English
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
