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In Response To: RC Closing Volatility ()

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

Wednesday’s trading was highlighted by rallies in Cotton, Coffee and Cocoa. Coffee and Cocoa rose more than 2%. Implied volatility was mixed with no commodity showing substantial movement. Surprisingly, Sugar was not the Soft commodity with the highest volume. In fact, Coffee and Cocoa were both ahead of it. I don’t recall a day when Sugar was third in volume. Overall, volume was subpar as.

The Grains were stuck in a small range with none of the contracts exceeding their average trading range. For longs in Soybeans, it may have been a pleasant break given yesterday’s trading and once again Soybeans held its 50 and 100-day moving averages. Wheat and Corn are also quite close to those technical lines. I also like looking at the Relative Strength Average. For those wishing to establish long position, options may provide an excellent alternative to futures. If you’d like to discuss why, please contact me. Keep in mind, due to compliance reasons there are never recommendations in any of my web postings. Have a good night.

Sugar Sep17 15.00 straddle traded .70 100x vs. 14.90 28.80 IV 9:35 AM
Sugar Oct17 16.00 call traded .23 100x vs. 14.91 100x 28.76 IV 10:13 AM
Sugar Oct17 15.50 call traded .35 100x vs. 14.89 28.06 IV 10:20 AM
Sugar Mar18 16.50 calls vs 15.60Δ40 traded .74 100x 24.09 IV 11:03 AM
Sugar Nov17 16.75/15.00 strangle traded .75 175x vs. 14.93 IV 12:12 PM
Sugar No. 11 Futures - NYCC - Oct17 14.50 put traded .46 100x vs. 14.82 IV 12:56 PM

Coffee Dec17 120.00 put traded .87 100x vs. 142.35 25.27 IV 8:31 AM
Coffee Sep17 140.00 calls vs 140.00Δ50 traded 2.45 100x 24.58 IV 9:36 AM
Coffee Sep17 140.00 puts vs 140.10Δ48 traded 2.45 175x 25.07 IV 10:01 AM
Coffee Dec17 175.00 call traded 1.75 100x vs. 143.65 32.43 IV 10:04 AM
Coffee Oct17 150.00/140.00 fence (to the put) traded .25 100x 11:34 AM
Coffee 2-Month CSO Dec17 -5.75 put traded .17 250x vs. -5.75/-5.70 12:14 PM
Coffee Oct17/Sep17 135.00 put spread vs +Z17 143.85Δ21, -U17 140.35Δ18 traded .95 100x 1:04 PM

Cocoa Dec17 2200 call traded 61 300x 2060 26.93 IV 8:52 AM
Cocoa Sep17 2000/1950 put spread vs 2044Δ16 traded 7 450x 10:03 AM
Cocoa Buy 2x Dec17 2500 calls - Sell 1x Dec17 1800 puts - Sell Δ34 Dec17 2045 traded 6 1000x 10:32 AM
Cocoa May18 2300 calls vs 2125Δ39 traded 104 1250x 24.58 IV 12:56 PM
Cocoa May18 2200/2500 call spread vs 2100Δ24 traded 73 1500x 12:57 PM
Cocoa Sep17 2100/2150 call spread vs 2062Δ20 traded 9 200x 1:18 PM

Cotton Mar18 70.00 call traded 3.10 450x vs. 68.84 18.22 IV 8:23 AM
Cotton Sep17 71.00 calls vs 69.45Δ32 traded .65 150x 20.05 IV 10:19 AM
Cotton Dec17 71.00/75.00 call spread traded 1.33 200x vs. 70.09 11:13 AM
Cotton Sep17 69.00 puts vs 70.10Δ34 traded .77 150x 19.70 IV 11:51 AM
Cotton Sep17 70.00 call traded 1.25 150x vs. 70.12 18.70 IV 1:45 PM
Cotton Mar18 71.00 call traded 3.00 500x vs. 69.58 2:07 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
Email: fred.oltarsh@intlfcstone.com
ICE Chat: foltarsh1

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