Morning bean option comment

The overnight session fell short once again of producing any big surprises as the volume was light with minimal fluctuation in vol. The give you an idea on how thin the paper flow was the biggest order was a 70 lot of the 1200 puts being purchased in Nov.  Along with vol, there was also zero movement in the skews as the 25 delta calls in every month remain an average of .2% over the 25 delta puts, which has been the recurring theme the last several weeks.  By the halt in trading, Q was unchanged at 23.3%, U unchanged at 24%, V up .1 to 23.6%, X up .1 to 23.3%, F up .1 to 21.5%, H up .2 to 20.3%, K up .1 to 19.6%, N up .1 to 18.7%, X up .1 to 17.6%

Soybean straddles

Q 1430  77 1/2-79 1/2                   IV 23.3%

U 1320  101 1/2-104                      IV 24%

V 1280  117-119 1/2                      IV 23.9%

X 1280  136 1/2-139                      IV 23.3%

F 1280  155-158 1/2                      IV 21.5%

H 1280  165 1/2-169 1/2               IV 20.3%

K 1280  176-180                             IV 19.7%

N 1280  181-186                             IV 18.7%

X 1260  191-198                             IV 17.6%

Macquarie Trader

Thank you,

Kate Rosenberg