Coffee Traders' Forum - A Discussion about Coffee Futures Trading
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Options Update by the Numbers- Softs and Grains: End of Day Review
Coffee options, with three trading days to go in the September contract, was very active on Tuesday. Despite the lack of volatility in the underlying market, volume heated up. While the September contract had decent volume, the December contract was even more active. None of the markets broke their average trading ranges and this is clearly indicative of the summer doldrums. I have spoken to many of you about trading strategies and enjoy the dialogue, so feel free to contact me.
While I often talk about historical versus implied volatility, my providing the 20-day historical volatility for analysis may not always be the best methodology. In fact, after a market makes a significant move, it can be very misleading. The recent moves in the Grains might be a case in point. In Soybeans, for example the 20-day is around 26% while the 50-day is 22%. If one looks at the average of the 50-day, it is closer to 19%. There is a similar phenomenon in Corn and Wheat. The same analysis should be used in the Softs or any futures contract where you are evaluating volatility. Despite that, they’re only so much room for information, so the 20-day it will be.
Today’s highlighted trades are shown below with trading information in the table at the bottom. Wheat was the mover of the day. Have a good night.
Sugar Oct17 13.50 call traded .77 200x vs. 13.89 30.36 IV 9:42 AM
Sugar Oct17 13.50 call traded .71 250x vs. 13.82 29.42 IV 10:01 AM
Sugar Oct17 11.50/Sep17 12.50 diagonal put spread traded .03 225x 11:07 AM
Sugar Oct17 15.00 call traded .16 700x vs. 13.80 29.58 IV 11:24 AM
Sugar Mar18 13.50 put traded .53 1000x vs. 14.64 24.56 IV 11:26 AM
Sugar Mar18/Oct17 13.50 put calendar traded .15 100x vs. 13.78 12:53 PM
Sugar Oct17 15.00/15.50 call spread traded .06 500x vs. 13.78 12:55 PM
Coffee Sep17 147.50/150.00 call spread vs 143.00Δ10 traded .37 200x 8:02 AM
Coffee + Z7 140.00 puts, -Z7 145.00 calls, +Z7 160.00 calls, + Δ58 Z7 146.75 traded .30 1000x 9:51 AM
Coffee Oct17 142.50/137.50 (1x2) put spread vs sell 146.75Δ6 traded .10 125x 9:56 AM
Coffee Sep17 150.00/155.00 call spread traded .31 100x vs. 143.30 10:08 AM
Coffee Dec17 145.00 calls vs 147.00Δ56 traded 9.50 1000x 27.98 IV 11:07 AM
Coffee Dec17 160.00/140.00 fence (to the put) vs 146.50Δ64 traded 1.03 500x 12:10 PM
Cocoa Futures - NYCC - Dec17 2600/1600 strangle traded 11 100x vs. 2035 10:57 AM
Cotton Dec17 65.00/60.00 put spread vs 70.90Δ13 traded .53 100x 9:54 AM
Cotton Dec17 73.00/70.00 fence (to the call) traded -.43 100x vs. 70.72 10:34 AM
Cotton Sep17 65.00 put traded .05 1250x 11:29 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.
Options & Futures Execution, Strategy, Analysis and Risk Management
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