Bean Option Recap From Jon Karmin

Beans traded both sides of unchanged today but more significantly vol rose to recent highs and provided a nice opportunity to initiate put ratios at a low cost.  I’m not sure if beans will necessarily go down after the report but unless we really ratchet higher, which will be challenging after this rally, I don’t see much risk in these trades if the right strikes are chosen.  I believe vol will depreciate from these levels so even if we don’t move lower I think these trades have minimal risk.  SG vol 26.25 up 1.25, SH vol 24.5 up .5, SK vol 23.25 firm, SN vol 23.25 up .25, SX vol 21.5 up.5.

 

Straddles

 

SG 1050 47-48

SH 1050 71.5-72.5

SK 1060 106.5-107.5

SN 1060 114.5-116

SX 1020 154-155.5

 

JP Morgan Bot 300 Mch 1140 Calls 9

ABN Sold 500 Mch 1060 Calls 35/ Bot 250 Mch futures 1057

ABN Sold 500 Mch 1060 Calls 31.5/ Bot 240 Mch futures 1050

TJM Sold 300 Mch 1030 Puts 24

FI Bot 250 May 1200 Calls 13

FI Bot 500 May 1000/920 Put spds 17.5-18.25 db

ABN Bot 1000 Mch 1040/1000 Put spds 13.625-14.5 db

FI Bot 400 Mch 920 Puts 3.875-4

TJM Bot 3000 May 920/880 Put spds 4.75-5 db

Rosenthal Sold 700 Mch 1100 Calls 16.5-16.75

JP Morgan Bot 200 Mch 1080 Calls 23

JP Morgan Bot 200 May 1100 Calls 34.5

Obrien Bot 200 Feb 1000/970 Put spds 4 db

Rosenthal Bot 300 Feb 1020 Puts 11

Rand Bot 2000 Mch 970 puts 10.25-10.5/ Bot 320 Mch futures 1050

Obrien Bot 250 Mch 1000 Puts/ Sold 200 Mch 1100 calls even

Macquarie Sold 260 Nov 1140 Calls 37/ Bot 84 Nov futures 1023

Macquarie Bot 1000 Mch 1060/1100 Calls spds 15.5-16.5 db

TJM Sold 250 Mch 1060 Straddles 72.375-72.75

FI Bot 250 Nov 1000/900 Put spds / Sold 200 Nov 1200 Calls 13.5 db

FI Bot 500 May 920/880 Put spds 4.875 db/ Bot 20 May futures 1057

 

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

 

Data source: Jon Karmin and Jeff Pogonitz bean option brokers