Brent Crude Puts Rise as Oil Futures Slip on Syria Accord
November Brent puts traded at a premium to calls for a second straight day as the underlying futures sank 1.7 percent.
Implied volatility for puts protecting against a 10 percent drop in November-settlement Brent was 25.78 percent at 4 p.m. in New York, up from 25.16 percent on Sept. 13. Calls covering a 10 percent increase fell to 23.44 percent from 23.94.
Brent for November settlement fell $1.88, or 1.7 percent, to settle at $108.19 a barrel on the ICE Futures Europe exchange. Prices have declined 4.1 percent in two days, the biggest two-day slide since June 21.
West Texas Intermediate crude’s November contract dropped $1.37 to $104.82 on the Nymex, sinking along with Brent as Libya was expected to begin restoring production that had been idled by labor disputes at the country’s oil terminals.
“There’s potential for an increase in Libyan production and you’re seeing some technical liquidation here,” said Andrew Lebow, a senior vice president at Jefferies Bache LLC in New York.
Implied volatility for at-the-money November options on West Texas Intermediate futures rose to 21.93 percent at 4:10 p.m. from 21.42 percent yesterday.
The most active WTI options in electronic trading today were October $105 puts, which fell 19 cents to 1 cents a barrel on volume of 6,590 lots traded as of 5:06 p.m. October $106 calls were the second-most active, down $1.01 to 1 cent on volume of 3,646 contracts.
Calls accounted for 52 percent of electronic trading volume. In the prior session, the trading on 106,189 lots was almost equally divided between bullish and bearish bets.
October $105 puts were the most-active options yesterday with 6,526 contracts changing hands as they rose 7 cents to 20 cents a barrel. October $108 calls slid 77 cents to 18 cents on 4,998 lots.
Open interest was highest for December $80 puts, with 40,599 contracts. Next were December $90 puts with 39,040 lots and December $100 calls with 32,844.
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.
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