Oil Options Volatility Falls as Crude Hits 1-Month High
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Crude oil options volatility declined as the underlying futures rallied to the highest level in a month on a better-than-expected U.S. employment report.
Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 22.57 percent at 3:55 p.m. on the New York Mercantile Exchange, down from 23.15 percent yesterday.