Bloomberg News

Oil Volatility Advances on Signs of Worldwide Economic Slowing

September 30, 2011

Sept. 30 (Bloomberg) -- Oil options volatility rose as the underlying futures fell on signs of slowing economic growth in China, the U.S. and Germany.

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 47.4 percent at 1:48 p.m. in New York, up from 46.7 percent yesterday.

Oil for November delivery fell $1.29, or 1.6 percent, to $80.85 a barrel on the New York Mercantile Exchange at 1:48 p.m. Oil has dropped 15 percent since the end of June, heading for the biggest quarterly loss since 2008. Prices are down 8.9 percent this month.

The most active options contract in electronic trading today was December $70 puts, with 3,172 lots changing hands. The options gained 29 cents to $2.10 a barrel. November $70 puts, the next-most-active contract, rose 3 cents to 53 cents on volume of 2,226. One contract covers 1,000 barrels of crude.

The volume of puts outnumbered calls about 2-to-1 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 $70 puts were the most active options traded in the previous session, with 7,127 changing hands. They fell 20 cents to 50 cents a barrel. The next-most active options, December $70 puts, declined 26 cents to $1.81 a barrel on volume of 7,102.

Open interest was highest for December $50 puts with 49,566 contracts. Next were December $100 calls with 48,848 and December $70 puts with 42,687.

--With assistance from Margot Habiby in Dallas. Editors: Bill Banker, Richard Stubbe

To contact the reporter on this story: Justin Doom in New York at

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

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