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WTI Put Volatility Jumps as Oil Falls First Time in Five Days

West Texas Intermediate put options volatility jumped as underlying futures fell for the first time in five days.

Implied volatility for puts protecting against a 10 percent decline in March futures advanced to 24.37 percent at 5 p.m. on the New York Mercantile Exchange from 23.04 percent yesterday. At-the-money March options were at 18.52 percent, up from 18.08 percent. The skew, or premium of puts over calls, widened to 4.74 percentage points from 3.47 in the previous session.

WTI for March delivery fell 68 cents to settle at $96.64 a barrel on the Nymex, after climbing 3.6 percent in four days of increases.

“We’re getting a little more nervous and leaning more toward concerns about the downside risk,” said Phil Flynn, senior market analyst at Price Futures Group in Chicago.

Puts accounted for 60 percent of electronic trading as of 5:05 p.m. The most active options were March $90 puts, which rose 5 cents to 20 cents a barrel on volume of 2,461 lots. Second-most active were March $95 puts, up 20 cents to $1.05 on 2,400 contracts.

In the previous session, calls accounted for 54 percent of trading volume of 128,502. March $100 calls increased 16 cents to 69 cents a barrel on 8,273 lots. March $95 puts fell 17 cents to 85 cents on volume of 5,331 contracts.

Open interest was highest for June $80 puts with 35,499 contracts. Next were December 2015 $120 calls with 27,648 lots and June $85 puts with 26,808.

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 Houston at bpowell4@bloomberg.net

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

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