Bloomberg News

Oil Volatility Little Changed as Futures Rise on EU Optimism

November 25, 2011

Nov. 25 (Bloomberg) -- Oil options volatility was little- changed as the underlying futures rose amid speculation that euro-area leaders will do more to fight the debt crisis.

Implied volatility for at-the-money options expiring in January, a measure of expected swings in futures and a gauge of options prices, advanced to 40.8 at 2 p.m. in New York from 40.6 on Nov. 23.

“We look for the euro zone to be the primary driver of oil pricing through the balance of this month and well into the next,” Jim Ritterbusch, president of Ritterbusch & Associates, a Galena, Illinois-based consulting company, said in a report.

The most active options contracts in electronic trading today were January $120 calls, with 765 lots changing hands as of 1:57 p.m. in New York. The options fell 2 cents to 10 cents a barrel. January $125 calls traded 405 lots, unchanged at 8 cents. One contract covers 1,000 barrels of crude.

Puts accounted for about 52 percent of the volume.

Oil for January delivery rose 60 cents, or 0.6 percent, to settle at $96.77 a barrel on the New York Mercantile Exchange.

January $85 puts were the most active options traded in the previous session, with 6,398 lots changing hands. They gained 25 cents to 86 cents a barrel. The next-most active, December 2012 $150 calls, fell 8 cents to $1.40 on volume of 4,350.

Puts accounted for about 52 percent of 90,048 lots.

Open interest was highest for December 2012 $150 calls with 36,866 contracts. Next were December 2012 $80 puts with 35,399 and December 2012 $100 calls with 32,482.

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 Moming Zhou in New York. Editors: Charlotte Porter, Richard Stubbe

To contact the reporter on this story: Mark Shenk in New York at mshenk1@bloomberg.net

To contact the editor responsible for this story: Dan Stets at dstets@bloomberg.net


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