October Oil Volatility Rises as Crude Climbs

Volatility on near-term crude options rose for the first time in three days as futures gained amid optimism that European leaders will make progress on controlling the region’s debt crisis.

Implied volatility for at-the-money options expiring in October, a measure of expected price swings in futures and a gauge of options prices, was 28.07 percent at 3:10 p.m. in New York, up from 27.68 percent yesterday.

Crude oil for October delivery rose 58 cents, or 0.6 percent, to $96.84 a barrel on the Nymex.

Implied volatility on calls protecting against a 10 percent rise in futures rose to 30.1 percent as of 3:20 p.m. from 29.4 percent at the same time yesterday. Puts protecting against a 10 percent decline rose to 30.9 from 30.6 percent.

The most active options in electronic trading today were October $130 calls, which rose 1 cent to 5 cents a barrel at 3:30 p.m. with 2,740 lots trading. October $85 puts were the second-most active options, with 2,215 lots changing hands as they declined 6 cents to 23 cents a barrel.

Bullish bets accounted for 54 percent of electronic trading today. One contract covers 1,000 barrels of crude.

The exchange distributes real-time data for electronic trading and releases information the next business day on floor trading, where the bulk of options trading occurs.

In the previous session, bets that prices would rise predominated, accounting for 53 percent of the 101,234 contracts traded.

October $110 calls were the most actively traded options yesterday, with 6,920 lots changing hands. They dropped 24 cents to 25 cents a barrel. June $75 puts were unchanged at $2.66 on volume of 5,150.

Open interest was highest for December $100 calls with 45,745 contracts. Next were December $80 puts with 42,949 lots and December $120 calls with 42,196.

To contact the reporter on this story: Barbara J Powell in Dallas at bpowell4@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net

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