Bean Option Comment from Jon Karmin

Per yesterday’s comments it won’t take much to hit vol in SX.  SX 1280 straddle settled yesterday at 135.  As of this writing it is trading 131.5.  We had some decent selling but nothing extraordinary.  Historically, when this selling gets started it can accelerate quickly.  Unless we get some sort of surprise in the Friday report I see the SX straddle trading under 130 by the end of the week and possibly in the upper 120’s.  That is a far cry from the 138-139 we saw as early as Monday.  Futures feel as though we may not get the bigger break I am looking for until we take the weather premium out of the market so the option premium holders whom may look to lighten up in the short term.  SQ vol 22.5 down .5, SU 23 down .5, SX 22.25 down .5.

 

Straddles

SQ 1420 72-73

SU 1320 1320 95-96.5

SX 1280 131-132

 

ABN sold 1500 Nov 1320 straddles 139-140.5/ sold 270 Nov futures 1275

Tenco bot 600 Nov 1220 puts 42-42.25

Bunge sold 450 U/X 40 straddles 33-30 (CSO)

Bunge bot 1000 U/X even puts 3 (CSO)

Macquarie sold 600 Nov 1300/1400 call spds 29 credit/ bot 120 Nov futures 1272

Jefferies bot 400 Nov 1260/1200 put spds 24.5 db/ bot 64 Nov futures 1276

Macquarie sold 250 Aug. 1400 puts/ bot 250 Aug. 1460 calls 2.5 credit/ sold 185 Aug. futures 1425

RJ Obrien sold 200 Nov 1200 puts at 33

 

Jon Karmin and Jeff Pogonitz Brokerage

 

 

Thank you,

 

Kate Rosenberg