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Crude Options Volatility at Two-Week Low With Futures in Range

Aug. 23 (Bloomberg) -- Crude oil options volatility fell to a two-week low as crude futures remained within a seven-dollar trading range that has lasted seven weeks.

Implied volatility for at-the-money options expiring in October was 20.65 percent on the New York Mercantile Exchange at 4 p.m., down from 21.51 percent yesterday. It’s the lowest level since Aug. 7.

West Texas Intermediate crude for October delivery gained $1.39 to settle at $106.42 a barrel on the Nymex. Prices climbed the most in two weeks on housing data that led to speculation the Federal Reserve may defer stimulus tapering. Front-month futures have traded between $102.22 and $109.32 since July 9.

The most active options in electronic trading today were October $95 puts, which fell 10 cents to 12 cents on volume of 5,160 lots as of 4:07 p.m. October $96 puts were second-most active, declining 13 cents to 15 cents on 3,722 contracts.

Puts made up 61 percent of electronic trading volume. In the prior session, bearish bets accounted for 59 percent of the 94,147 contracts exchanged.

June $80 puts were the most-active options yesterday with 6,578 lots exchanging hands as they fell 8 cents to $1.76 a barrel. June $90 puts fell 18 cents to $3.96 on volume of 4,000 contracts.

Open interest was highest for December $80 puts, with 40,030 contracts. Next were December $90 puts with 36,220 lots and December $105 calls with 34,839.

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: Eliot Caroom in New York at ecaroom@bloomberg.net

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

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