Crude Volatility Slips as Futures Rise First Time in Six Days
Crude options volatility declined as the underlying futures gained for the first time in six days.
At-the-money volatility for November options, a measure of expected futures swings and a key gauge of value, was 20.34 percent at 3:45 p.m., down from 21.08 percent yesterday.
West Texas Intermediate crude for November delivery rose 37 cents to settle at $103.03 on the New York Mercantile Exchange. Oil advanced as U.S. jobless claims fell last week and the economy expanded at a faster clip last quarter.
Bets that prices would fall accounted for 51 percent of electronic trading volume today.
November $95 puts were the most active options, dropping 7 cents to 20 cents a barrel on volume of 2,701 contracts at 3:57 p.m. The next most-active option, November $100 puts, slid 18 cents to 94 cents on volume of 2,287 contracts.
In the previous session, bearish bets accounted for 61 percent of the 78,685 lots traded.
November $95 puts were the most active options yesterday with 6,163 contracts changing hands as they fell 1 cent to 27 cents a barrel. November $90 puts, the next most-active, declined 1 cent to 6 cents on volume of 5,078 lots.
Open interest was highest for December $80 puts, with 41,867 contracts. Next were December $90 puts with 40,808 lots and December $100 calls with 32,748.
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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