Oil Options Volatility Is Little Changed as Futures Advance

Crude oil options volatility was little changed as underlying futures jumped 3.4 percent.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 31.14 percent as of 3:57 p.m. in New York, down from 31.25 percent yesterday.

Volatility for options expiring in December was 31.49 percent, down from 31.53 percent yesterday.

November-delivery crude oil rose $3.06 to $92.39 a barrel on the New York Mercantile Exchange, the highest settlement since Oct. 1. Prices have gained 20 cents this month, following an 8.5 percent advance in the third quarter. December-delivery crude rose $3.05 to $92.78 a barrel.

The most active options in electronic trading today were November $100 calls, or bets that prices will rise, which gained 12 cents to 17 cents a barrel at 4:11 p.m. with 2,456 lots trading. November $85 puts were the second-most active, with 2,132 lots exchanged as they fell 31 cents to 13 cents a barrel.

Calls accounted for 62 percent of the 56,270 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, calls made up 57 percent of the 73,286 contracts traded.

December $120 calls were the most actively traded options with 5,208 lots changing hands. They fell 1 cent to 10 cents a barrel. December $100 calls declined 7 cents to 65 cents on volume of 4,240 lots.

Open interest was highest for December $120 calls with 59,470 contracts. Next were December $80 puts with 48,941 lots and December $125 calls with 45,076.

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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