Morning Bean Option Comment

The volume from the overnight was strongest all week, as almost 6k contracts traded by 7:45am.  As we have seen the last two days, a majority of the paper flow came in the back months.  The biggest order was in U as 1K 1200/1300 put spreads were purchased, which with 50 vega or the equivalency of 380 ATM’s puts, firmed up implied vol by .3%.  Along with U, X vol also nudged slightly higher as another 850 1340 calls covered up, were bought on the screen for 19.7%.  A similar order hit wire before yesterday’s daily session, which brings to the total to now 1,500.  Before the halt, N was up .1 to 20.4%, Q up .1 to 21.4%, U up .2 to 20.7%, X up .3 to 19.6%, F up .3 to 18.5%, H unchanged at 17.9%, K up .2 to 17.4%, N up .2 to 16.7%, and X4 up .2 to 16.5%.

Soybean straddles

N 1510  60-61 1/2                            IV 20.6%

Q 1430  96-98                                   IV 21/4%

U 1340  106-108 1/2                        IV 20.8%

X 1300  127 1/2-130                         IV 19.5%

F 1300  143-147                                IV 18.5%

H 1300  156-160 1/2                         IV 17.9%

K 1300  160-165                                IV 17.1%

N 1300  168-174                                IV 16.7%

X 1280  183-191                                IV 16.3%

Macquarie Trader