Crude options volatility fell as West Texas Intermediate futures rose to a six-week high on expectations that inventories will drop.
Implied volatility for at-the-money February WTI options, a measure of expected futures movements and a key gauge of value, slipped to 15.7 percent on the New York Mercantile Exchange from 16.06 percent yesterday.
WTI for February delivery rose $1.10, or 1.1 percent, to settle at $98.66 a barrel on the Nymex. The more-active January contract gained $1.17, or 1.2 percent, to $98.51.
Puts, or bets that prices would fall, accounted for 60 percent of electronic trading volume as of 5:15 p.m., according to data compiled by Bloomberg.
The most-active options were January $95 puts, which slipped 17 cents to 6 cents with 4,131 lots trading. January $100 calls, the second most active, gained 16 cents to 30 cents on volume of 2,693 lots.
In the previous session, puts accounted for 55 percent of the 76,751 lots traded. January $95 puts were down 1 cent a barrel at 23 cents on volume of 3,075 contracts. January $102 calls declined 2 cents to 4 cents with 2,983 lots changing hands.
Open interest in the previous session was the highest for June $80 puts, with 28,868 contracts. Next were January $75 puts with 27,261 lots and June $85 puts with 26,897.
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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