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

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

If nothing else, Wednesday’s volume in the Soft commodities exceeded yesterday’s. Ranges remained limited in the Grains and Softs and Cocoa was, by a landslide, the most volatile commodity. Only Cocoa and Cotton attained a breach of their break-even points. For Cocoa, however, it moved more than twice the amount needed to break-even. For two successive days, Cocoa has been the market to watch.

Here are the highlighted trades of the day:

Sugar May18 14.00 calls vs 14.70Δ64 traded 1.44 200x 23.43 IV 5:18 AM
Sugar Oct17 13.50 put traded .22 100x vs. 13.74 27.29 IV 7:46 AM
Sugar Oct17 14.00 call traded .22 125x vs. 13.75 27.28 8:35 AM
Sugar Oct17 14.00 put traded .48 200x vs. 13.73 27.09 IV 8:49 AM
Sugar Buy Oct17 14.50 calls - Sell Dec17 16.00 calls traded -.10 125x vs. 13.78 9:15 AM
Sugar Jan18 13.50 puts vs 14.46Δ28 traded .39 500x 25.39 IV 11:18 AM
Sugar Nov17 14.50 straddle traded 1.07 100x vs. 14.52 25.51 IV 12:48 PM

Coffee Dec17 155.00 call traded .86 100x vs. 128.25 31.34 IV 8:08 AM
Coffee Mar18 130.00/117.50 put spread vs 132.15Δ24 traded 5.08 200x 8:11 AM
Coffee Dec17 135.00 puts vs 128.80Δ63 traded 9.92 325x 26.55 IV 8:12 AM
Coffee Dec17 135.00/165.00 call spread vs 128.25Δ30 traded 3.10 100x 8:15 AM
Coffee Dec17 120.00 puts vs 128.10Δ28 traded 2.25 100x 23.80 IV 8:25 AM
Coffee Dec17 135.00/145.00 (1x2) call spread traded .20 250x vs. 127.60 9:08 AM
Coffee Dec17 150.00/140.00 (2x1) call spread traded -.17 400x vs. 126.95 9:55 AM
Coffee Nov17 140.00 call traded 1.15 200x vs. 127.05 27.81 IV 11:00 AM
Coffee Dec17 135.00/140.00 call spread vs 127.50Δ8 traded 1.07 300x 11:11 AM
Coffee Mar18 142.50/125.00 fence (to the call) traded .25 vs. 132.05 250x 1:29 AM

Cocoa Mar18/Dec17 2150 put calendar traded 14 150x vs 1907 in Z7 8:01 AM
Cocoa Dec17 1850 puts vs 1893Δ40 traded 69 850x 27.54 IV 10:32 AM
Cocoa Dec17 2300 calls vs 1894Δ7 traded 11 800x 32.36 IV 10:55 AM
Cotton Dec17 76.00/65.00 strangle traded 1.35 100x vs. 70.27 9:06 AM
Cotton Mar18 68.00/60.00 put spread vs sell 73.00 call traded flat 400x vs. 70.33 Z7 10:12 AM
Cotton Nov17 73.00 calls vs 70.50Δ34 traded 1.20 500x 20.31 IV 10:33 AM
Cotton Mar18 65.00 put traded 1.48 200x vs. 69.95 18.88 IV 12:56 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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KC RC Closing Volatility
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