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Nugent/Oltarsh Options Review *PIC*

RC EOD Straddles: (K 1755)
{{K 1750 strd 55/61,}} 20.4%
{{N 1750 strd 121/129}}, 19.15%
{{U 1750 strd 157/167}}, 19.15%
{{X 1750 strd 189/201,}} 19.1%

Options Review End of Day 4-4-18
*Tariff wars began to take a real toll on the markets Wednesday as China stepped up retaliation. The Grain complex was down sharply (Soybeans more than 5% on the lows). Implied volatility blew out in the Grains and Cotton as well. As discussed yesterday, the focus of Coffee was, once again, the spreads. Today’s May/July range of 20-tics on volume of almost 23,000 spreads. Unfortunately, the underlying market could manage a range of only 150-points despite making new contract lows. To analyze market volatility a bit farther, between the Grains and Softs, Coffee had a range of 1.27% today while Soybeans was 5.62%, Corn was 4.38%, and Wheat was 3.17%. In the meantime, Sugar could only muster a range of 1.84%, Cocoa 3.08% and Cotton 4.50%. Unfortunately, Coffee’s lack of volatility is nothing new and makes certain low risk trades, like the butterfly mentioned yesterday, interesting.

*Highlighted Trades Today:
100 Jul18 130.00 call traded 1.40 vs. 119.00 23.96 IV.
100 Sep18 120.00 puts vs 121.15Δ44 traded 1.80 22.05 IV.
400 Jul18 120.00 calls vs 119.00Δ46 traded 3.79 20.78 IV.
100 Jun18 120.00 calls vs 118.80Δ44 traded 2.50 19.30 IV.
400 May18 125.00 call traded .12/.13 vs. approx. 116.80. Paper buys end of day. 1100 Robusta 1-Month CSO Jul18 5 call traded 15 vs. 6/7.

While a multitude of markets were impacted by China’s trade news, there is a significant amount of time before these tariffs will be adopted. While its difficult to imagine the implementation of a permanent trade environment that would be so detrimental, anything is possible. In order to take advantage of Soybeans plunge today from a bullish perspective, we looked at selling the Soybean N18 1000/980 Put Spread vs buying N18 1030/1050 Call Spread which with July trading at approximately 1010 which traded for a credit of 2.13 cents. It gives you a bullish position in which you risk less that 18-cents to make more than 22-cents. Break-even point is 998.

*Other Commodities:
Today was definitely a day for movement, but not so much so in Coffee, Sugar and Cocoa. All three markets traded below their average true range. Options volume suffered in New York today. Other than Cotton, there was scant interest. Once again, Robusta CSOs showed tremendous interest trading more than half the volume of the Robusta outright options.