Crude Options Volatility Falls as Futures Rise on Stimulus Hopes

Crude options volatility fell for a second day as futures rose on optimism that central bank stimulus will revive the global economy and boost demand.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 29.8 percent as of 3:55 p.m. New York time, down from 30.8 percent yesterday.

Crude oil for November delivery rose 47 cents to settle at $92.89 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were November $85 puts, which fell 13 cents to 67 cents a barrel at 4:04 p.m. with 3,035 lots trading. December $120 calls were the second-most traded, with 2,465 lots changing hands as they fell 1 cent to 27 cents a barrel.

Bets that prices would fall accounted for 60 percent of the 33,314 contracts in electronic trading. One contract covers 1,000 barrels of 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 bets accounted for 51 percent of the 156,570 contracts traded.

November $75 puts were the most actively traded options with 6,237 lots changing hands as they fell 8 cents to 8 cents a barrel. December $115 calls fell 9 cents to 39 cents a barrel on volume of 4,424.

Open interest was highest for December $120 calls with 45,432 contracts. Next were December $80 puts with 44,843 and December $100 calls with 43,374.

To contact the reporter on this story: Dan Murtaugh in Houston at dmurtaugh@bloomberg.net

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