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Crude Options Rise as U.S. Manufacturing Lifts Futures Market

Crude oil options volatility advanced for the first time in three days as U.S. manufacturing beat analyst estimates, lifting the underlying futures to the highest level 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 4:15 p.m. in New York, compared with 27.9 percent on Sept. 28.

Crude oil for November delivery gained 29 cents to $92.48 a barrel on the New York Mercantile Exchange, the highest settlement since Sept. 21, according to data compiled by Bloomberg. The Institute for Supply Management’s U.S. factory index increased to 51.5 in September from 49.6 a month earlier and higher than the 49.7 median forecast in a Bloomberg survey.

The most active options in electronic trading today were November $90 puts, bets that prices would decline, which fell 22 cent to $1.23 a barrel at 4:38 p.m. with 990 lots trading. December $125 calls were the second-most active, with 910 lots changing hands as they were unchanged at 13 cents a barrel.

Calls accounted for 52 percent of the 28,006 contracts in electronic trading. One contract covers 1,000 barrels of crude.

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 57 percent of the 122,473 contracts traded.

December $125 calls were the most actively traded options, with 9,898 lots changing hands. They were unchanged at 13 cents a barrel. December $120 calls were unchanged at 17 cents with a volume of 9,146.

Open interest was highest for December $120 calls with 47,169 contracts. Next were December $80 puts with 45,105 lots and December $100 calls with 43,609.

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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