Sept. 20 (Bloomberg) -- Crude options volatility rose after underlying futures declined for a second day as Libyan oil production rebounded.
At-the-money volatility for November options, a measure of expected futures swings and a key gauge of value, was 20.02 percent at 12:20 p.m., up from 19.79 percent yesterday.
West Texas Intermediate crude for November delivery fell 63 cents to $105.23 a barrel at 12:24 p.m. on the New York Mercantile Exchange. Libyan output yesterday was more than five times higher than earlier this month, according to its oil ministry.
Bets that prices would rise accounted for 60 percent of electronic trading volume so far today.
November $100 puts were the most active options today, gaining 6 cents to 65 cents a barrel on volume of 1,880 contracts. The next-most active option, November $135 calls, were unchanged at 2 cents on volume of 1,554 lots.
In the previous session, puts accounted for 62 percent of the 111,761 lots traded.
January $75 puts were the most-active options yesterday with 6,336 contracts changing hands. They were unchanged at 9 cents a barrel. November $100 puts, the next-most active, increased 4 cents to 59 cents on volume of 3,458 lots.
Open interest was highest for December $80 puts, with 41,847 contracts. Next were December $90 puts with 40,955 lots and December $100 calls with 32,731.
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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