Oct. 20 (Bloomberg) -- Oil options volatility increased as the underlying futures fell on concern European Union leaders won’t reach an agreement this weekend on strengthening the region’s rescue fund.
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 45.3 percent at 12:30 p.m. in New York, up from 42.2 percent yesterday.
Oil for November delivery fell $1.33, or 1.5 percent, to $84.78 a barrel at 12:39 p.m. on the New York Mercantile Exchange. Oil has dropped 7.2 percent this year.
The most active options contracts in electronic trading today were December $80 puts, with 2,706 lots changing hands as of 12:59 p.m. The options gained 46 cents to $2.43 a barrel. December $70 puts, the next-most-active options with 920 lots, rose 10 cents to 66 cents a barrel. One contract covers 1,000 barrels of crude.
The volume of puts outnumbered calls by about 59 percent to 41 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 $80 puts were the most-active options traded in the previous session, with 10,055 lots changing hands. They rose 42 cents to $1.97 a barrel. The next-most-active options, December $85 puts, gained 75 cents to $3.51 a barrel on volume of 7,544.
Open interest was highest for December $110 calls with 54,230 contracts. Next were December $100 calls with 52,753 and December $50 puts with 50,194.
--With assistance from Mark Shenk in New York. Editors: David Marino, Charlotte Porter
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