Nov. 30 (Bloomberg) -- Crude oil options volatility dropped for a third day as the underlying futures rose on signals that U.S. economic expansion is accelerating.
Implied volatility for at-the-money options expiring in January, a measure of expected price swings in futures and a gauge of options prices, was 25.88 percent as of 4 p.m. on the New York Mercantile Exchange, down from 27.84 in the previous trading session.
Crude oil for January delivery gained 84 cents to $88.91 a barrel on the Nymex, the highest settlement since Nov. 19. Futures gained 0.7 percent this week and 3.1 percent this month.
The MNI Chicago Report’s business barometer showed activity in the U.S. grew in November for the first time in three months. Democrats and Republicans discussed how to avoid the so-called fiscal cliff, which would lead to more than $600 billion a year in spending cuts and tax increases.
The most active options in electronic trading today were January $92 calls, which rose 5 cents to 64 cents a barrel on volume of 2,280 lots at 4:06 p.m. January $85 puts were the second-most active, with 2,261 lots exchanged as they fell 30 cents to 56 cents a barrel.
Puts accounted for 53 percent of the 33,686 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, puts and calls were almost evenly divided among the 113,049 lots traded.
January $80 puts were the most actively traded options yesterday with 9,524 contracts. They declined 13 cents to 17 cents a barrel. February $102 calls rose 8 cents to 33 cents on volume of 4,674 lots.
Open interest was highest for January $105 calls, with 45,804 contracts. Next were January $60 puts with 34,922 lots and January $110 calls with 31,161.
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