Coffee Traders' Forum - A Discussion about Coffee Futures Trading
Coffee Traders Discussion Forum
Yes. Thank you, Juan .With implied volatility in the 1 -2 percentile ( meaning implied vol is higher 98-99% of the time) it almosts ensures it is not the mkt maker/local/spec community selling the puts. They simply don't do that but the commercials interested in selling puts ( the roasters) barely have a nodding acquaintance with impl vol percentiles; for them it is a matter of dollars and cents.Moreover, when these trades are executed they are generally crossed orders and from the low implied vol at which they traded it is reasonable to assume that " paper" is on the sell side and market makers on the buy side. Further, the futures action and paper flow suggests that the gamma is constantly being scalped ( which is what a delta neutral long put/long futures player must do to compensate for the negative theta)- futures sold on rallies and bought on dips. Whereas the short put position ( roasters) simply wait and see if they are assigned. It looks as if they have rolled into May options now as evidenced by the OI.