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In Response To: KC RC Closing Volatility ()

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

What happened in Sugar today? We’re unlikely to get an explanation. A 60-tic move in one minute, for no reason, certainly indicates some type of computer error. Ultimately, Sugar had a 90-tic range on the day and its losses made the sell-off in Soybeans look tame. For Gamma traders, the movement was a bonanza (assuming you had your orders in). End of day implied volatility in October Sugar was 8% below historical volatility. Which is right? The numbers are shown below.

Other than Sugar and Soybeans, it was a pretty quiet day. Most contracts were unable to surpass their average trading ranges. Break-even points were difficult to meet. The full summary is shown below, but the key number is the low of the day in October Sugar. For those of you who are interested in a more in depth Grain Options Report during the day by email, please let me know and I’ll add you to the list. I hope you have a good night.

Sugar Mar18 19.00/22.00 call spread traded .16 200x 15.47 in H8 7:45 AM
Sugar Jan18 17.00/Oct17 16.00 diagonal call spread traded .23 350x vs. 14.79 in V7 8:21 AM
Sugar Oct17 13.50/12.50 put spread vs 14.76Δ11 traded .12 100x 8:38 AM
Sugar Jan18 17.00/18.00 call spread traded .15/.16 3000x vs. 15.12/15.16 10:27 AM
Sugar Sep17 14.00 puts vs 14.43Δ26 traded .15 300x 29.82 IV 10:42 AM
Sugar Oct17 15.25/16.25 call spread traded .18 250x vs. 14.43 12:30 PM
Sugar Oct17 14.75 call traded .41 125x vs. 14.36 28.66 IV 12:55 AM
Sugar Oct17 15.50/13.50 strangle vs sell 14.45Δ3 traded .47 200x 12:57 PM

Coffee Dec17 120.00 put traded .75 150x vs. 144.45 25.94 IV. 8:09 AM
Coffee Dec17 160.00 call traded 3.48 100x vs. 143.50 29.73 IV 9:55 AM
Coffee Oct17 137.50 put traded 2.40 100x vs. 143.50 26.72 IV 9:58 AM
Coffee Sep17 145.00 calls vs 140.00Δ23 traded .82 100x 26.26 IV 11:14 AM
Coffee Dec17 150.00/170.00 (1x2) call spread vs sell 144.10Δ6 traded 1.75 100x 11:23 AM
Coffee Oct17 137.50/132.50 put spread vs 143.75Δ14 traded 1.32 175x 12:00 PM
Coffee Dec17 175.00/185.00 call spread traded .62 300x vs. 143.30 1:10 PM

Cocoa Sep17 2000/2050 call spread vs 2080Δ22 traded 45 300x 8:08 AM
Cocoa Dec17 2000/1900 put spread traded 36 1000x vs. 2079
Cocoa Sep17 2050 calls vs 2045Δ50 13 100x 21.08 IV 12:03 PM

Cotton Dec17 72.00/68.00 fence (to the call) vs 70.20Δ77 traded .28 150x 8:38 AM
Cotton Mar18 70.00 call traded 3.50 400x vs. 69.75 18.01 IV 9:32 AM
Cotton Buy Dec17 65.00 puts - Buy Mar18 75.00 calls traded 2.51 100x vs. 70.14 11:09 AM

*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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KC RC Closing Volatility
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