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Crude Call Options Jump on Speculation Oil Prices Will Rise

Crude oil call options increased more than puts on speculation that prices will rise.

Implied volatility on calls protecting against a 10 percent rise climbed to 31.2 percent from 30.8 percent yesterday. Puts protecting against a 10 percent decline in futures fell to 34.6 percent today from 35.2 percent, according to data compiled by Bloomberg at 3:20 p.m.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 30.47 percent as of 2:31 p.m. in New York, down from 31.02 percent yesterday.

Crude oil for November delivery fell 56 cents to settle at $91.37 a barrel on the New York Mercantile Exchange. Prices have fallen six out of seven days, dropping 7.7 percent to the lowest level since Aug. 2.

The most active options in electronic trading today were November $125 calls, which rose 1 cent to 5 cents a barrel at 3:31 p.m. with 2,895 lots trading. November $80 puts were the second-most active, falling 1 cent to 23 cents on 1,224 lots.

Bets that prices would rise accounted for 58 percent of the 37,379 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, calls made up 58 percent of the 122,511 contracts traded.

December $80 puts were the most actively traded options with 6,343 lots changing hands. They fell 7 cents to 50 cents a barrel. November $110 calls declined 2 cents to 11 cents on volume of 4,195.

Open interest was highest for December $80 puts with 44,848 contracts. Next were December $120 calls with 44,202 lots and December $100 calls with 43,273.

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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