Oil Options Volatility Declines as Futures Fall

Crude oil options volatility fell as the underlying futures retreated in late trading to close lower for the first time in four days.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 28.58 percent as of 4:50 p.m. in New York, down from 28.68 percent yesterday.

Crude oil for November delivery fell 59 cents to settle at $91.89 a barrel on the New York Mercantile Exchange. Prices touched $92.94 earlier.

The most active options in electronic trading today were November $105 calls, bets that prices would rise, which declined 5 cents to 7 cents a barrel at 4:53 p.m. with 1,988 lots trading. December $115 calls were the second-most active, with 1,725 lots exchanged as they fell 4 cents to 20 cents a barrel.

Calls accounted for 54 percent of the 28,400 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 made up 55 percent of the 103,184 contracts traded.

December $125 calls were the most actively traded options with 6,260 lots changing hands. They were unchanged at 13 cents a barrel. December $80 puts fell 10 cents to 56 cents on volume of 5,590.

Open interest was highest for December $120 calls with 46,775 contracts. Next were December $80 puts with 45,278 lots and December $100 calls with 43,456.

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