Bloomberg reported that crude oil options volatility dropped after underlying futures increased due to the U.S. sanctions on Iran.
As quoted in the market news:
Implied volatility for at-the-money options expiring in September, a measure of expected price swings in futures and a gauge of options prices, was 32 percent at 3:25 p.m. on the New York Mercantile Exchange, down from 34 percent yesterday.
