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Oil Options Volatility Declines as Futures Little Changed

Oct. 16 (Bloomberg) -- Crude oil options volatility fell as underlying futures moved less than 0.3 percent for the third straight day.

Implied volatility for options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 30.57 percent at 4:05 p.m. in New York, down from 31.33 yesterday.

December-delivery crude oil rose 22 cents to settle at $92.54 a barrel on the New York Mercantile Exchange.

The most active options in electronic trading today were January $60 puts, which rose 4 cents to 6 cents a barrel at 4:11 p.m. with 2,944 lots trading. November $90 puts were the second-most active, with 2,785 lots exchanged as they declined 16 cents to 11 cents a barrel.

Jim Colburn, a vice president and energy options broker at Jefferies Bache LLC in New York, said that as of 2:33 p.m. 26,000 January $60 puts traded at 5 cents and 6 cents.

Bearish bets accounted for 69 percent of the 41,016 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 fall made up 56 percent of the 103,133 contracts traded.

December $75 puts were the most actively traded options yesterday with 7,402 lots changing hands. They fell 2 cents to 10 cents a barrel. November $90 puts declined 19 cents to 27 cents on volume of 5,034 lots.

Open interest was highest for December $120 calls with 67,834 contracts. Next were December $80 puts with 52,755 lots and December $125 calls with 45,309.

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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