Crude Options Volatility Slips as Futures Rise on Supply Report

Crude oil options volatility fell as futures rose for the fifth time in six days to the highest level since Oct. 22.

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 28.49 percent on the New York Mercantile Exchange at 3:30 p.m., down from 29.99 percent yesterday.

December-delivery crude oil rose 85 cents to $87.09 a barrel on the Nymex after the Energy Department reported supplies declined unexpectedly last week. Prices fell 6.5 percent last month.

The most active options in electronic trading today were December $80 puts, which slid 14 cents to 21 cents on volume of 2,061 lots at 3:33 p.m. December $82 puts were the second-most active, with 1,387 lots exchanged as they declined 27 cents to 38 cents a barrel.

Puts accounted for 54 percent of the 25,123 lots traded.

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 made up 56 percent of the 87,195 contracts traded.

December $80 puts were the most actively traded options yesterday with 11,652 contracts. They fell 15 cents to 35 cents a barrel. December $85 puts declined 35 cents to $1.46 on volume of 7,774 lots.

Open interest was highest for December $120 calls with 68,168 contracts. Next were December $125 calls with 45,999 lots and December $80 puts with 43,201. according to loading programs obtained by Bloomberg News.

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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