Oil Options Volatility Little Changed as Futures Rise on Jobs

Crude options volatility was little changed as underlying futures rose after the Labor Department reported that claims for jobless benefits fell to the lowest level since February 2008.

Implied volatility for options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 31.95 percent at 3:55 p.m. in New York, compared with 32.19 percent yesterday.

Crude oil for December delivery rose 86 cents to settle at $92.50 a barrel on the New York Mercantile Exchange. November- delivery crude rose 82 cents to settle at $92.07 a barrel. Prices also increased on concern that political tension in the Middle East is mounting after Turkey seized cargo on a Syrian passenger plane forced to land yesterday.

The most-active contracts in electronic trading today were December $120 calls, which fell 1 cent to 10 cents a barrel with 1,403 lots trading. November $90 puts were the second-most active, with 1,332 units trading. They fell 47 cents to 59 cents a barrel. One contract covers 1,000 barrels of oil.

November options expire in less than a week, on Oct. 17.

Bearish bets accounted for 51 percent of the 26,939 contracts that traded electronically as of 4:36 p.m.

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 accounted for 51 percent of 119,315 lots traded.

December $120 calls were most active, with 5,212 lots changing hands while falling 2 cents to 11 cents a barrel. November $95 calls were the second-most active, with 4,488 contracts trading. They dropped 30 cents to 45 cents a barrel.

Open interest was highest for December $120 calls, with 67,659 contracts. Next were December $80 puts with 50,707.

To contact the reporter on this story: Dan Murtaugh in Houston at dmurtaugh@bloomberg.net

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

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