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Oil Options Volatility Falls as Global Factory Outlook Improves

Crude options volatility fell as futures climbed after reports showing manufacturing gains in the U.S. and China boosted optimism that fuel demand will rise.

Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options prices, was 26.04 percent on the New York Mercantile Exchange as of 2:50 p.m., down from 26.82 percent yesterday.

February-delivery crude oil advanced 81 cents, or 0.9 percent, to settle at $86.25 a barrel on the Nymex.

Futures gained as U.S. industrial output rose in November by the most in two years, according to Federal Reserve data. China’s manufacturing is expanding at a faster pace in December, according to a preliminary purchasing managers’ index released today by HSBC Holdings Plc and Markit Economics.

The most active options in electronic trading today were January $87 calls, which slipped 11 cents to 4 cents a barrel on volume of 2,844 lots at 2:52 p.m. January $86 puts were the second-most active, with 2,360 lots exchanged as they declined 59 cents to 1 cent. January options expired at the close of floor trading today.

Bets that prices would fall, or puts, accounted for 56 percent of electronic trading volume.

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 accounted for 52 percent of the 114,064 contracts traded.

February $105 calls were the most active options yesterday with 6,877 contracts changing hands. They declined 1 cent to 9 cents a barrel. January $86 puts increased 13 cents to 60 cents on 5,193 lots.

Open interest was highest for January $105 calls, with 45,794 contracts. Next were January $60 puts at 34,922 lots, and January $110 calls with 31,399.

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