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Crude Volatility Rises First Time in Four Days as Futures Slip
Crude options volatility rose for the first time in four days as underlying futures slipped.
Implied volatility for at-the-money December options, a measure of expected futures swings and a key gauge of value, was 19.7 percent at 3:55 p.m. on the New York Mercantile Exchange, up from 19.44 percent yesterday. Puts protecting against a 10 percent drop in prices rose for a third straight day, to 27.38 percent from 26.79 percent.
West Texas Intermediate crude for December delivery fell 48 cents to settle at $98.20 a barrel on the Nymex, the first decline in four days. Prices have dropped 4 percent this month.
Puts, or bets that prices would fall, accounted for nine of the 10 most popular options and 64 percent of electronic trading volume today.
The most active options in electronic trading today were December $95 puts, which rose 5 cents to 62 cents a barrel with 1,446 lots trading as of 3:49 p.m. December $100 calls fell 20 cents to 89 cents with volume of 763 lots.
In the previous session, puts accounted for 56 percent of the 80,755 lots traded. December $100 calls were the most-active options, with 4,660 contracts trading as they advanced 25 cents to $1.09 a barrel. December $94 puts fell 17 cents to 41 cents on volume of 2,637 lots.
Open interest in the prior session was highest for December $80 puts, with 42,375 contracts. Next were December $90 puts with 42,238 lots and December $85 puts with 37,977.
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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