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The cause of the blast was not immediately determined, but state oil company SOCAR said preliminary information indicated it was a mud volcano.
The Caspian Sea has a high concentration of such volcanoes, which spew both mud and flammable gas.
SOCAR spokesman Ibrahim Ahmadov was quoted by the Azerbaijani news agency APA as saying the blast took place about 10 kilometres (6 miles) from the Umid gas field, which is 75 kilometres (45 miles) off the coast of the capital, Baku.