There was quite a bit of volume in Sugar options early Monday, but much of it was centered on three-ways, fences and call spreads. That helped pump up the volume pretty quickly. With both Coffee and Sugar selling off more than 2% by 10 AM there was considerable interest in those products. Cocoa and Cotton continued their doldrums with early volume in both almost non-existent. For those interested at looking at potentially good risk/reward long opportunities in both Coffee and Sugar, the implied volatility skew provides some interesting opportunities. The table below provides analysis of limited risk bullish positions that we were looking at this morning. It’s particularly interesting to those who have an inherent need to get long to hedge requirements. The position involves buying a call spread and selling a put spread; both have limited risk. In both cases it is possible to buy the call spread and sell the put spread for a credit despite the fact that the call spreads and the put spreads are about equidistant from the current price of the futures. The skew, particularly in Coffee, might make this interesting. If a position like this is intriguing to you, contact me to discuss the possibilities. Highlighted trades and today’s statistics are shown below. Have a good night.

 

 

Sugar July

Strike

Strike

 

 

Futures Px

Long Call

Short Call

Long Price

Short Price

19.15

19.75

20.25

0.80

0.64

 

 

 

 

 

 

Short Put

Long Put

Short Price

Long Price

19.15

18.50

18.00

0.69

0.49

 

 

 

 

 

Distance to Call Spread:

 

0.60

 

Distance to Put Spread:

 

0.65

 

Credit for Selling Put Spread:

 

0.04

 

Maximum Gain=

0.54

 

 

 

Maximum Loss=

0.46

 

 

 

 

 

 

 

 

 

 

 

 

 

Coffee July

Strike

Strike

 

 

Futures Px

Long Call

Short Call

Long Price

Short Price

144.95

152.50

157.50

5.52

4.17

 

 

 

 

 

 

Short Put

Long Put

Short Price

Long Price

144.95

137.50

132.50

4.53

2.72

 

 

 

 

 

Distance to Call Spread:

 

7.55

 

Distance to Put Spread:

 

7.45

 

Credit for Selling Put Spread:

 

0.46

 

Maximum Gain=

5.46

 

 

 

Maximum Loss=

4.54

 

 

 

 

 

Sugar Jul17 18.00/16.00 put spread vs sell 21.50 call traded-.01/flat 1000x 9:13 AM

Sugar Buy Jul17 20.00 calls - Sell May17 20.00 calls - Sell May17 23.00 calls traded.05/.10 1000x 9:13 AM

Sugar Jun17 18.00 puts vs 19.18Δ28 traded .35 200x 23.26 IV 11:02 AM

Sugar May17 22.00 call traded .15 500x vs. 19.25 31.21 IV 11:50 AM

Sugar May17 19.00/17.75 put spread vs 19.20Δ26 traded .46 750x

Sugar Jul17 22.00/24.00 call spread vs 19.12Δ10 traded .17 1000x 12:49 AM

 

Coffee May17 155.00 calls vs 145.10Δ26 traded 2.35 600x 27.93 IV 8:36 AM

Coffee Jul17 160.00/150.00 (2x1) call spread traded 1.20 335x vs. 146.35 8:50 AM

Coffee Jul17 160.00 calls vs 146.25Δ28 traded 4.05 150x 28.49 IV 9:25 AM

Coffee May17 145.00/150.00 call spread vs 144.75Δ14 traded 1.85 350x 9:35 AM

Coffee May17 145.00 puts vs 142.60Δ54 traded 6.65 100x 25.82 IV 10:07 AM

Coffee May17 155.00/165.00 call spread traded 1.02 1000x vs. 142.50 11:24 AM

Coffee May17 155.00 calls vs 142.50Δ22 traded 1.67 180x 27.65 IV 11:45 AM

 

Cocoa Futures - NYCC - May17 2000 puts vs 1990Δ51 traded 74 25x 26.06 IV 10:48 AM

 

Cotton Jul17 75.00/82.00 call spread vs 76.80Δ28 traded 2.51 80x 8:51 AM

Cotton May17 77.00 straddle traded 4.50 vs. 76.90 19.93 IV 275x 10:57 AM

Cotton Jul17 74.00/70.00 put spread vs 77.90Δ15 traded 1.08/1.10 375x 11:34 AM

 

*The Options Table below provides the approximate straddle price end of day, its implied volatility, the break-even point that the underlying contract must move to make up for the decay of the options, the 20-Day historical volatility of the underlying contract and the 9 and 14 Day relative strength index of the front month. Feel free to contact me with any questions or to discuss strategy.

