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Oil Options Volatility Declines as Futures Halt Slide

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Sept. 20 (Bloomberg) -- Crude oil options volatility declined as underlying futures were little changed after sinking 7.1 percent the first three days of the week.

Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 30.7 percent as of 3 p.m. in New York, down from 33.8 percent yesterday.

Crude oil for November delivery rose 12 cents to settle at $92.42 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were November $80 puts, which fell 17 cents to 26 cents a barrel at 2:42 p.m. with 2,096 lots trading. November $90 puts were the second-most active, with 1,661 lots changing hands as they declined 44 cents to $2.03 a barrel.

Bets that prices would fall accounted for 55 percent of the 41,002 contracts in electronic trading. One contract covers 1,000 barrels of crude oil.

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.

In the previous session, bearish beats made up 53 percent of the 224,119 contracts traded.

November $75 puts were the most actively traded options with 8,767 lots changing hands. They rose 8 cents to 16 cents a barrel. November $115 calls fell 17 cents to 13 cents on volume of 8,747.

Open interest was highest for December $120 calls with 44,396 contracts. Next were December $80 puts with 43,937 lots and December $100 calls with 43,440.

To contact the reporter on this story: Barbara J Powell in Dallas at bpowell4@bloomberg.net

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

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