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Crude Oil Options Volatility Rises as Futures End Winning Streak

Dec. 9 (Bloomberg) -- Crude options volatility rose as West Texas Intermediate futures slipped for the first time in seven sessions.

Implied volatility for at-the-money February WTI options, a measure of expected futures movements and a key gauge of value, rose to 16.75 percent on the New York Mercantile Exchange from 16.12 percent yesterday.

WTI for February delivery fell 34 cents to settle at $97.56 a barrel on the Nymex. The January contract fell 31 cents to $97.34.

Puts, or bets that prices would fall, accounted for 55 percent of electronic trading volume as of 5:19 p.m., according to data compiled by Bloomberg.

The most-active options were January $94 puts, which slipped 1 cent to 13 cents with 2,257 lots trading. January $95 puts, the second-most active, dropped 1 cent to 23 cents on volume of 2,077 lots.

In the previous session, of the 78,508 lots traded, puts accounted for 51 percent of the volume. February $115 calls were unchanged at 3 cents a barrel on 4,986 contracts. January $100 calls declined 3 cents to 22 cents on volume of 4,819 lots.

Open interest in the previous session was highest for June $80 puts, with 28,968 contracts. Next were January $75 puts with 27,261 lots and June $85 puts with 26,868.

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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