Morning Bean Option Comment

1

As of 7:45am, option’s volume fell just shy of the 1,500 contracts.  75% of the overnight order flow came from the front two months as a customer sold out 175 K ATM calls, while buyers loaded up on 350 units in the M 5 delta calls.  The minimal fluctuation in vol across the board mirrored the lack of business and movement in the flat price.  Before the halt, K was up .8 to 17%, M up .2 to 19.4%, N unchanged at 20%, Q down .1 to 21.4%, U unchanged at 21.3%, X unchanged at 21.1%, F down .1 to 20%, H up .1 to 19.5%, K unchanged at 19.2%, and N down .1 to 19%.

Soybean straddles

K 1420  19 1/2-21                          IV 16.9%

M 1360  61-63                                IV 19.3%

N 1360  87 1/2-89 1/2                   IV 20%

Q 1360  113 1/2-116 1/2               IV 21.6%

U 1240  121 1/2-124 1/2               IV 21.4%

X 1200  142 1/2-145                      IV 21.1%

F 1200 156 1/2-160 1/2                 IV 20%

H 1220  168 1/2-173 1/2               IV 19.4%

K 1220  178-184                             IV 19.3%

N 1220  188-196                             IV 19%

          Macquarie Trader

Thank you,

Kate Rosenberg