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WTI Crude Oil Options Volatility Declines as Futures Strengthen

Jan. 17 (Bloomberg) -- West Texas Intermediate crude options volatility slipped in New York as futures advanced to a two-week high.

Implied volatility for at-the-money March WTI options, a measure of expected futures movements and a key gauge of value, was 17.04 percent at 4:50 p.m. on the New York Mercantile Exchange, down from 17.86 percent yesterday.

WTI for February delivery rose 41 cents to $94.37 a barrel on the New York Mercantile Exchange, the highest settlement since Jan. 2. Futures climbed 1.8 percent this week.

Puts accounted for 55 percent of electronic trading volume as of 4:56 p.m. The most active options were April $102 calls, which were unchanged at 41 cents a barrel on volume of 3,669 lots. Second-most active were March $92 puts, down 25 cents to 82 cents on 2,641 contracts.

In the previous session, puts accounted for 45 percent of trading volume of 96,674. March $105 calls were unchanged at 5 cents on 6,195 lots. March $100 calls declined 3 cents to 26 cents on volume of 4,181 contracts.

Open interest was highest for June $80 puts, with 36,170 contracts. Next were June $85 puts with 27,471 lots and December 2015 $120 calls with 26,948.

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

To contact the editor responsible for this story: Dan Stets at

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