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Crude Options Volatility Rises for First Time in Three Days

Aug. 26 (Bloomberg) -- Crude options volatility rose for the first time in three days as underlying futures slipped after two days of gains.

Implied volatility for at-the-money October options was 21.04 percent on the New York Mercantile Exchange at 2:25 p.m., up from 20.83 percent on Aug. 23.

West Texas Intermediate crude for October delivery fell 50 cents to $105.92 a barrel on the Nymex.

The most active options in electronic trading today were October $110 puts, which were unchanged at 47 cents at 2:30 p.m. on volume of 1,450 contracts. October $110 calls were the second-most active, dropping 21 cents to 73 cents a barrel on volume of 1,422 lots traded.

Puts accounted for 63 percent of electronic trading volume as of 2:30 p.m., up from 62 percent in the prior season when 102,582 contracts were exchanged.

October $95 puts were the most-active options Aug. 23 with 9,170 contracts changing hands as they fell 10 cents to 12 cents a barrel. October $110 calls, the next-most active, rose 27 cents to 94 cents on 4,668 lots.

Open interest was highest for December $80 puts, with 40,038 contracts. Next were December $90 puts with 36,392 lots and December $105 calls with 34,889.

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: Barbara Powell in Dallas at bpowell4@bloomberg.net

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

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