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.