Crude Options Fall as Futures Make Smallest Move in a Week

Crude oil options volatility fell for a second day as the underlying futures moved the least in a week.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 28.4 percent as of 4:10 p.m. in New York, down from 29.2 percent yesterday.

Crude oil for November delivery rose 34 cents to $92.19 on the New York Mercantile Exchange after posting the largest gain in eight weeks yesterday. The change was the smallest in either direction since Sept. 20. Prices rose 8.5 percent this quarter, according to data compiled by Bloomberg.

The most active options in electronic trading today were December $75 puts, bets that prices would decline, which fell 1 cent to 28 cents a barrel at 4:17 p.m. with 1,886 lots trading. November $105 calls were the second-most active, with 1,176 lots changing hands as they rose 2 cents to 14 cents a barrel.

Calls accounted for 52 percent of the 30,515 contracts. 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 51 percent of the 132,257 contracts traded.

December $80 puts were the most actively traded options with 10,007 lots changing hands. They dropped 43 cents to 70 cents a barrel. December $125 calls were unchanged at 13 cents with a volume of 7,520.

Open interest was highest for December $120 calls with 44,951 contracts. Next were December $80 puts with 44,821 lots and December $100 calls with 43,525.

To contact the reporter on this story: Christine Harvey in New York at charvey32@bloomberg.net

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

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