Coffee Traders' Forum - A Discussion about Coffee Futures Trading
Coffee Traders Discussion Forum
Options Review 5-10-18
*Tomorrow is expiration in June serial options in Coffee. Today we migrated towards the 120-Strike but could gain no real momentum. As of the close, the one-day straddle was priced at about 120-tics (one day IV 19.21). Approximately, 450 September calls, with strikes of 200 and above, traded today at prices .27 and lower. It is inexpensive, dollar amount, frost insurance. Like most insurance policies, it always looks expensive, until it isn’t. From the pricing of the trades, the 200/250/300 call butterfly was priced at 6-tics. Despite a 135-point range, which is pathetic, Coffee options traded more than 15,600 lots which led the Softs. While it’s difficult to get a sense of the market bias of the Coffee options, there certainly is a lot of participation. With at the money implied volatility at tragically low levels, the only thing keeping it there is a market that can’t seem to gain any significant legging.
*Highlighted Trades Today:
500 Robusta Coffee 1-Month CSO Sep18 5 call traded 6 vs. -7/-6. 100 Dec18 135.00 calls vs 124.50Δ34 traded 4.65 24.20 IV.
175 Jul18 120.00/137.50 call spread vs 118.50Δ36 traded 1.75. 300 Jun18 120.00 calls vs 119.40Δ31 traded .50 17.93 IV.
100 Sep18 125.00 straddle traded 11.16 vs. 121.30 21.60 IV. Paper sells. 500 Dec18 200.00/250.00 call spread vs 124.50Δ3 traded .48.
100 Sep18 150.00 calls vs 121.45Δ11 traded 1.01 32.11 IV.
150 Sep18 117.50 puts vs 121.50Δ35 traded 2.80 18.70 IV. Paper sells. 200 Jul18 117.50 puts vs 119.30Δ42 traded 1.60 17.56 IV. Paper sells. 200 Aug18 120.00 puts vs 121.40Δ50 traded 3.10 18.49 IV.
100 Sep18 160.00/190.00 call spread vs 121.60Δ4 traded .36.
500 Dec18 120.00/115.00 put spread vs 124.90Δ12 traded 2.13. Paper bought. 500 Robusta 1-Month CSO Sep18 5 call traded 6 vs. -6/-5.
For those who are looking to get long on dips, whether for frost protection or as a legitimate hedge, there are interesting spread transactions which can be implemented in order to meet those requirements. Discussing strategy is an enormous part of my day, but because this report goes out to a large audience, I may not be speaking with you. Please contact me to develop a dialogue. Let’s work on the appropriate strategy for you.
Although Cocoa didn’t exceed its average true range, it traded beyond its break-even point once again. July IV came into just about 30%. Check the table below for all of the details. WASDE came out and its movement was pretty much defined by yesterday’s final implied volatility numbers. Soybeans and Wheat, both of which had lower implied volatility than historical indicated that the report would be lacking in volatility. Corn options were a bit overpriced, and despite an early move, it also couldn’t make a volatile move.