Crude Implied Volatility Falls as Futures Jump 2 Percent

Crude oil volatility fell as futures jumped 2 percent after TransCanada Corp. (TRP) said it expects to commission the southern leg of its Keystone pipeline expansion from Oklahoma to the Texas Gulf Coast by the end of October.

Implied volatility for at-the-money November options, a measure of expected futures swings and a key gauge of value, fell to 19.74 percent at 3:45 p.m. on the New York Mercantile Exchange from 21.36 percent yesterday.

Puts accounted for 60 percent of electronic trading volume today. The five most active options in electronic trading were November puts for $94, $95, $100, $93 and $98, in that order.

West Texas Intermediate crude for November delivery rose $2.06 to $104.10 a barrel, the highest settlement since Sept. 20 and biggest gain in two weeks. Futures rose on speculation that the Keystone expansion will reduce inventories at Cushing, Oklahoma, the delivery point for the WTI contract.

November $94 puts fell 11 cents to 4 cents a barrel with 3,759 lots trading as of 3:44 p.m. November $95 puts slid 16 cents to 5 cents on volume of 3,363.

In the previous session, puts accounted for 57 percent of the 104,940 lots traded.

November $92 puts were the most-active options yesterday, with 8,034 contracts trading as they were unchanged at 8 cents a barrel. November $95 puts held at 21 cents a barrel on volume of 4,959 lots.

Open interest was highest for December $80 puts, with 41,694 contracts. Next were December $90 puts with 40,828 lots and December $100 calls with 31,768.

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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