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Crude Options Volatility Slips as Futures Rise on Supply Report

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Nov. 1 (Bloomberg) -- Crude oil options volatility fell as futures rose for the fifth time in six days to the highest level since Oct. 22.

Implied volatility for at-the-money options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 28.49 percent on the New York Mercantile Exchange at 3:30 p.m., down from 29.99 percent yesterday.

December-delivery crude oil rose 85 cents to $87.09 a barrel on the Nymex after the Energy Department reported supplies declined unexpectedly last week. Prices fell 6.5 percent last month.

The most active options in electronic trading today were December $80 puts, which slid 14 cents to 21 cents on volume of 2,061 lots at 3:33 p.m. December $82 puts were the second-most active, with 1,387 lots exchanged as they declined 27 cents to 38 cents a barrel.

Puts accounted for 54 percent of the 25,123 lots traded.

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 56 percent of the 87,195 contracts traded.

December $80 puts were the most actively traded options yesterday with 11,652 contracts. They fell 15 cents to 35 cents a barrel. December $85 puts declined 35 cents to $1.46 on volume of 7,774 lots.

Open interest was highest for December $120 calls with 68,168 contracts. Next were December $125 calls with 45,999 lots and December $80 puts with 43,201. according to loading programs obtained by Bloomberg News.

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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