Morning bean option comment

Bean futures edged higher overnight as every month went out in positive territory before the break. On the option side, over 2K contracts traded on globex which marked the most active nightly session so far this week. Once again, a majority of the order flow came in the front month as 850 units were purchased between the 1440 and 1450 calls, along with someone buying 400 40 delta puts. Even with the business, vol has remained closed to unchanged in every month. Before the halt, K was unchanged at 15.4%,M up .1 to 16.9%, N up .1 to 17.6%, Q up .1 to 19.6%, U up .1 to 20.3%, X up .1 to 20.4%, F up .1 to 19.6%, H up .1 19.4%, and K up .1 to 19.2%.

Soybean straddles
K 1410 34 1/2-36 IV 15.4%
M 1380 63-65 IV 16.9%
N 1380 84-86 IV 17.5%
Q 1340 111 1/2-114 IV 19.6%
U 1280 124-127 IV 20.3%
X 1220 144 1/2-147 IV 20.4%
F 1240 161-165 IV 19.6%
H 1240 174-179 IV 19.3%
K 1240 184 1/2-190 1/2 IV 19.2%
N 1260 199-206 IV 19.3%

– Macquarie Trader