Bean Option Recap

Beans continued their sell-off today and as of this writing were 50 cents off the high made last Friday.  The rally late yesterday off the lows appears to simply be a short covering rally.  Interestingly, today I saw some fairly aggressive put buying in lower strike options which tells me the risk managers are forcing traders to cover some of their down side exposure.  The next 30-60 days should give us some decent volatility and I believe we will be at an entirely different price level come the second week in July.  Vol was generally steady today.  SK vol 21 up 1, SM vol 22.5 unch, SN vol 22.5 unch,  SX 20.25 unch.

 

Straddles

 

SK 1480 25-26

SM 1480 78-79

SN 1480 104-106

SX 1220 140-142

 

Marex bot 400 SK 1510 puts 14

Jefferies bot 400 SN 1470 puts 41.5 bot 160 SN 1493

GFI bot 1300 SX 1000 puts 7.25

Vision bot 1000 SN 1220 puts 1.375

ABN sold 1000 SN 1400/1600 strangles 36.25

ICAP bot 1600 SN 1330 puts 8.75-8.5

Rosenthal bot 1700 SN-SX CSO 200 puts 13-13.75

Fimat bot 1500 SQ 1200/1300 put spreads 17-16.75

 

Jon Karmin and Jeff Pogonitz Brokerage

 

Data source: Jon Karmin (JSK) bean option broker