Bean Option Recap From Jon Karmin

SX held the 1020 area for the third day in a row.   From a technical perspective markets often take three attempts at penetrating a support before it can be successfully cleared.  I’m not sure when we will next toy with those contract lows but it will be interesting to see if there is any follow through the next time we are there.  Vol was soft as we experienced a day of consolidation.  There was moderate selling across all months.  Again, the put skew remained very steep.  Out of the money calls are offered and downside puts are bid.  This seems very reflective of the sentiment on flat price(lower).  I’ve been talking about the 18% vol level in SX for some time now and it appears that we can hang around it and hold it for at least until the September report.  Paper feel comfortable selling vol whenever we get much above 18% and locals seem willing to buy vol at or around the 18% area.  SV vol 18 down .5, SX vol 19.5 down .25, SF 18.5 down .25, vol  SH vol 18.25 steady.

 

Straddles

 

SV 1030 42-44

SX 1030 63-64

SF 1040 88-90

SH 1040 106-108

 

ICAP Bot 500 Nov 1140 Calls 2.75

Goldman Bot 2000 Mch 900 Puts/ Sold 2000 Nov 900 Puts 8-8.5 db

Goldman Bot 600 Mch 1000 Puts/ Sold 600 Nov 1000 Puts 14.125-14.25 db

Macquarie Bot 300 Jul 740 Puts 2.75/ Bot 9 Jul futures 1050

Tenco Sold 200 Oct 950 Puts/ Sold 200 Oct 1080 Calls 6.75 credit

DRAX Sold 400 Jul 1100 Calls/ Bot 800 JUl 1200 Calls 10.25-10.5 credit

FI Sold 500 Mch 940 Puts/ Bot 500 Mch 1140 Calls 2 credit/Sold 220 Mch futures 1040

JP Morgan Sold 500 Oct 960 Puts/ Sold 500 Oct 1060 Calls 12-13 credit

Jefferies Bot 200 Jul 1000/900 Put spds 26 db

Rosenthal Bot 450 WK5 1040 Calls 2

ADM Bot 300 Mch 960 Puts/ Sold 300 Nov 960 Puts 13.5 db

 

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

 

Data source: Jon Karmin and Jeff Pogonitz bean option brokers