Morning bean option comment

The overnight session lacked any huge surprises as a bulk of the volume once again came from the back end of the curve, as customers bought 1,400 calls covered up between the 1300 and 1340 lines, which resulted in vol firming up by .1%.  Outside the calls, there was very little action in 1200 and 1240’s compared to yesterday when over 6K straddles swaps were purchased on the screen.  With the focus mainly in Nov, vol across the rest of the curve was close to unchanged by the morning break due to lack of order flow and movement in the flat price.  Before the halt, N was unchanged at 22.5%, Q unchanged at 22.4%, U down .2 to 21%, X up .1 to 19.8%, F unchanged at 18.6%, H unchanged at 17.8%, K unchanged at 17.6%, N unchanged at 16.7%, and X unchanged at 16.4%

 

Soybean straddles

N 1490  66 1/2-68                           IV 22.9%

Q 1420  100 1/2-102 1/2                IV 22.4%

U 1330 108-110                               IV 21.2%

X 1280  127-129 1/2                        IV 19.7%

F 1300  145-148                               IV 18.7%

H 1300  155-159                               IV 17.8%

K 1280  163-168                               IV 17.6%

N 1300 168-174                                IV 16.8%

X 1280  184-192                                IV16.4%

 

Macquarie trader