Crude Options Volatility Falls as Oil Futures Retreat

Crude options volatility fell as September futures declined.

Implied volatility for at-the-money options expiring in September, a measure of expected price swings in futures and a gauge of options value, was 21.29 percent on the New York Mercantile Exchange at 2 p.m., from 21.71 percent yesterday.

West Texas Intermediate crude for September delivery slid 92 cents, or 0.9 percent, to $104.57 a barrel on the Nymex.

The most active options in electronic trading today were September $100 puts, which rose 7 cents to 67 cents a barrel on volume of 2,569 lots traded as of 2:04 p.m. September $95 puts were the second-most active, unchanged at 16 cents on volume of 2,080 contracts.

Puts accounted for 57 percent of electronic trading volume. In the prior session, bearish bets made up 54 percent of 96,271 contracts exchanged.

September $100 puts were the most-active options yesterday with 7,012 contracts changing hands as they fell 7 cents to 60 cents a barrel. October $108 calls rose 8 cents to $1.87 on 6,104 lots.

Open interest was highest for December $80 puts, with 38,498 contracts. Next were December $90 puts with 37,787 lots and December $70 puts with 35,009.

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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