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Sept. 28 (Bloomberg) -- Oil options volatility increased as the underlying futures fell for the first time in three days on concern that Europe’s debt crisis will linger and on rising U.S. supplies.
Implied volatility for at-the-money options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 47.6 percent at 3 p.m. in New York, up from 44.3 percent yesterday.
Oil for November delivery declined $3.24, or 3.8 percent, to settle at $81.21 a barrel on the New York Mercantile Exchange. Oil has dropped 15 percent since the end of June and is poised for the biggest quarterly loss since 2008. Prices are down 8.6 percent this month and 11 percent this year.
The most active contract in electronic trading today was December $50 puts, with 2,725 lots changing hands. The options rose 7 cents to 19 cents a barrel. November $70 puts, the next- most-active options, gained 23 cents to 62 cents a barrel on volume of 1,803. One contract covers 1,000 barrels of crude.
Puts outnumbered calls 56 percent to 44 percent in electronic trading.
The exchange distributes real-time data for electronic trading and releases information on floor trading, where the bulk of options trading occurs, the next business day.
November $75 puts were the most active options traded in the previous session, with 6,596 changing hands. They fell $1.12 to 90 cents a barrel. The next-most active options, November $70 puts, fell 56 cents to 39 cents a barrel on volume of 5,862.
Open interest was highest for December $100 calls with 48,861 contracts. Next were December $50 puts with 46,539 and December $70 puts with 45,156.
--Editors: Charlotte Porter, Bill Banker
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