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In Response To: KC RC Closing Volatility ()

Options Update by the Numbers- Softs and Grains: End of Day Review

Soybeans was the market of the day. It put in an impressive move to the downside, falling more than 3%. As is usually the case in a down market, Soybeans’ implied volatility came off as well. In the Softs, Sugar made new highs, but was unable to hold. Softs volume was quite good and Coffee and Cocoa made substantial moves. Not only did they have ranges well beyond their average trading range, but both easily eclipsed their break-even points. In the case of the Coffee move, you had to be ready, because it bounced quickly from the lows and came back to close only slightly lower on the day.

Volume was heavily concentrated in trades that were laid up with futures. Whether spreads or outrights, the efficiency of doing a trade laid up is dominating volume unless the Delta of the option is quite small. If you’re trading small Delta options, you should consider the likelihood of making money in that type of option. Between the bid/ask spread and other sundries, it’s difficult to make money. The details of today’s trading are shown below. Have a good night.

Sugar Oct17 15.00/16.00 call spread vs 14.95Δ24 traded .33 300x 7:34 AM
Sugar Sep17 14.50 straddle vs sell 14.90Δ36 traded .79 200x 29.38 IV 8:19 AM
Sugar Oct17 14.50/14.00 put spread traded .16 300x vs. 15.03 9:10 AM
Sugar Oct17 14.00 puts vs 15.02Δ22 traded .24 100x 29.64 IV 9:41 AM
Sugar Oct17 16.00/18.00 call spread traded .24 100x vs. 15.11 10:33 AM
Sugar Oct17 15.00/13.50 put spread traded .47 475x vs. 15.02 11:22 AM
Sugar Oct17 14.50/13.50 put spread vs 14.90Δ22 traded .29 750x 11:57 AM
Sugar Nov17 14.50 puts vs 15.80Δ23 traded .23 100x 24.83 IV 12:13 PM

Coffee Oct17 165.00/130.00 fence (to the put) vs 142.75Δ20 traded .15 200x 8:43 AM
Coffee Sep17 150.00/155.00 call spread traded .16 300x vs. 138.50 9:04 AM
Coffee Dec17 135.00/145.00/160.00 call ladder (tree) traded 1.35 500x vs. 141.25 9:39 AM
Coffee Sep17 137.50 puts vs 138.25Δ44 traded 2.20 150x 24.56 IV 10:23 AM
Coffee Oct17 145.00/155.00 call spread traded 2.45 200x vs. 142.30 10:27 AM
Coffee Dec17 147.50/137.50 fence (to the put) traded -.65 vs. 142.10 11:53 AM
Coffee Sep17 137.50 puts vs 136.85Δ52 traded 2.90 150x 12:32 PM
Coffee Sep17 137.50/130.00 put spread vs 136.50Δ42 traded 2.60 100x 12:45 PM

Cocoa Dec17 2400/1800 fence (to the call) vs 2110Δ34 traded 18 1500x 9:42 AM
Cocoa +U7 2100 calls, -Z7 1700 puts, Sell Δ38 Sep17 2079, Sell Δ5 Dec17 2105 traded 7 500x 11:07 AM
Cocoa Futures Dec17 2100/1900 put spread traded 85 100x vs. 2077 11:28 AM
Cocoa Dec17 1700 puts vs 2088Δ6 traded 12 1500x 29.45 IV 11:32 AM
Cocoa Dec17 2200 call traded 56 500x vs. 2036 27.50 IV 1:12 PM
Cocoa Sep17 2000 calls vs 2008Δ56 traded 31 100x 26.57 IV 1:21 PM

Cotton Dec17 73.00 calls vs 69.15Δ30 traded 1.40 400x 19.20 IV 9:06 AM
Cotton Dec17 72.00/66.00 fence (to the call) vs 69.15Δ66 traded .18 1000x 9:51 AM
Cotton Dec17 68.00 puts vs 69.25Δ40 traded 2.20 400x 18.86 IV 9:58 AM
Cotton Dec17 72.00 call traded 1.50 225x vs. 68.52 19.31 IV 10:14 AM
Cotton Dec17 72.00 call traded 1.60 375x vs. 68.81 19.32 IV 10:18 AM
Cotton Dec17 67.00 call traded 4.05 100x vs. 69.25 19.02 IV 1:43 PM

*The Options Table below provides the approximate straddle price at the time of the update, its implied volatility, the break-even point that the underlying contract must move to make up for the decay of the options. It includes the end of day 20-Day historical volatility of the front month contract and the 9 and 14 Day relative strength index of the front month. It also provides information pertaining to the volatility of the futures and the change in implied volatility (make note that yesterday’s ATM strike, not shown, is compared to the current ATM strike. The price of the futures contract on the left of the table refers to all information pertaining to options valuation. The numbers at the right include the last trade in the futures contract. Feel free to contact me with any questions or to discuss strategy.

Fred Oltarsh
Options & Futures Execution, Strategy, Analysis and Risk Management
Main: 212-549-4100
Direct: 212-549-4114
Cell: 917-656-1767
ICE Chat: foltarsh1

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