Bloomberg News

Oil Volatility Increases as U.S. Crude Output Exceeds Forecast

October 13, 2011

Oct. 13 (Bloomberg) -- Oil options volatility rose as the underlying futures declined after the U.S. Energy Department said supplies rose 1.34 million barrels, exceeding the estimate of 15 analysts in a Bloomberg News survey.

Implied volatility for at-the-money options expiring in December, a measure of expected price swings in futures and a gauge of options prices, was 43.4 percent at 12:30 p.m. in New York, up from 41.3 percent yesterday.

Oil for November delivery fell $2.02, or 2.4 percent, to $83.55 a barrel on the New York Mercantile Exchange. Oil has dropped 8.6 percent this year.

The most active options contract in electronic trading today were December $110 calls, with 1,925 lots changing hands as of 12:43 p.m. The options fell 1 cent to 10 cents a barrel. November $80 puts, the next-most active options with 1,324 lots, gained 18 cents to 40 cents a barrel. One contract covers 1,000 barrels of crude.

The volume of puts outnumbered calls by about 52 percent to 48 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.

December $110 calls were the most-active options traded in the previous session, with 8,868 lots changing hands. They were unchanged at 11 cents a barrel. The next-most-active options, December $100 calls, declined 3 cents to 35 cents a barrel on volume of 5,652.

Open interest was highest for December $100 calls with 50,999 contracts. Next were December $50 puts with 50,157 and December $110 calls with 45,724.

--Editors: Bill Banker, Charlotte Porter

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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