Crude Options Volatility Rises as Oil Falls Most in Two Months
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Crude oil options volatility rose above 21 percent for the first time since Jan. 16 as futures fell the most in two months.
Implied volatility for at-the-money options expiring in March, a measure of expected price swings in futures and a gauge of options prices, was 21.17 percent on the New York Mercantile Exchange as of 3:45 p.m., compared with 18.92 percent on Feb. 1.