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Crude Options Volatility Little Changed as Oil Futures Advance

Crude oil options volatility was little changed as the underlying futures gained for the first time in three days.

Implied volatility for at-the-money options expiring in August, a measure of expected price swings in futures and a gauge of options prices, was 20.07 percent on the New York Mercantile Exchange as of 2:35 p.m., compared with 20.15 percent yesterday.

West Texas Intermediate crude for August delivery rose 50 cents to settle at $96.10 a barrel on the Nymex. July futures gained 50 cents to $95.88.

The most-active options in electronic trading today were September $85 puts, which fell 2 cents to 62 cents a barrel on 10,694 lots at 2:40 p.m. on the Nymex. July $100 calls were the second-most active, holding at 3 cents a barrel on volume of 3,238 contracts.

Puts accounted for 58 percent of electronic trading volume today. In the prior session, bearish bets accounted for 54 percent of 127,079 contracts.

July $94 puts were the most-active options traded yesterday, with 7,109 contracts changing hands. They rose 5 cents to 50 cents a barrel. July $98 calls declined 9 cents to 14 cents on volume of 6,561 lots.

Open interest was highest for September $85 puts with 42,418 contracts. Next were December $105 calls with 37,676 lots and July $110 calls with 36,683.

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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