Oil Options Volatility Drops as Crude Falls on Europe Concerns
This article is for subscribers only.
Oil options volatility declined for a second day after crude fell after the Group of 20 nations rebuffed calls from euro countries to increase international lending resources, adding to concern that Europe’s debt crisis will slow the economy.
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 29.4 as of 1:30 p.m. in New York, down from 30 on Feb. 24.