Crude Options Unchanged as Futures Rise on German Index

Crude oil options volatility was unchanged as the underlying futures capped the biggest weekly gain in more than a month on an unexpected rise in German business confidence.

Implied volatility for at-the-money options expiring in January, a measure of expected price swings in futures and a gauge of options prices, was 27.54 as of 2:35 p.m. on the New York Mercantile Exchange, unchanged from Nov. 21. The exchange closed at 1:30 p.m., an hour earlier than usual. The trading floor was closed yesterday, the U.S. Thanksgiving holiday.

Crude oil for January delivery rose 90 cents to $88.28 a barrel on the New York Mercantile Exchange. Futures climbed 1.9 percent this week, the biggest gain in six weeks.

German business confidence rose to 101.4 from 100 in October, the first rise in eight months, according to the Munich-based Ifo institute’s business climate index. Economists surveyed by Bloomberg forecast a drop to 99.5.

The most active options in electronic trading today were January $80 puts, which dropped 14 cents to 23 cents a barrel on volume of 1,312 lots at 1:44 p.m. January $105 calls were the second-most active, with 1,146 lots exchanged as they rose 1 cent to 9 cents a barrel.

Calls accounted for 52 percent of the 14,293 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 on Nov. 21, calls made up 60 percent of the 65,237 lots traded

December $120 calls were the most actively traded options yesterday with 3,050 contracts. They rose 1 cent to $1.96 a barrel. January $105 calls fell 2 cents to 8 cents on volume of 2,291.

Open interest was highest for January $105 calls, with 46,800 contracts. Next were January $60 puts with 34,924 lots and January $110 calls with 31,515.

To contact the reporter on this story: Christine Harvey in New York at charvey32@bloomberg.net

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

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