Oil Options Volatility Rises as Futures Drop on Europe Concerns

Crude oil options volatility rose as futures slid a fifth time in sixth days as concern mounted that Europe won’t be able to contain its debt crisis.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 30.43 percent as of 4:15 p.m. in New York, up from 29.31 on Sept. 21.

Crude oil for November delivery fell 96 cents to settle at $91.93 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were November $110 calls, which fell 1 cents to 12 cents a barrel at 4:17 p.m. with 2,584 lots trading. November $80 puts were the second-most active, with 1,146 lots changing hands as they rose 5 cents to 24 cents a barrel.

Bets that prices would rise accounted for 63 percent of the 31,407 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, bullish beats made up 58 percent of the 97,867 contracts traded.

November $110 calls were the most actively traded options with 4,560 lots changing hands. They fell 2 cents to 13 cents a barrel. November $85 puts declined 17 cents to 63 cents on volume of 4,195.

Open interest was highest for December $120 calls with 44,544 contracts. Next were December $80 puts with 44,431 lots and December $100 calls with 43,415.

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