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Oil volatility: will the Fed make its effect? September 21, 2011

Posted by mytruthaboutoil in Oil prices, Oil trading.
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Oil options volatility slipped as the underlying futures rose for the first time in three days on speculation the Federal Reserve will take steps to bolster the U.S. economy, increasing fuel consumption.

Implied volatility for at-the-money options expiring in November, a measure of expected price swings in futures and a gauge of options prices, was 40.9 percent at 1:18 p.m. in New York, down from 42 percent yesterday.

Oil for October delivery gained $1.02, or 1.2 percent, to $86.72 a barrel on the New York Mercantile Exchange. Prices have fallen 5.1 percent this year. October futures expire at the close of floor trading today. The more active November contract advanced $1.09 to $86.90 a barrel.

The most active contract in electronic trading today was November $70 puts, with 1,473 lots changing hands. The options fell 12 cents to $1.43 a barrel. December $85 puts, the next- most-active options, slipped 36 cents to $5.12 a barrel on volume of 1,449 lots. One contract covers 1,000 barrels of crude.

The volume of puts outnumbered calls by more than two to one in electronic trading.

The exchange distributes real-time data for electronic trading and releases information on floor trading, where the bulk of options trading occur the next business day.

November $105 calls were the most active options traded in the previous session, with 7,374 lots changing hands. They fell 3 cents to 14 cents a barrel. The next-most active options, November $75 puts, gained 33 cents to $1.20 a barrel on volume of 4,664.

Open interest was highest for December $100 calls with 52,308 contracts. Next were December $70 puts with 45,925 and December $50 puts with 45,258.

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