Oct. 2 (Bloomberg) -- Crude oil options volatility fell as the underlying futures retreated in late trading to close lower for the first time in four days.
Implied volatility for options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 28.58 percent as of 4:50 p.m. in New York, down from 28.68 percent yesterday.
Crude oil for November delivery fell 59 cents to settle at $91.89 a barrel on the New York Mercantile Exchange. Prices touched $92.94 earlier.
The most active options in electronic trading today were November $105 calls, bets that prices would rise, which declined 5 cents to 7 cents a barrel at 4:53 p.m. with 1,988 lots trading. December $115 calls were the second-most active, with 1,725 lots exchanged as they fell 4 cents to 20 cents a barrel.
Calls accounted for 54 percent of the 28,400 contracts in electronic trading. One contract covers 1,000 barrels of 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 bets made up 55 percent of the 103,184 contracts traded.
December $125 calls were the most actively traded options with 6,260 lots changing hands. They were unchanged at 13 cents a barrel. December $80 puts fell 10 cents to 56 cents on volume of 5,590.
Open interest was highest for December $120 calls with 46,775 contracts. Next were December $80 puts with 45,278 lots and December $100 calls with 43,456.
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