Morning bean option comment

The overnight session was decent as 3K contracts crossed the wire, which 40% of the volume came from paper rolling more of their longs in Nov as they bought 500 1100/1200 put spreads.  Heading into the morning, vol experienced zero decay from the weekend and caught a bid with the further slippage in futures around 7:00am. On the front end Jul firmed up over 1% due to 300 40 deltas being bought, while the .4% pop in Sep stemmed from when another customer bought 200 1300 puts.  By 7:45am, N was 1.4 to 24.1%, Q up .3 to 24.3%, Sep up .3 to 24.4%, X up .2 to 2.9%, F unchanged at 20.7%, H unchanged 19.6%, K unchanged at 18.7%, and N unchanged at 17.9%.

Soybean straddles

N 1510  53-55                                 IV 24.7%

Q 1440  100-102                             IV 24.5%

U 1360  118 1/2-121                      IV 24.4%

X 1320  147-150                              IV 23%

F 1320  159-163                              IV 20.7%

H 1320  169 1/2-173 1/2                IV 19.6%

K 1320  176-181                               IV 18.7%

N 1320  180-186                              IV 18.7%

X 1280  192-200                               IV 17.3%

Macquarie Trader

Thank you,

Kate Rosenberg