents to 37 cents a barrel on 8,437 contracts.

Open interest was highest yesterday for December $100 calls with 40,066 contracts. Next were March $100 calls with 38,117 and March $110 calls with 34,290.