October Oil Options Fall as Isaac Weakens Away From Gulf

Near-term crude options slipped to the lowest level since May as Hurricane Isaac weakened to a tropical storm and moved north into Louisiana, away from Gulf Coast refineries and offshore oil production.

Implied volatility for options expiring in October, a measure of expected price swings in futures and a gauge of options prices, was 26.68 percent at 2:25 p.m. in New York, down from 27.75 percent yesterday. Bets that prices would fall accounted for 57 percent of electronic trading today.

Crude oil for delivery in October declined 87 cents, or 0.9 percent, to settle at $94.62 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were October $85 puts, which rose 3 cents to 20 cents a barrel at 2:20 p.m. with 1,326 lots trading. October $90 puts were the second-most active options, with 1,204 lots changing hands as they advanced 9 cents to 74 cents a barrel. 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, bullish bets accounted for 57 percent of the 97,089 contracts traded.

December $125 calls were the most actively traded options yesterday with 7,550 lots changing hands. They fell 8 cents to 39 cents a barrel. October $85 puts rose 2 cents to 17 cents on volume of 5,042.

Open interest was highest for December $100 calls with 46,414 contracts. Next were December $80 puts with 44,676 lots and December $120 calls with 43,714.

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

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