Jun 3, 2013 10:36 PM GMT+0200
Crude oil options volatility increased as the underlying futures rose the most in four weeks.
Implied volatility for at-the-money options expiring in July, a measure of expected price swings in futures and a gauge of options prices, was 23.49 percent on the New York Mercantile Exchange at 3:15 p.m., versus 22.4 percent May 31.
West Texas Intermediate crude for July delivery gained $1.48, or 1.6 percent, to settle at $93.45 a barrel on the Nymex. The Dollar Index, a weighing of the U.S. greenback against a basket of major currencies, fell 0.9 percent, fueling bets that the Federal Reserve will maintain its pace of stimulus.
The most-active options in electronic trading today were July $87 puts, which declined 20 cents to 20 cents a barrel on volume of 3,072 contracts on the Nymex. July $100 calls were the second-most active, rising 4 cents to 9 cents on 2,995 lots.
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Oil Options Volatility Rises as Futures Gain on Stimulus Bets - Bloomberg