Morning Bean Option Comment

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The overnight session consisted of more of same from what has transpired the last three evenings, with dismal volume while a bulk of it comes in Aug and Nov due to repositioning a head of the USDA’s report.  With light order flow and the minimal movement in the flat price, vol across the entire curve experienced very little fluctuation by the 7:45am bell.  Currently, Q is unchanged at 22%, U unchanged 22.8%, V down .1 to 22.4%, X unchanged at 22.4%, F down .1 to 20.9%, H down .1 to 19.9%, K unchanged at 19.2%, N up .1 to 18.3%, and X up to 17.2%.

Soybean straddles

Q 1430  71 1/2-73                          IV 22%

U 1320  94 1/2-96 1/2                   IV 22.8%

V 1280  109 1/2-112                       IV 22.5%

X 1280  130 1/2-132                       IV 22.4%

F 1280  150-153                              IV 21%

H 1280  162-166                              IV 20%

K 1280  174-179                              IV 19.2%

N 1280  178-184                              IV 18.1%

X 1240  187-195                              IV 17%

Macquarie Trader

Thank you,

Kate Rosenberg