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Option Activity *PIC*
In Response To: Closing Volatility KC RC ()

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

A quiet Grain market, and mostly quiet Softs, made for a relatively uninteresting day. The Grain market spent most of the time waiting for tomorrow’s WASDE report. The Softs, with good movement in Coffee and Cocoa, were relatively uninteresting as well. Implied volatility was lower in Coffee and not substantially changed in the other commodities (except Corn). The ranges were limited, particularly in the Grains, and that is highly indicative of traders being positioned for tomorrow’s report. One thing of note was an increase in implied volatility in Corn options. Given the quiet day, there were some late buyers of Corn options.

For those looking for a way to position themselves for an impending move, there are potentially numerous strategies, many of which you might not considered, to meet your risk/reward parameters. Ratio spreads, butterflies, and call spreads versus put spreads can all provide opportunities when combined with analyzing the skew and implied versus historical volatility. For best execution, we try to do most of our trading laid up with futures. If you’re interested in Grains, tomorrow should be an interesting day. Call us at your convenience to discuss strategy. Have a good night.

Sugar Oct17 14.00 calls vs 13.70Δ43 traded .38 500x 28.51 IV 9:04 AM
Sugar May18 15.00 straddle traded 2.26 750x vs. 14.74 23.06 IV 9:05 AM
Sugar Mar18 14.50 straddle traded 2.05 150x 24.59 9:29 AM
Sugar Oct17 14.00 calls vs 13.70Δ43 traded .38 600x vs. 13.69 9:32 AM
Sugar Oct17 15.00 call traded .11 500x vs. 13.69 28.03 IV 10:03 AM
Sugar Oct17 14.00 calls vs 13.70Δ43 traded .38 250x 28.51 IV 10:17 AM
Sugar May18 15.00 straddle traded 2.29 475x vs. 14.75 23.37 IV 10:57 AM
Sugar May18 16.00/12.00 fence (to the call) vs 14.73Δ46 traded .45 400x 11:02 AM
Sugar 1-Month CSO May18 -0.30 put traded .15 250x vs. -.24 11:42 AM
Sugar Mar18 16.50 calls vs 14.47Δ25 traded .38 500x 24.98 IV 12:42 PM

Coffee Oct17 152.50/140.00 fence (to the put) vs 145.00Δ62 traded .32 200x 6.29 AM
Coffee Dec17 150.00/205.00 call spread vs 145.50Δ40 traded 6.17 1000x 8:54 AM
Coffee Dec17 175.00/185.00 call spread traded .71 400x vs. 146.30 11:04 AM
Coffee Mar18 145.00 calls vs 150.00Δ60 traded 13.55 150x 26.03 IV 11:29 AM
Coffee Dec17 145.00 straddle traded 16.45 100x vs. 146.00 27.45 IV 12:11 PM
Coffee May18 180.00/135.00 strangle traded 10.25 100x vs. 151.80 1:19 PM

Cocoa Dec17 1700 puts vs 2010Δ10 traded 16 1000 28.95 IV 7:29 AM
Cocoa Dec17 2200 calls vs 2008Δ28 traded 45 500x 28.04 IV 7:43 AM
Cocoa Dec17 2200/2400 call spread vs 2006Δ16 traded 28 150x 8:54 AM
Cocoa Oct17 2000 straddle traded 114 100x vs. 2008 10:48 AM

Cotton Sep17 69.00/68.00 put spread traded .19 400x vs. 70.79 26.60 IV 9:15 AM
Cotton Dec17 73.00/70.00 fence (to the put) vs 71.05Δ82 traded .33 100x 10:47 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
ICE Chat: foltarsh1

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