Crude oil options volatility rose for a third day as the underlying futures declined on speculation that refinery closings caused by Hurricane Sandy will add to inventories.
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 30.47 percent on the New York Mercantile Exchange at 3:10 p.m., up from 29.66 yesterday.
December-delivery crude oil fell $2.23, or 2.6 percent, to settle at $84.86 a barrel on the Nymex. Crews at Phillips 66’s Bayway refinery and Hess Corp.’s Port Reading plant are assessing equipment after shutting Oct. 29 ahead of Sandy, the companies said. Oil inventories exceeded 370 million barrels last week, the most for this time of year in at least 30 years.
The most active options in electronic trading today were December $80 puts, which gained 23 cents to 42 cents on volume of 3,309 lots at 3:21 p.m. December $83 puts were the second-most active, with 2,852 lots exchanged as they advanced 55 cents to $1.09 a barrel.
Puts accounted for 55 percent of the 52,379 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, calls made up 54 percent of the 88,722 contracts traded.
December $80 puts were the most actively traded options yesterday with 5,426 contracts. They fell 16 cents to 19 cents a barrel. December $90 calls rose 8 cents to 67 cents on volume of 4,402 lots.
Open interest was highest for December $120 calls with 68,164 contracts. Next were December $125 calls with 46,013 lots and December $80 puts with 42,221.