Morning Bean Option Comment

The overnight session had a respectable of volume cross the wire, but at the same time a majority of the order flow came in Jul as positions begin to be liquidated before it goes off the board at the end of this week.  Outside of Jul, business was quiet across the rest of curve with the biggest interest coming in Sep downside as 300 units were purchased in the 1200 line.  There was similar activity in Nov with someone purchasing 200 1160 puts and 150 1200 puts.  As a result, vol experienced zero decay from the weekend and was actually higher in every month by 7:45am.  Currently N is up 4 to 22.7%,  Q up .5 to 23.3%, U up .2 to 24%, X up .1 to 23.1%, F up .3 to 21.3%, H unchanged at 19.4%, K unchanged at 18.9%, and Jul unchanged at 17.8%.

Soybean straddles

N 1500  31 1/2-33                           IV 22.9%

Q 1430  87-89 1/2                           IV 22.4%

U 1330  108 1/2-111                       IV 24%

X 1280  140 1/2-143                        IV 23.2%

F 1300  158-161 1/2                        IV 21.3%

H 1300  164-168                              IV 19.5%

K 1300  172-177                              IV 18.5%

N 1300  177-183                              IV 18%

X 1260  186-194                              IV 19%

Macquarie Trader

Thank you,

Kate Rosenberg