Morning bean option comment

Much like the futures, there was minimal activity on the option side during the overnight session. The orders that did cross the wire were mainly from paper repositioning ahead of the report. The only notable trades were 300 Q 40 delta calls being purchased, which firmed vol up by .2%, while in Nov another 150 1300/1360 call spreads were bought, bringing the total to 1,500 over the last two sessions.  Nov implied vol also nudged .2% higher right before the halt when a customer loaded up on 200 1380 calls.   Across the rest of the curve, vol was unfazed once again coming into morning as it was slightly up from where we went out on Tuesday. As of 7:45am, N was up .3 to 22.5%, Q up .2 to 23.7%, U up .2 to 24.3%, X up .3 to 23.4%, F up .2 to 20.9%, H up .1 to 19.5%, K up .2 to 18.6%, N up .1 to 17.7%, X up .1 to 16.8%

Soybean straddles

N 1550  45 1/2-47                          IV 22.5%

Q 1460  96-98                                 IV 23.7%

U 1370  118-120 1/2                      IV 24.3%

X 1320  150-152 1/2                       IV 23.4%

F 1340  162-165                              IV 20.5%

H 1340  171-175                             IV 19.5%

K 1320  174-180                              IV 18.6%

N 1340  181-187                             IV 17.7%

X 1300 189-197                              IV 16.8%

-Macquarie Trade

Thank you,

Kate Rosenberg