Oct. 7 (Bloomberg) -- Crude oil options volatility climbed as West Texas Intermediate futures dropped on concern the U.S. debt-limit debt lock would move the nation closer to default.
Implied volatility for at-the-money November options, a measure of expected futures swings and a key gauge of value, rose to 20.24 percent on the New York Mercantile Exchange from 19.14 percent yesterday.
Puts, or bets that prices would fall, accounted for 61 percent of electronic trading volume today. The most active options were November $98 puts with 4,061 lots exchanging hands as they rose 4 cents to 21 cents a barrel. November $99 puts were the second-most traded, with 2,708 lots. They increased 5 cents to 30 cents a barrel.
Volatility for puts protecting against a 10 percent drop in November-delivery futures surged to 29.16 percent from 25.76 percent Oct. 4.
WTI for November delivery slipped 81 cents to settle at $103.03 a barrel on the Nymex. Prices fell 0.8 percent after House Speaker John Boehner said the country could end up in default if President Barack Obama doesn’t negotiate over the Affordable Care Act, which Republicans want weakened or delayed.
In the previous session, calls accounted for 58 percent of the 70,244 contracts traded.
December $115 calls were the most-active traded options on Oct. 4. They rose 2 cents to 19 cents a barrel on volume of 3,226 contracts. Decembers $110 calls added 8 cents to 65 cents a barrel on 2,976 lots.
Open interest was highest for December $80 puts, with 41,056 contracts. Next were December $90 puts with 40,662 lots and December $100 calls with 31,863.
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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