Oct. 23 (Bloomberg) -- Crude oil put options jumped on the New York Mercantile Exchange as underlying futures slid to the lowest in almost four months.
Implied volatility of puts protecting against a 10 percent drop in December futures increased to 29.12 percent on the New York Mercantile Exchange at 4:25 p.m. from 27.6 percent yesterday. The skew, or premium of puts over calls, increased to 8.51 percentage points from 6.37 yesterday. The four most-active contracts traded today were December puts.
At-the-money December options rose to 21.93 percent from 20.45 percent.
West Texas Intermediate crude for December delivery fell $1.44 to $96.86 a barrel on the Nymex.
The most active options in electronic trading today were December $90 puts, which rose 14 cents to 43 cents a barrel on volume of 10,508 lots traded as of 4:37 p.m. December $93 puts were the second-most active, gaining 31 cents to 89 cents on volume of 5,748 contracts.
Puts accounted for 58 percent of electronic trading volume. In the prior session, bearish bets made up 64 percent of 149,078 contracts exchanged.
December $90 puts were the most-active options yesterday with 15,879 contracts changing hands as they increased 10 cents to 29 cents a barrel. December $88 puts increased 5 cents to 18 cents on volume of 13,955.
Open interest was highest for December $90 puts, with 42,026 contracts. Next were December $80 puts with 41,631 lots and December $100 calls with 33,118.
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.
--Editors: David Marino, Charlotte Porter