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Crude Options Implied Volatility Increases as Oil Futures Tumble

Crude options volatility rose for the first time in five days as futures slid 1.2 percent.

Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 19.61 percent at 3:52 p.m. on the New York Mercantile Exchange, up from 18.99 percent yesterday.

West Texas Intermediate crude for June delivery sank $1.12 to $93.85 a barrel on the Nymex. It was the first decline in four days.

The most-active options in electronic trading today were July $110 calls, which fell 2 cents to 12 cents a barrel on volume of 3,123 contracts at 4:04 p.m. June $90 puts were the second-most active, rising 28 cents to 99 cents on volume of 3,004 contracts.

Puts accounted for 55 percent of electronic trading volume today. Calls made up 51 percent of yesterday’s volume of 107,153 contracts.

May $90 puts were the most active options traded in the previous session, with 5,777 contracts changing hands. They declined 6 cent to 7 cents a barrel. July $100 calls rose 8 cents to $1.17 a barrel on 4,502 lots.

Open interest was highest for May $85 puts with 38,697 contracts. Next were June $80 puts with 38,183 and December $105 calls at 36,407.

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.

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