Bloomberg News

Oil Volatility Declines on U.S. Economy, German Bailout Approval

September 29, 2011

Sept. 29 (Bloomberg) -- Oil options volatility fell as the underlying futures gained on news that the U.S. economy grew faster than previously indicated and German lawmakers approved an expanded European bailout fund.

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 46.7 percent at 2:50 p.m. in New York, down from 48.1 percent yesterday.

Oil for November delivery advanced 93 cents, or 1.2 percent, to settle at $82.14 a barrel on the New York Mercantile Exchange. Oil has dropped 14 percent since the end of June, heading for the biggest quarterly loss since 2008. Prices are down 7.5 percent this month.

The most active options contract in electronic trading today was November $70 puts, with 4,163 lots changing hands. The options declined 19 cents to 51 cents a barrel. November $80 puts, the next-most-active options, fell 44 cents to $2.67 on volume of 2.067. One contract covers 1,000 barrels of crude.

The volume of puts outnumbered calls 64 percent to 36 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.

December $70 puts were the most active options traded in the previous session, with 6,070 changing hands. They rose 61 cents to $2.07 a barrel. The next-most active options, November $75 puts, gained 66 cents to $1.56 a barrel on volume of 4,943.

Open interest was highest for December $50 puts with 49,501 contracts. Next were December $100 calls with 49,308 and December $70 puts with 43,458.

--With assistance from Margot Habiby in Dallas and Mark Shenk in New York. Editors: Bill Banker, Dan Stets

To contact the reporter on this story: Justin Doom in New York at jdoom1@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net


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