Wheat options by Thomas Barry (TQB) Another session short on direction.
The volume numbers (4500 and change) in the options reflect the tone here lately, with almost no concrete evidence of a trend developing, and therefore not enough reason to lift or push us away from the $7.00 market in the July. Going back to last Thursday, we’re essentially treading water and waiting for the flow to tell us how this situation is being perceived. July implied gained a bit back from earlier levels, but was still weaker on the day, while Sept implied went out 29% with almost nothing trading there. That is simply local sentiment being reflected in the markets and not actual results of activity. Customer action is still mostly confined to the front. ABN was buying the July 660 puts for 4 and 4 1/4 for a total of 1000 on the day. That was the biggest trade on Wednesday in the pit. The screen trade saw almost as much interest in the 650 puts and the 800 calls in July. ADM was an early seller in the upside July 720 and 750 calls, with roughly 500-800 of each trading. Wheat options locals know that July implied is running rather cheap now, and although they certainly don’t prefer to be simply adding to their long inventories, they are also quite aware of how swiftly things in this time frame can change. Paper bids in the July straddle are being closely watched, and the hint of any sort of high volume bidding and scooping up at these fresh lower levels will almost certainly send them running for higher implied ground. But with so little time left, and with June options long gone, it becomes a delicate game of chicken here with the July. There will come a time when the open longs develop weak hands, and that’s when it will really get tricky for the July. Paper is still not interested or deceptively coy….or maybe a combination of the two. Either way, it’s not easy being a local right now. ATM^ WHEAT VOLS N 700^ 36-38 25 1/2 Q 710^ 65-67 29 U 710^ 79-81 29 Z 720^ 107-109 26 3/4 H 740^ 121-125 24 3/4
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