Oil Options Volatility Declines as Futures Halt Slide

Crude oil options volatility declined as underlying futures were little changed after sinking 7.1 percent the first three days of the week.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 30.7 percent as of 3 p.m. in New York, down from 33.8 percent yesterday.

Crude oil for November delivery rose 12 cents to settle at $92.42 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were November $80 puts, which fell 17 cents to 26 cents a barrel at 2:42 p.m. with 2,096 lots trading. November $90 puts were the second-most active, with 1,661 lots changing hands as they declined 44 cents to $2.03 a barrel.

Bets that prices would fall accounted for 55 percent of the 41,002 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, bearish beats made up 53 percent of the 224,119 contracts traded.

November $75 puts were the most actively traded options with 8,767 lots changing hands. They rose 8 cents to 16 cents a barrel. November $115 calls fell 17 cents to 13 cents on volume of 8,747.

Open interest was highest for December $120 calls with 44,396 contracts. Next were December $80 puts with 43,937 lots and December $100 calls with 43,440.

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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