Bloomberg News

Oil Volatility Falls as Futures Reach Highest Level in Two Weeks

October 10, 2011

Oct. 10 (Bloomberg) -- Oil options volatility fell as the underlying futures reached the highest level in two weeks after German and French leaders pledged to halt the sovereign-debt crisis in Europe.

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 42.2 percent at noon in New York, down from 43.1 percent Oct. 7.

Oil for November delivery gained $2.65, or 3.2 percent, to $85.63 a barrel at 12:11 p.m. on the New York Mercantile Exchange. Oil has dropped 6.3 percent this year.

The most active options contract in electronic trading today was November $90 calls, with 2,098 lots changing hands as of 12:37 p.m. The options gained 22 cents to 48 cents a barrel. November $80.50 puts, the next-most-active contract, sank 96 cents to 50 cents on volume of 2,078. One contract covers 1,000 barrels of crude.

The volume of puts outnumbered calls by about 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 $90 calls were the most active options traded in the previous session, with 7,794 lots changing hands. They fell 9 cents to 26 cents a barrel. The next-most active options, December $95 calls, declined 6 cents to 92 cents a barrel on volume of 5,750.

Open interest was highest for December $100 calls with 52,302 contracts. Next were December $50 puts with 49,225 and December $120 calls with 42,573.

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

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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