Near-term crude options fell to the lowest level since May as Isaac weakened to a tropical storm as it moved inland away from offshore oil production in the U.S. Gulf Coast and the Labor Day holiday approached.
Implied volatility for options expiring in October, a measure of expected price swings in futures and a gauge of options prices, was 27.49 percent at 4:25 p.m. in New York, down from 28.20 percent yesterday. Bets that prices would fall accounted for 52 percent of electronic trading today.
“October is starting to get hit with time decay, it’s the last week in August before a vacation week so volumes are relatively low and you had a hurricane that kept October volatility up an extra day,” said Jim Colburn, a vice president and energy options broker at Jefferies Bache LLC in New York.
The Nymex is closed Sept. 3 for the U.S. Labor Day holiday. October options will expire Sept. 17.
Crude oil for October delivery fell 84 cents to settle at $95.49 a barrel on the Nymex.
The most active options in electronic trading today were October $85 puts, which rose 3 cents to 18 cents a barrel at 4:33 p.m. with 2,982 lots trading. October $110 calls were the second-most active options, with 1,888 lots changing hands as they fell 6 cents to 9 cents a barrel. One contract covers 1,000 barrels of crude.
The exchange distributes real-time data for electronic trading and releases information the next business day on floor trading, where the bulk of options trading occurs.
In the previous session, bearish bets accounted for 51 percent of the 102,830 contracts traded.
December $82 puts were the most actively traded options yesterday with 5,239 lots changing hands. They fell 10 cents to $1.30 a barrel. December $120 calls advanced 3 cents to 68 cents on volume of 4,677.
Open interest was highest for December $100 calls with 45,838 contracts. Next were December $80 puts with 43,957 lots and December $120 calls with 43,790.
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