Morning Bean Option Comment

“The overnight session was a drastic improvement from yesterday, as 5K contracts crossed the wire by the morning break.  The order flow on the front end of the curve propped up vol by .2% due to customers loading up on 700 35 delta calls in Jul, along with paper buying 500 Jul ATM puts.  However, 45% of the nightly volume came from the purchase of 1,100 Nov 1160/1340 combos covered up to futures at 1238.  Even with the sizeable order, the Nov skew remained unchanged as the 25 delta calls are still .5% over the 25 delta puts.  The combo was also a good opportunity for locals to get back some Nov downside, considering they are short everything from the 1000 to 1200 puts.  By  the  7:45 am, M was up .2 to 19.7%, N up .1 to 20.2%, Q up .1 to 22.1%, U up .1 to 21.9%, X up .1 to 21.3% F down .2 to 20.3%, H up .2 to 19.8%, K unchanged at 18.9%, and Jul up .1 to 18.7%.”

Soybean straddles

M 1410  57-59                                  IV 19.7%

N 1410  85 1/2-87 1/2                     IV 20.3%

Q 1350  115-117 1/2                        IV 22%

U 1280  124 1/2-127                        IV 21.9%

X 1240  145-148                               IV 21.3%

F 1240  160 1/2-163 1/2                  IV 20.3%

H 1240  173-178                               IV 19.7%

K 1240  177 1/2-183 1/2                  IV 18.9%

N 1260  189-196                               IV 18.7%

Q 1240  207-217                               IV 20%

Macquarie Trader

Thank you,

Kate Rosenberg