Morning Bean Option Comment

The overnight action failed to match what we saw heading into yesterday morning, with low volume but once again the bulk of it transpired in Jul as remaining positions are liquidated before Friday’s expiration. With the minimal paper flow across the rest of the curve, vol was close to unchanged from where we went out in the previous session.  By the halt in trading, N was up .6 to 20.4%, Q up .1 to 23.2%, U down .1 to 23.8%, X down .1 to 23%, F unchanged at 21.2%, H unchanged at 19.4%, K up .2 to 18.9%, N unchanged at 18%, and X unchanged at 17%.

soybean straddles

N 1520  25-27                                  IV 20.4%

Q 1440 86 1/2-89                            IV 23.2%

U 1340  108-110 1/2                       IV 23.8%

X 1280  140-142 1/2                        IV 23.1%

F 1300  157-160 1/2                        IV 21.1%

H 1300  164-168                              IV 19.5%

K 1300  173 1/2-178 1/2                 IV 18.9%

N 1300  178-184                              IV 18%

X 1280  188-196                              IV 17.1%

Kate Rosenberg