Bloomberg News

Crude-Oil Volatility Increases on Concern About Greek Default

October 03, 2011

Oct. 3 (Bloomberg) -- Oil options volatility increased as the underlying futures declined on concern that Greece will default on debt payments.

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 53 percent at 1 p.m. in New York, up from 49.3 percent on Sept 30.

Oil for November delivery fell $140, or 1.8 percent, to $77.80 a barrel on the New York Mercantile Exchange at 1:14 p.m. Oil has dropped 15 percent this year.

The most active options contract in electronic trading today was November $70 puts, with 2,915 lots changing hands. The options gained 25 cents to $1.01 a barrel. November $75 puts, the next-most-active contract, rose 43 cents to $2.30 on volume of 1,640. One contract covers 1,000 barrels of crude.

The volume of puts outnumbered calls 57 percent to 43 percent.

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 9,392 lots changing hands. They gained 26 cents to 76 cents a barrel. The next-most active options, December $70 puts, rose 64 cents to $2.45 a barrel on volume of 7,571.

Open interest was highest for December $50 puts with 50,171 contracts. Next were December $100 calls with 49,024 and December $70 puts with 42,792.

--Editors: Charlotte Porter, Bill Banker

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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