Bloomberg News

Oil Volatility Retreats as Futures Advance on U.S. Retail Sales

November 15, 2011

Nov. 15 (Bloomberg) -- Oil options volatility fell and the underlying futures gained as U.S. retail sales increased more than projected in October, boosting optimism in the economy of the world’s largest crude-consuming nation.

Implied volatility for at-the-money options expiring in January, a measure of expected swings in futures and a gauge of options prices, fell to 37.7 at 12:30 p.m. today in New York from 40 yesterday. The Commerce Department said sales gained 0.5 percent last month following a 1.1 percent increase in September. The median forecast of 81 economists surveyed by Bloomberg News was a rise of 0.3 percent.

“Retail sales were up, and normally that should have a meaningful impact on the markets,” Al Korelin, market analyst and chairman of Blaine, Washington-based A.B. Korelin & Associates, said in a telephone interview.

The most-active options contracts in electronic trading today were December $100 calls, with 4,739 lots changing hands as of 12:57 p.m. in New York. The options fell 10 cents to 10 cents a barrel. December $98 puts fell 63 cents to 6 cents on volume of 3,056. One contract covers 1,000 barrels of crude.

Calls accounted for about 62 percent of the volume.

Oil for December delivery gained $1.09 to $99.23 a barrel at 12:58 p.m. on the New York Mercantile Exchange.

December $100 calls were the most active options traded in the previous session, with 11,561 lots changing hands. They fell 68 cents to 20 cents a barrel. The next-most-active options, January $130 calls, declined 9 cents to 31 cents on volume of 7,999.

Calls accounted for about 53 percent of 186,547 lots.

Open interest was highest for December $110 calls with 52,125 contracts. Next were December $50 puts with 49,467 and December $120 calls with 45,951.

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.

--With assistance from Mark Shenk in New York. Editors: David Marino, Richard Stubbe

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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