Crude Put Volatility Rises as Budget Impasse Sinks Oil Futures

Crude oil puts rose when futures fell as the U.S. government was on the brink of a partial shutdown because of Congressional budget gridlock.

Implied volatility of puts protecting against a 10 percent drop in November futures prices on the New York Mercantile Exchange rose to 27.76 percent at 4:06 p.m. from 25.09 percent on Sept. 27. Volatility for calls covering a 10 percent rise in futures was 22.03 percent, up from 20.29 percent in the prior session.

Puts accounted for 54 percent of electronic trading volume today. The four most active options in electronic trading were November $90, $95, $100 and $98 puts in that order.

West Texas Intermediate crude for November delivery fell 54 cents to settle at $102.33 a barrel, the lowest settlement since July 3.

The current fiscal year expires at midnight and Congress has been unable to hammer out a spending bill.

November $90 puts were unchanged at 4 cents a barrel with 2,814 lots trading as of 5:03 p.m. November $95 puts climbed 4 cents to 21 cents a barrel on volume of 2,514 contracts.

At-the-money volatility for November options, a measure of expected futures swings and a key gauge of value, rose to 21.82 percent from 19.95 percent on Sept. 27.

In the previous session, calls accounted for 57 percent of the 84,620 lots traded.

November $106 calls were the most-active options Sept. 27 with 3,487 contracts changing hands as they lost 11 cents to 71 cents a barrel. December $90 puts, the next-most active, were unchanged at 35 cents on volume of 3,161 lots.

Open interest was highest for December $80 puts, with 41,761 contracts. Next were December $90 puts with 41,433 lots and December $100 calls with 32,731.

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.

To contact the reporter on this story: Barbara Powell in Dallas at bpowell4@bloomberg.net

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

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