Crude Oil Options Volatility Rises as Futures End Winning Streak

Crude options volatility rose as West Texas Intermediate futures slipped for the first time in seven sessions.

Implied volatility for at-the-money February WTI options, a measure of expected futures movements and a key gauge of value, rose to 16.75 percent on the New York Mercantile Exchange from 16.12 percent yesterday.

WTI for February delivery fell 34 cents to settle at $97.56 a barrel on the Nymex. The January contract fell 31 cents to $97.34.

Puts, or bets that prices would fall, accounted for 55 percent of electronic trading volume as of 5:19 p.m., according to data compiled by Bloomberg.

The most-active options were January $94 puts, which slipped 1 cent to 13 cents with 2,257 lots trading. January $95 puts, the second-most active, dropped 1 cent to 23 cents on volume of 2,077 lots.

In the previous session, of the 78,508 lots traded, puts accounted for 51 percent of the volume. February $115 calls were unchanged at 3 cents a barrel on 4,986 contracts. January $100 calls declined 3 cents to 22 cents on volume of 4,819 lots.

Open interest in the previous session was highest for June $80 puts, with 28,968 contracts. Next were January $75 puts with 27,261 lots and June $85 puts with 26,868.

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: Eliot Caroom in New York at ecaroom@bloomberg.net

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

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