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Oil Options Volatility Falls as Futures Slip on Supply Forecast

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Oct. 12 (Bloomberg) -- Crude oil options volatility declined for the first time this week as underlying futures were little changed.

Implied volatility for options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 30.87 percent at 3:10 p.m. in New York, after being at 32.35 percent the previous day.

December-delivery crude oil declined 22 cents to settle at $92.28 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were November $95 calls, or bets that prices will rise, which fell 17 cents to 23 cents a barrel at 3:34 p.m. with 1,666 lots trading. November $90 puts were the second-most active, with 1,329 lots exchanged as they declined 13 cents to 46 cents a barrel.

Bullish bets accounted for 55 percent of the 25,038 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, bets that prices would rise made up 54 percent of the 83,235 contracts traded.

November $90 puts were the most actively traded options yestereday with 3,347 lots changing hands. They fell 47 cents to 59 cents a barrel. December $85 puts declined 18 cents to $1.12 on volume of 3,047 lots.

Open interest was highest for December $120 calls with 67,784 contracts. Next were December $80 puts with 50,859 lots and December $125 calls with 44,933.

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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