October Oil Options Slide as Bernanke Speech Boost Futures

Near-term crude options fell to the lowest level since May 3 as futures climbed 2 percent after Federal Reserve Chairman Ben S. Bernanke said that further economic stimulus would be justified.

Implied volatility for options expiring in October, a measure of expected price swings in futures and a gauge of options prices, was 25.72 percent as of 3:33 p.m. in New York, down from 26.59 percent yesterday. Bets that prices would fall accounted for 54 percent of electronic trading today.

Crude oil for October delivery advanced $1.85 to settle at $96.47 a barrel on the Nymex.

The Nymex is closed Sept. 3 for the U.S. Labor Day holiday except for electronic trading. October options expire Sept. 17.

Two options were the most active in electronic trading today. March $130 calls rose 8 cents to 88 cents a barrel at 3:59 p.m. with 1,339 lots trading. The same number of lots changed hands for March $140 calls as they advanced 4 cents to 50 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, bearish bets accounted for 54 percent of the 85,842 contracts traded.

October $82 puts were the most actively traded options yesterday with 3,803 lots changing hands. They rose 1 cent to 9 cents a barrel. October $86 puts advanced 4 cents to 26 cents on volume of 3,390.

Open interest was highest for December $100 calls with 46,435 contracts. Next were December $80 puts with 44,745 lots and December $120 calls with 43,764.

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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