Bean Options Comment

Active options trade but futures didn’t really go anywhere on this pre-report day.  There was moderate selling as traders feared this report would not amount to much and premium would go south.  I am sensing some complacency about tomorrow’s numbers.  There have been years which we’ve ratcheted off the January number so the cheap vol we are seeing may not be warranted.  We’ll know more tomorrow.  SG vol 19.5 down .5, SH vol 17.125 down .5, SK vol 17.625 down .375, SX 17 down .5.

 

Straddles

 

SG 1270 42.5-43.5

SH 1270 61-62

SK 1260 95-97

SX 1100 133-135

 

ABN Bot 200 Nov 1060/1020 Put spds 14.5 db

Rosenthal Sold 300 SDFH 1150 Calls 7

Fimat Bot 1000 Nov 1400/1500 Call spds 3.5 db

Macquarie Bot 400 Feb 1270 Straddles 43-44.5

ADM Sold 350 Nov 1120 Puts/ Bot 350 May 1260 Puts 25.5 credit

FI Sold 300 Feb 1260 Puts 15-15.5

FI Bot 500 May 1260 Puts 51.75/ Bot 250 May futures 1254

Tenco Bot 200 Feb 1320 Calls 6.375-6.5

Merrick Bot 1000 Feb 1320 Puts 54.75/ Bot 800 Mch 1271

ICAP Sold 2500 Mch 1350 Calls 6.75-7.25/ Bot 470 Mch futures 1274-1275

Tenco Bot 300 May 1220 Puts Puts 33.25/ Bot 108 May futures 1255

Tenco Sold 200 Nov 1000 Puts 26.5

ADM Bot 200 Mch 1340 Calls 8.625-9.125

Macquarie Sold 200 Mch 1230 Puts/ Sold 200 Mch 1320 Calls 26.5 credit

Rosenthal Sold 1000 May 1220 Puts / Bot 3000 May 106 Puts 22 credit

FI Sold 500 Nov 1120/1160 Call spds 15.25 credit

Rosenthal Sold 500 SDFH 1100 Straddles 45-46

GFI Bot 400 May 1220/1200 Put spds 7.25 db/ Bot 24 May futures 1255

FI Bot 250 Feb 1310/1340 Call spds 5 db

FI Bot 250 Feb 1320/1350 Call spds 3.75 db

Rand Bot 1000 Mch 1230 Puts/ Sold 1000 WK2 1270 Puts 4 db

Rosenthal Sold 250 Mch 1300 Straddles 64/ Sold 60 Mch futures 1275

 

Jon Karmin and Jeff Pogonitz Brokerage