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Oil Options Volatility Rises as Futures Fall on Supply Forecast

Crude oil options volatility rose as underlying futures fell on a projection that a government report tomorrow will show that U.S. stockpiles increased last week.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 32.13 percent in New York, up from 31.94 yesterday. Oil inventories probably climbed 1.5 million barrels in the seven days ended Oct. 5, according to the median estimate of 11 analysts surveyed by Bloomberg.

November-delivery crude oil declined $1.14, or 1.2 percent, to settle at $91.25 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were November $100 calls, or bets that prices will rise, which fell 7 cents to 10 cents a barrel at 5:25 p.m. with 2,615 lots trading. February $90 puts were the second-most active, with 2,182 lots exchanged as they rose 50 cents to $5.02 a barrel.

Bets that prices would fall accounted for 53 percent of the 47,483 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, bullish bets made up 61 percent of the 154,861 contracts traded.

December $105 calls were the most actively traded options with 7,222 lots changing hands. They rose 23 cents to 55 cents a barrel. November $100 calls advanced 12 cents to 17 cents on volume of 5,944 lots.

Open interest was highest for December $120 calls with 62,496 contracts. Next were December $80 puts with 48,794 lots and December $125 calls with 45,218.

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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