Morning bean option comment

We saw more of the same during the overnight session as only 1,300 options traded by the early hours.  As a result of the light order flow, vol remained unchanged even with steady upward movement in the flat price.  The biggest order to hit the screen was someone buying 150 broken Jul call flies, as positions continued to be rolled around ahead of Friday’s report.  Besides the fly, Jul softened .1% as another 150 calls were sold in the 1400 line.  The 1400 calls were an active area yesterday as 1,500 units were unloaded, which resulted in front month vol getting whacked .4%.  Before the break, M was unchanged at 17.9%, N down .1 to 18.5%, Q unchanged at 20.8%, U up .1 to 20.7%, X unchanged at 20.1%, F unchanged at 20.1%, H unchanged at 18.6%, and K up .1 to 18.3%.

Soybean straddles

M 1390  42-43 1/2                          IV 17.9%

N 1390  71-73                                 IV 18.5%

Q 1330  102-104 1/2                      IV 20.8%

U 1260  111-114                             IV 20.6%

X 1220  132-134 1/2                      IV 20.1%

F 1220  148-152                              IV 19.3%

H 1220  159-164                             IV 18.6%

K 1240  168-174                              IV 18.3%

N 1240  179-187                             IV 18.1%

Macquarie Trader