Bean Option Recap

Terrific day in bean options.  Great volume with good liquidity and in my opinion tremendous opportunity.  Last week I commented on the possibility of a pop in vol preceding tomorrow’s report as an opportunity to initiate some put ratio positions for a possible down move after the report.  Well we not only got the pop today but at one point it felt like vol was going parabolic.  Today was an old school day much like we experienced during the drought of 1988 and other big grain markets.  The only difference was that beans only ended moderately higher.  Occasionally before a big number we see order flow which reveals that some traders have waited until the very last day to cover some of their exposure to a report move.  Today was just that day.  Paper bought, and bought, and bought until the top came off. And then after SX vol capitulated at close to 31% it fell like a stone with next to no trade holding it up.  I feel there it is very likely to continue down tomorrow and don’t feel there was much risk shorting 30% vol unless we get a limit move tomorrow.  I like those odds.  We may not break tomorrow but I feel put ratios will perform regardless and today offered them at bargain prices.  SX vol 28.5 up 2.75, SZ vol 23.75 up .75, SF vol 21.75 up only .25 at the end of the day, and SH vol 21.25 up .25.

 

Straddles

SX 940 43-44 (traded as high as 48)

SZ 940 61.63

SF 940 76-78

SH 960 97-99

 

 

ABN bot 500 H 1000c 29

ABN bot 200 F 870p 12.75

EDF Mann bot 200 F 870p 12.5

Bunge bot 1000 x 950c 15.75-16.5

Bunge bot 1000 x 960c 12.75-13, sold 360 X fut 940

ABN sold 1000 x 970c, +500 x 950c. sold at 3.25-3.5

Drax sold 200 x 900p/960c strangle 21

ADM  sold 700 x 920p 12-12.25

Rose bot 1000 F 940/1000 c spread 25.5-26.25

Edf man bot 500 wk2 920p 6.5

Edf man bot 200 h 980c 38-39

Edf man bot 300 x 910p 9.375-9.5

Tenco bot 2000 wk2 900p 3.75

TJM bot 1300 x 930/950 c spread 9.5-11

TJM bot 2000 x 900p 7.75-9

ABN sold 400 h 1000c 30.5, bot 120 h fut 957

Rand bot 1000 x 910p 11.5

FC Stone sold 700 h 1000/1100 p spread 78.5, sold 168 h fut 959

Bunge sold 200 n 1000c 52, bot 92 n fut 972

Jeffries sold 400 x 920p/960c strangle 28, bot 8 x fut 940

ICAP bot 250 wk2 960c, sold 250 wk2 910p. paid 2.5

Jeffries sold 500 x 920p 14.5, sold 175 x fut 940

 

Jon Karmin (JSK)/Jeff Pogonitz (POG) Brokerage

 

Data source: Jon Karmin and Jeff Pogonitz bean option brokers