Bean Option Recap From Jon Karmin

Beans were off hard today after SU options expired Friday and more significantly SU capitulated this morning at 153.75 and then proceeded to break nearly 50 cents in 1 hour dragging down SX with it.  We traded to contract lows.  There was much discussion before this break if vol would actually rise on new lows from new put buying or come under pressure from long put liquidation. It is up today but I believe it could come under pressure in the short term.   We will not see much of an expansion of vol for one main reason and that is that there is no disputing that this crop is large the question is just how large.  So I don’t see a futures gap lower which would take a surprise and there is not much which could happen to surprise us at this point.  I believe we will see an orderly grind lower which will not allow for any panic therefore keeping vol from exploding. There will be upticks in vol but I don’t believe it will be sustained.  SV vol 20 up .25, SX vol 20.25 up .75, SF vol 18.75 up .5, SH vol 18.25 up .25.

 

Straddles

SV 1030 49-50

SX 1030 67-68

SF 1040 88-89.5

SH 1040 104-106

 

Obrien Sold 250 Nov 1040/1080 Call spds 15.5-15.75 credit

Obrien Bot 500 Jan 980 Puts/ Sold 250 Nov 1040 Puts 5.5-5.75 db

JP Morgan Sold 250 Mch 1200/1380 call spds 7.875 credit

JP Morgan Sold 250 May 1200/1380 Call spds 11.5 credit

Obrien Bot 3000 Jan 980 Puts/ Sold 2000 Nov 1040 Puts 9.5-11 credit

Macquarie Sold 500 Oct 1050 Calls 18.5/ Bot 210 Nov futures 1036

ICAP Sold 400 Nov 1060/1020 Put spds/ Sold 400 Nov 1050/1020 Put spds 35 credit

ABN Sold 2500 Nov 1060 Puts 47/ Sold 1500 Nov futures 1036

JP Morgan Bot 400 Mch 1300 Calls .875

JP Morgan Sold 200 Jan 1100/1300 Call spds 18 credit

FI Bot 200 Nov 1100 Calls 9.125

Macquarie Bot 400 Nov 1000/950 Put spds 13 db

RosenthalSold 200 Nov 1090 Calls 11.5/ Bot 48 Nov futures 1030

ADM Sold 500 Nov 960 Puts 10.75

FI Sold 1000 Nov 1060/1000 Put spds 29 credit

 

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

 

Data source: Jon Karmin and Jeff Pogonitz bean option brokers