Morning Bean Option Comment

The overnight session had a respectable 6K contracts trade by the 7:45 break.  Around 70% of the nightly order flow came in Jul, which typically the week of expiration there will be a surge in volume numbers, but in the front month as remaining positions are liquidated before its goes off the board.  Vol in the old crop contract firmed up .4% as a result of 1,200 units being purchased between the Jul 1400 and 1420 lines, along with 300 40 delta puts.  There was also a fair amount of interest in the Jul 1500 calls once again as customers bought 600 units. On the back end of the curve, it was a slightly different story as Nov vol came off .1% due to 300 1300 calls being sold on the screen.  The early slippage was a carryover from yesterday as the new crop contract softened .6% over the course of the day before a late pop as we neared the closing bell.  By the halt, M was up .2 to 20.1%, N up .4 to 19.2%, Q unchanged at 20.4%, U up .1 to 20.1%, X down .1 to 19%, F unchanged at 18.4%, H unchanged at 18%, K down .2 to 17.8%, and N down .1 to 17.3%.

Macquarie Trade