Oil options volatility rose as crude futures declined as U.S. East Coast refineries shut and reduced rates before Hurricane Sandy’s arrival tonight.
Implied volatility for at-the-money options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 31.74 percent on the New York Mercantile Exchange at 4:15 p.m. compared with 28.94 percent on Oct. 26.
Crude oil for December delivery fell 0.9 percent to $85.54 a barrel as Phillips 66 (PSX), NuStar Energy LP (NS), Hess Corp. (HES), Philadelphia Energy Solutions and PBF Energy Inc. (PBF) shut or reduced output at refineries and terminals in Delaware, New Jersey and Pennsylvania.
The most-active options in electronic trading today were March $88 puts, which rose 46 cents to $6.74 a barrel on volume of 2,020 lots. December $99.50 calls were the second-most active options. They were unchanged at 7 cents on movement of 2,008 lots.
Puts, or bets that prices will fall, accounted for 54 percent of the 28,675 contracts that changed hands.
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 60 percent of the 87,263 contracts traded.
December $135 calls were the most actively traded the previous session, with 4,743 lots exchanged. They rose 1 cent to 2 cents a barrel. December $130 calls were next, trading unchanged at 2 cents on volume of 3,976.
Open interest was highest for December $120 calls, with 68,123 contracts. Next were December $80 puts with 46,554 lots and December $125 calls with 45,989.
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