Bloomberg News

Oil Volatility Declines as Futures Fall on Stockpile Slump

October 19, 2011

Oct. 19 (Bloomberg) -- Oil options volatility fell as the underlying futures declined after the U.S. Energy Department reported inventories dropped to a 20-month low.

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 40 percent at 2 p.m. in New York, down from 40.7 percent yesterday.

Oil for November delivery fell $2.23, or 2.5 percent, to $86.11 a barrel on the New York Mercantile Exchange. Oil has dropped 5.8 percent this year.

The most active options contracts in electronic trading today were January $80 puts, with 1,522 lots changing hands as of 2:15 p.m. The options gained 12 cents to $3.20 a barrel. December $80 puts, the next-most-active options with 1,367 lots, rose 10 cents to $1.65 a barrel. One contract covers 1,000 barrels of crude.

The volume of puts outnumbered calls by about 53 percent to 47 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 $100 calls were the most-active options traded in the previous session, with 7,930 lots changing hands. They rose 12 cents to 48 cents a barrel. The next-most-active options, December $80 puts, fell 54 cents to $1.55 a barrel on volume of 7,287.

Open interest was highest for December $110 calls with 54,026 contracts. Next were December $100 calls with 51,700 and December $50 puts with 50,194.

--With assistance from Mark Shenk in New York. Editors: Charlotte Porter, Margot Habiby

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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