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Crude Options Volatility Below 20 Percent Sixth Straight Day

Jan. 25 (Bloomberg) -- Crude options volatility held below 20 percent for a sixth day as futures capped the longest run of weekly advances in almost four years.

Implied volatility for at-the-money options expiring in March, a measure of expected price swings in futures and a gauge of options prices, was 19.68 percent on the New York Mercantile Exchange as of 3:50 p.m., compared with 19.62 percent yesterday.

West Texas Intermediate crude for March delivery fell 7 cents to settle at $95.88 a barrel on the Nymex for a seventh weekly gain.

The most-active options in electronic trading today were March $105 calls, which were unchanged at 7 cents a barrel on volume of 1,640 contracts at 3:53 p.m. in New York. March $90 puts were the second-most active with 1,383 lots. They declined 2 cents to 38 cents a barrel.

Puts accounted for 54 percent of electronic trading volume of 34,567. In the previous session, bearish bets made up 58 percent of the 146,643 contracts traded.

April $85 puts were the most active options traded yesterday, with 8,265 contracts changing hands. They fell 4 cents to 48 cents a barrel. April $90 puts declined 12 cents to $1.08 on 5,989 lots.

Open interest was highest for March $110 calls with 40,762 contracts. Next were March $85 puts at 32,237 and March $90 puts at 28,865.

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.

To contact the reporter on this story: Barbara Powell in Dallas at

To contact the editors responsible for this story: Dan Stets at; Richard Stubbe at

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