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

Thursday was an incredibly interesting and eventful day. Volatility hit the Grains and Softs with a large sell-off. The anticipation of the WASDE provided for higher prices in the Soybeans, pre-report. It traded as high as 15-cents above yesterday’s close before the report. That was short lived, however, as the first print after the report was approximately 3-cents lower on the day. It was downhill for the Grains from there. They all traded more than 3.5% lower on the day. In terms of movement compared to options prices, Soybeans provided the best value for long option traders. There are many ways to evaluate that, but if you look at the difference between the historical and implied volatility and compare the average trading range to the range on the day, it’s a pretty good indication. The unfortunate thing for long option holders was the decrease in implied volatility. There is typically a liquidation after a report and that was accentuated by lower futures prices which tends to compound the issue.

Not to be overshadowed by the Grains, the Softs and Cotton had a volatile day of their own. Cotton traded approximately 4% lower on the day and shattered last night’s 74.47 Relative Strength Index. Coffee had a similar fate. The table below provides the full numerical story. It’s a very interesting day to discuss. I look forward speaking with some of you. Have a good night.

Sugar Sep17 13.50 puts vs 13.60Δ43 traded .17 200x 31.71 IV 6:26 AM
Sugar Mar18 16.50 calls vs 14.42Δ24 traded .36 500x 24.86 IV 10:13 AM
Sugar May18 15.00 straddle traded 2.33 100x vs. 14.68 23.86 IV 10:26 AM
Sugar Oct17 14.00 call traded .30 1050x vs. 13.46 29.89 IV 10:49 AM
Sugar Sep17 13.50 puts vs 13.46Δ52 traded .21 400x 29.37 IV 11:32 AM
Sugar Oct17 13.00/12.00 put spread traded .27 1250x vs. 13.33 12:25 PM

Coffee +2x Dec17 135.00 calls, - 1x Dec17 145.00 calls, - 2x Dec17 150.00 calls traded 6.45 500x 8:21 AM
Coffee Oct17 150.00/160.00 call spread vs 143.70Δ19 traded 1.52 150x 11:34 AM
Coffee Dec17 175.00/185.00 call spread traded .60 200x 11:39 AM
Coffee Oct17 135.00/130.00 put spread vs 143.60Δ10 traded .80 300x vs. 139.75 12:45 PM

Cocoa Buy Dec17 2100 calls - Sell Dec17 1900 puts - Buy Dec17 1750 puts traded 24 100x 8:50 AM
Cocoa Dec17 2200 call traded 35 500x vs. 1964 28.65 IV 11:34 AM

Cotton Dec17 75.00/67.00 fence (to the put) traded -.18 200x 8:26 AM
Cotton Dec17 73.00/70.00 fence (to the call) traded -.56 100x 8:42 AM
Cotton Sep17 73.00 calls vs 69.90Δ8 traded .20 150x 23.88 IV 10:39 AM
Cotton Dec17 72.00/69.00 fence (to the put) traded .40 100x 11:14 AM
CottonSep17 68.00/66.00 put spread vs 70.00Δ14 traded .25 150x 11:19 AM
Cotton Dec17 75.00/64.00 fence (to the put) traded .05 200x vs. 69.25 12:07 PM
Cotton Dec17 68.00/63.00 put spread vs 68.15Δ28 traded 1.85 200x 1:46 PM
Cotton No. 2 Futures - NYCC - Sep17 66.00 put traded .35 200x vs. 68.13 24.69 IV 1:52 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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