Crude Options Volatility Falls for Second Day as Futures Advance
Crude options volatility fell for the second day in a row as the underlying futures rose.
Implied volatility for at-the-money December options, a measure of expected futures swings and a key gauge of value, was 18.81 percent at 4:20 p.m. on the New York Mercantile Exchange, down from 20.6 percent yesterday.
West Texas Intermediate crude for December delivery advanced 74 cents to settle at $97.85 a barrel on the Nymex.
Puts, or bets that prices would fall, accounted for the three most popular options and 64 percent of electronic trading volume today.
The most active options were December $90 puts, which slid 16 cents a barrel to 17 cents a barrel with 2,431 lots trading as of 4:32 p.m. December $85 puts fell 5 cents to 5 cents a barrel on volume of 2,254 lots.
In the previous session, puts accounted for 55 percent of the 126,153 lots traded. December $95 puts were the most-active options, with 6,167 contracts trading as they declined 19 cents to $1.17 a barrel. December $100 calls were unchanged at 76 cents on volume of 4,949 lots.
Open interest was highest yesterday for December $80 puts, with 42,449 contracts. Next were December $90 puts with 40,481 lots and December $85 puts with 36,033.
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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