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Crude Oil Options Volatility Declines as Futures Rise on Iran

Feb. 14 (Bloomberg) -- Crude oil options volatility slid as the underlying futures advanced after United Nations nuclear inspectors failed to reach a deal with Iran.

Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 16.73 percent on the New York Mercantile Exchange as of 4:20 p.m., compared with 17.54 percent yesterday.

West Texas Intermediate crude for April delivery rose 30 cents to settle at $97.90 a barrel on the Nymex. Open interest climbed to a record yesterday, according to exchange owner CME Group Inc.

The most-active options in electronic trading today were March $97 puts, which fell 43 cents to 3 cents a barrel on volume of 2,844 contracts at 4:30 p.m. in New York. March $98 calls were the second-most active with 1,859 lots. They declined 12 cents to 1 cent.

Calls accounted for 52 percent of electronic trading volume. In the previous session, bearish bets calls made up 63 percent of the 145,887 contracts traded.

December $93 puts were the most active options traded yesterday, with 6,000 contracts changing hands. They were unchanged at $5.31. December $77 puts declined 15 cents to $4.39 a barrel on 6,000 lots.

Open interest was highest for March $85 puts with 42,491 contracts. Next were March $110 calls at 40,868 and December $105 calls at 33,475.

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 bpowell4@bloomberg.net

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

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