Oil Options Volatility Falls as Futures Slip on Supply Forecast

Crude oil options volatility declined for the first time this week as underlying futures were little changed.

Implied volatility for options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 30.87 percent at 3:10 p.m. in New York, after being at 32.35 percent the previous day.

December-delivery crude oil declined 22 cents to settle at $92.28 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were November $95 calls, or bets that prices will rise, which fell 17 cents to 23 cents a barrel at 3:34 p.m. with 1,666 lots trading. November $90 puts were the second-most active, with 1,329 lots exchanged as they declined 13 cents to 46 cents a barrel.

Bullish bets accounted for 55 percent of the 25,038 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, bets that prices would rise made up 54 percent of the 83,235 contracts traded.

November $90 puts were the most actively traded options yestereday with 3,347 lots changing hands. They fell 47 cents to 59 cents a barrel. December $85 puts declined 18 cents to $1.12 on volume of 3,047 lots.

Open interest was highest for December $120 calls with 67,784 contracts. Next were December $80 puts with 50,859 lots and December $125 calls with 44,933.

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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