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http://www.businessweek.com/news/2013-02-25/crude-oil-options-volatility-rises-as-futures-gives-up-gains

Bloomberg News

Crude Oil Options Volatility Rises as Futures Gives Up Gains

February 25, 2013

Crude options volatility rose as oil fell after U.S. Secretary of State John Kerry said a diplomatic solution to the standoff on Iran’s nuclear program was possible.

Implied volatility for at-the-money options expiring in April, a measure of expected price swings in futures and a gauge of options prices, was 23.73 percent on the New York Mercantile Exchange as of 3:55 p.m., up from 22.11 on Feb. 22.

West Texas Intermediate crude for April delivery fell 2 cents to settle at $93.11 a barrel on the Nymex. Futures extended the decline after the 2:30 p.m. close of floor trading as the euro slipped 0.9 percent against the dollar, making commodities priced in the U.S. currency less attractive.

The most-active options in electronic trading today were May $70 puts, which gained 1 cent to 9 cents on volume of 2,869 contracts at 4:09 p.m. in New York. April $90 puts were the second-most active with 2,636 lots. They rose 20 cents to $1.18 a barrel.

Puts accounted for 58 percent of electronic trading volume. In the previous session, bearish bets made up 60 percent of the 111,650 contracts traded.

April $85 puts were the most active options traded Feb. 22, with 6,098 contracts changing hands. They were down 19 cents to 27 cents a barrel. April $100 calls fell 2 cents to 13 cents on 4,467 lots.

Open interest was highest for December $105 calls with 34,763 contracts. Next were April $110 calls at 34,431 and June $90 puts at 32,311.

The exchange distributes real-time data for electronic trading and releases information the next business day on open- outcry volume, where the bulk of options activity occurs.

To contact the reporter on this story: Barbara Powell in Dallas at bpowell4@bloomberg.net

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


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