Morning Bean Option Comment

The overnight activity was respectable as 2,700 contracts traded by the morning break.  Even with the slight pop in futures which was partially due to new rounds of showers expected throughout the upper Plains over the weekend, vol was slightly down across the entire curve.  The .2% slippage in X came from 300 1200 puts and 300 1300 calls being sold on the screen.  There was similar interest with U downside as customers sold 250 1260 puts at 24.1%.  The early order flow in each month had little effect on the skews, as the 25 delta calls in U remain .5% over the puts, while Nov is still flat.  By 7:45am, N was down 19.6%, Q down .2 to 23%, U down .1 to 23.9%, X down .2 to 22.9%, F down .1 to 21%, H down .1 to 19.4%, K down .2 to 18.8%, N  down .2 to 17.9%

…..Soybean straddles

N 1520  35-36 1/2                          IV 19.9%

Q 1430  90-92                                 IV 23.2%

U 1350  113-115 1/2                      IV 24.1%

X 1300  143-145 1/2                      IV 22.9%

F 1320  161-163 1/2                       IV 21%

H 1320  167-171                             IV 19.4%

K 1320  175-180                             IV 18..8%

N 1320  180-186                             IV 18%

X 1280  189-197                             IV 17%

Macquarie Trader