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Crude Volatility Rises From Eight-Month Low

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Jan. 7 (Bloomberg) -- Oil options volatility rose from an eight-month low as the underlying futures increased.

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 21.01 percent at 5:10 p.m. on the New York Mercantile Exchange, up from 20.6 on Jan. 4, the lowest level since May 2.

Crude oil for February delivery rose 10 cents to $93.19 a barrel on the New York Mercantile Exchange, the highest settlement since Sept. 18. Prices are down 8.2 percent from a year ago.

The most active options in electronic trading today were February $100 calls, which declined 4 cents to 6 cents a barrel at 5:30 p.m. on volume of 1,798 contracts. The second-most active, with 1,178 lots exchanged, were February $95 calls, down 10 cents to 51 cents a barrel.

Bets that prices would fall, or puts, accounted for 55 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, puts accounted for 55 percent of volume.

June $75 puts were the most active options yesterday, with 3,544 contracts trading as they fell 3 cents to 94 cents a barrel. February $90 puts slipped 16 cents to 46 cents a barrel on 3,436 lots.

Open interest was highest for February $105 calls with 32,413 contracts. Next were March $70 puts at 27,632 lots and February $110 calls with 26,020.

To contact the reporter on this story: Christine Harvey in New York at charvey32@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net

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