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Crude Volatility Falls as Underlying Oil Futures Reverse Slide

March 11 (Bloomberg) -- Crude options volatility fell as underlying oil futures finished higher for a third day.

Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, was 18.34 percent at 3:40 p.m. on the New York Mercantile Exchange, down from 18.86 percent in the previous session.

West Texas Intermediate crude for May delivery rose 9 cents to settle at $92.52 a barrel on the Nymex.

The most-active options in electronic trading today were May $105 calls, which fell 3 cents to 7 cents a barrel on volume of 3,979 contracts at 3:45 p.m. April $90 puts were the second-most active with 2,827 lots. They slid 5 cents to 22 cents.

Puts accounted for 52 percent of electronic trading volume. In the previous session, calls made up 52 percent of the 86,943 contracts traded.

April $90 puts were the most active options traded March 8, with 4,072 contracts changing hands. They fell 15 cents to 27 cents a barrel. December $110 calls rose 2 cents to $1.20 a barrel on 3,604 lots.

Open interest was highest for December $105 calls with 36,347 contracts. Next were April $110 calls at 34,189 and June $90 puts at 31,049.

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

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