Oil Options Volatility Rises as Futures Decline Third Day
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Crude oil options volatility rose as the underlying futures fell for a third straight session.
Implied volatility for at-the-money options expiring in July, a measure of expected price swings in futures and a gauge of options prices, was 22.5 percent at 1:35 p.m. on the New York Mercantile Exchange, up from 22.06 percent yesterday.