Crude Oil Volatility Declines; June Puts Attract Most Interest
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Oil options volatility decreased as the underlying futures fell a fifth day in New York, capping a 15 percent drop this week.
Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 37.8 percent as of 2 p.m. in New York, down from 39.9 percent yesterday. June $90 and $95 puts were the most active in electronic trading.