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In Response To: KC RC Closing Volatility ()

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

Understandably, viewership is low on Friday afternoons, hence the light report. Markets were generally quiet. Volume was deceptively high in the Soft commodities options; much of it was related to the Iron Condor that traded in March Sugar options. Although Coffee and Cotton had reasonably good volatility, the rest of the markets remained in relatively small ranges. The numbers below give the full picture. If you’re looking for some additional insight, give me a call. Have a good weekend.

Sugar Mar18 17.00/18.00 call spread traded .09/.10 3550x vs. 14.13 8:24 AM
Sugar Mar18 12.00/11.00 put spread traded .13/.14 2425x vs. 1409 8:26 AM
Sugar Oct17 13.00 puts vs 13.13Δ44 traded .45 500x 31.17 IV 9:51 AM
Sugar Oct17 14.00 puts vs 13.15Δ72 traded 1.06 350x 31.07 IV 12:01
Sugar May18 15.00 straddle traded 2.38 125x vs. 14.34 24.25 IV 12:23 PM

Coffee Dec17 165.00/175.00 call spread traded .85 500x 8:31 AM
Coffee 1-Month CSO Sep18 -2.90 call traded .30 550x vs. -2.95/-2.90 9:07 AM
Coffee Oct17 150.00/140.00 fence (to the put) vs 142.30Δ66 traded 1.45 150x 9:50 AM
Coffee Dec17 140.00/160.00 call spread traded 6.55 100x vs. 140.30 10:30 AM
Coffee Oct17 142.50/132.50 put spread vs 143.75Δ33 traded 3.08 100x 10:53 AM
Coffee Nov17 135.00/125.00 (1x2) put spread traded 1.45 500x vs. 143.60 12:59 PM

Cocoa Dec17 1900/1750 put spread vs 1952Δ22 traded 50 250x 8:01 AM
Cocoa Dec17 1800 puts vs 1955Δ24 traded 44 1000x 28.34 IV 9:09 AM
Cocoa Dec17 2000 call traded 95 500x vs. 1978 27.28 IV 10:17 AM
Cocoa Dec17 1800/1600 put spread vs 1966Δ16 traded .32 1000x 10:44 AM

Cotton Dec17 75.00 call traded .65 100x vs. 68.65 18.72 IV 10:30 AM
Cotton Dec17 65.00 puts vs 69.00Δ24 traded 1.02 225x vs. 68.33 2:12 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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