 

Fred Oltarsh

Options & Futures Execution, Strategy, Analysis and Risk Management

Main: 212-549-4100

Direct: 212-549-4114

Cell: 917-656-1767

Email: fred.oltarsh@intlfcstone.com

ICE Chat: foltarsh1

 

 

2/27/2017

 

 

 

 

 

 

 

20 Day

RSI

RSI

SB

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

J17

1924

1925

86

24.51

29.8

3/15/17

4840

24.55

27.72

34.91

K17

1924

1925

155

27.04

32.9

4/17/17

17363

24.55

 

 

N17

1911

1900

202

23.92

28.9

6/15/17

11251

21.94

 

 

V17

1913

1900

234

20.57

24.9

9/15/17

4851

18.44

 

 

 

 

 

 

 

 

Total =

38305

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

KC

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

J17

140.83

140.00

538

24.01

2.138

3/10/17

4501

22.61

28.05

34.16

K17

140.83

140.00

1020

25.05

2.231

4/12/17

7536

22.61

 

 

N17

143.15

142.50

1605

26.11

2.364

6/9/17

1928

22.03

 

 

U17

145.43

145.00

2105

26.66

2.452

8/11/17

2756

21.81

 

 

 

 

 

 

 

 

Total =

16721

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

CC

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

J17

1975

2000

51

23.01

28.7

3/3/17

151

27.49

40.97

40.37

K17

1975

2000

135

24.87

31.1

4/7/17

453

27.49

 

 

N17

1986

2000

208

25.30

31.8

6/2/17

231

26.27

 

 

U17

2002

2000

267

25.09

31.8

8/4/17

3

25.47

 

 

 

 

 

 

 

 

Total =

838

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

CT

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

K17

76.11

76.00

435

19.46

0.937

4/13/17

2352

14.27

49.22

52.62

N17

77.24

77.00

702

20.48

1.000

6/16/17

2593

13.33

 

 

Z17

74.10

74.00

902

18.05

0.816

11/10/17

90

9.25

 

 

 

 

 

 

 

 

Total =

5035

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures:

 

 

 

 

 

 

 

 

 

 

2/27/2017 15:05

 

 

 

 

 

 

 

 

 

9 Day  

Symbol

Product

Last

Net Chng

Volume

High

Low

ATR

His. Vol

Imp Vol

Mov. Avg.

/6BH7

Brit Pound

1.2446

-0.0015

   104,275

1.2481

1.2384

0.0112

0.080

0.096

1.2474

/6CH7

Can Dollar

0.7604

-0.0032

     53,582

0.7644

0.7600

0.00518

0.055

NA

0.7630

/6EH7

Euro

1.0597

0.0027

   163,791

1.0636

1.0557

0.0082

0.068

0.093

1.0596

/6JH7

Yen

0.00887

-0.000064

   124,494

0.008939

0.008865

9.04E-05

0.099

0.124

0.00884

/CC[H7]

Cocoa

1974

-20

     19,055

2008

1967

50

NA

NA

1994

/CL[H7}

Crude Oil

54.07

0.08

   367,551

54.61

53.94

1.06

0.18

0.240

53.75

/CT[H7]

Cotton

76.10

-0.47

     12,290

77.14

76.03

1.17

0.19

NA

75.61

/DX[H7]

Dollar Index

101.11

0.02

     23,718

101.28

100.68

0.64

0.06

0.128

101.032

/ES[H7]

E-mini S&P

2369.50

4.50

       875,799

2370.00

2361.00

15.55

0.05

0.120

2355.56

/GC[J7]

Gold

1256.00

-2.30

   184,982

1264.90

1254.10

14.30

0.10

0.100

1242.2

/HG[H7]

Copper

2.6950

-0.0010

     60,558

2.704

2.6675

0.0636

0.28

0.447

2.7108

/HO[H7]

Heating Oil

1.6491

0.0009

     45,200

1.6728

1.6449

0.0378

0.18

0.429

1.6388

/KC[H7]

Coffee

140.80

-5.45

     21,191

146.00

140.60

3.37

0.24

0.390

147.83

/NG[H7]

Natural Gas

2.697

-0.090

   111,517

2.721

2.659

0.123

0.54

0.442

2.76

/NQ[H7]

E-mini NDQ

5344.50

1.25

   130,264

5352.50

5323.25

37.89

0.06

0.130

5326.28

/OJ[H7]

Orange Juice

157.10

-7.95

       2,273

165.00

155.05

5.47

0.43

0.360

172.31

/PA[H7]

Palladium

784.00

11.05

       5,598

789.70

769.05

17.33

0.20

NA

780.01

/PL[J7]

Platinum

1033.10

4.40

     18,127

1047.80

1027.70

16.70

0.10

0.200

1014.3

/RB[G6]

Unlead Gas

1.7418

0.0053

     45,732

1.7611

1.7325

0.0567

0.59

0.414

1.547

/SB[H7]

Sugar

19.24

-0.57

     90,193

19.84

19.10

0.52

0.28

NA

20.27

/SI[H7]

Silver

18.365

-0.041

     66,142

18.54

18.355

0.28

0.14

0.435

18.099

/YM[H6]

Dow

20823

36

   107,416

20832

20748

134

0.00

0.000

20683

/ZC[H7]

Corn

369.25

-1.50

   279,339

372.50

367.25

5.56

0.16

0.220

370.47

/ZS[H7]

Soybeans

1024.50

0.25

   109,439

1029.25

1017.00

15.74

0.18

0.210

1031.83

/ZW[H7]

Wheat

439.50

-8.50

     86,054

447.75

438.00

10.06

0.24

0.250

442.22

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
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