Bean Option Recap from Jon Karmin

Market trading modestly lower in beans until late when spreads firmed.  Again, paper focused on downside SX puts with several thousand SX purchased in particular.  Order flow in bean options has seen consistent SX downside put buying and upside call selling all year.  Consequently, the option skew is exceptionally flat with SX 1200 puts trading almost the same vol as the SX 1300 calls.  Last year there was a 1.5% spread between comparable strikes.  I believe if and when this market breaks we’ll see those spread differentials again.  The length in these puts will see some liquidation and the skew will steepen.  Conversely, if the market rallies, paper will see it as an opportunity to sell calls and the skew will stay flat.  Only a weather related explosion will steepen vol slope on a rally.  SQ vol 23.5 up .5. SU vol 23.75 firm, SX vol 23.25 up .25.


SQ 1420 78-79.5

SU 1320 102-105

SX 1280 136.5-138.5

Bunge bot 1000 Aug 1420 calls 37.5-38.5

RJ O’Brien bot 200 Nov 1280/1200 put spds 36 db   / bot 28 Nov futures 1270

FI sold 200 SDFU 1250 puts at 41

Bunge sold 300 SDFU 1280 calls at 44

ABN bought 1,000 Nov bean 1200 puts at 38-39.5

ABN sol 200 Aug 1480 calls at 15-16.5

Bunge sold 300 Nov 1280 calls at 62-62.5

Jon Karmin and Jeff Pogonitz Brokerage

Thank you,

Kate Rosenberg