Oil Volatility Falls on No-Fly Zone, Libyan Cease-Fire Plans
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Oil options volatility decreased as the underlying futures fluctuated after Libya said it would halt military action against rebels and the United Nations approved a no-fly zone over Africa’s third-largest oil producer.
Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, was 37.25 percent as of 3:30 p.m. in New York, down from 39.45 percent yesterday.