Oil Options Volatility Drops as Futures Sink a Second Day
Crude oil options volatility fell as underlying futures tumbled a second straight day.
Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 32.15 percent as of 4 p.m. in New York, down from 32.2 percent yesterday. The eight most-active options in electronic trading were calls.
Crude oil for November delivery fell $1.33, or 1.4 percent, to settle at $95.62 a barrel on the New York Mercantile Exchange.
The most active options in electronic trading today were December $130 calls, which fell 2 cents to 30 cents a barrel at 4:07 p.m. with 3,608 lots trading. November $135 calls were the second-most active, with 2,764 lots changing hands as they declined 1 cent to 7 cents a barrel.
Calls accounted for 61 percent of the 55,638 contracts in electronic trading. One contract covers 1,000 barrels of crude oil.
The exchange distributes real-time data for electronic trading and releases information the next business day on open- outcry volume, where the bulk of options activity occurs.
In the previous session, bets that prices would rise accounted for 50.4 percent of the 117,275 contracts traded.
December $130 calls were the most actively traded options with 5,945 lots changing hands. They fell 5 cents to 32 cents a barrel. December $75 puts advanced 8 cents to 32 cents on volume of 4,476.
Open interest was highest for December $120 calls with 45,507 contracts. Next were December $80 puts with 44,525 lots and December $100 calls with 42,357.
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