Aug. 1 (Bloomberg) -- The value of crude oil call options jumped on the New York Mercantile Exchange as underlying futures surged to a nine-session high.
Implied volatility of September calls protecting against a 10 percent rise in futures prices, a gauge of options value, increased to 25.07 percent from 22.35 percent yesterday as futures gained 2.7 percent. Volatility for puts covering a 10 percent drop slipped to 26.2 percent from 27.81 percent.
Implied volatility for at-the-money options expiring in September was 21.41 percent on the New York Mercantile Exchange at 3:50 p.m., down from 21.91 yesterday.
West Texas Intermediate crude for September delivery rose $2.86 to $107.89 a barrel on the Nymex.
The most active options in electronic trading today were September $100 puts, which fell 29 cents to 12 cents a barrel on volume of 6,548 lots traded as of 3:53 p.m. September $112 calls were the second-most active, rising 31 cents to 44 cents on volume of 3,781 contracts.
Puts accounted for 53 percent of electronic trading volume. In the prior session, bearish bets made up 56 percent of 129,078 contracts exchanged.
September $110 calls were the most-active options yesterday with 7,850 contracts changing hands as they increased 18 cents to 31 cents a barrel. September $95 puts fell 11 cents to 7 cents on 5,974 lots.
Open interest was highest for December $80 puts, with 38,197 contracts. Next were December $90 puts with 37,382 lots and December $100 calls with 33,993.
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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