Morning bean option and corn option comment

Beans

The overnight action failed to stir up any real excitement as only 1,100 contracts crossed the wire by the early hours.  As the flat price dipped lower around 5:00am, there were buyers back in for the May 1400 puts as 200 were purchased on the screen.  There was similar interest in Jun as 250 units were scooped up between the 1330 and 1340 lines.  With the lack of order flow, vol was unable to add to yesterday’s gains as a majority of the months were unchanged by the morning halt.  By 7:45am, K was unchanged at 19.7%, M unchanged at 18.6%, N up .1 to 19.7%, Q up .1 to 21.1%, U down .1 to 20.9%, X up .2 to 21.1%, F unchanged at 19.8%, H unchanged at 19.2%, and K unchanged at 19%.

soybean straddles

K 1430  28-29 1/2                           IV 16.8%

M 1390  64 1/2-66 1/2                    IV 18.7%

N 1390  90-92                                  IV 19.7%

Q 1340  115 1/2-118 1/2                 IV 21.1%

U 1260  123-126                               IV 20.9%

X 1220  146 1/2-149 1/2                  IV 21.1%

F 1220  158 1/2-162 1/2                  IV 19.8%

H 1240  172-176                               IV 19.3%

K 1240  181-186                               IV 19.1%

N 1240  194-200                               IV 19.1%

Corn

 

after settling above 30% for the first time, U opens softer. paper sold 250 U 570 straddles at 29.7% on the open.  very limited action, unlike the past two days.  vol slightly softer across the curve as the flat price is trading sideways.  big trades to start the day is paper is buying the Z 500/450 put spread once again today. bought 1250 paid 14-14 1/4. and paper bought 2000 short N 570c covered delta neutral.  K/M/N unch. U down .4%, Z down .2%

corn straddles:

K 650            18-20                IV 24.4

M 630          38.5-40.5           IV 25

N 630            54-56                IV 26.25

U 570          78.5-80.5            IV 29.75

Z 540            91-92.5              IV 27.7

 

 

 

 

 

 

          Macquarie Trader