Sugar began the day with excellent volume. Two trades accounted for in excess of 7,000 lots by 8:00 AM. The details are shown below. In addition, there was early volume in September, 2017 Coffee options with a fence trading in size. If one buys the out of the money call and sells the out of the money put in Coffee to finance it, it may not be nearly as good value as the strategy discussed last night. Although the fence, for the buyer of the call, provides unlimited upside, if you compare the value of the outright options, their implied volatility and the distance to the strike, buying the call spreads and selling the put spreads might be a much better fit for one’s trading parameters. Cocoa’s volume increased today as well, as the market continued its descent. Some of the volume was in relatively inconsequential trades. The 300 lot May 2500 put trade below, is the perfect example. The trade was essentially the May 2500 call trading synthetically for flat. Analyzing trades often shows that volume is not particularly meaningful. In addition, the Cocoa market had a butterfly trade, also shown below, that constituted 5000 lots, however, while it provided for a lot of volume, it didn’t tell much about Cocoa options in general. It did, however, substantially pump up the volume. Today’s volume was the most in the major months that I follow, and probably overall, since February 2nd.

 

An abundance of trading activity from today is shown below, but it would be helpful to receive comments in order to improve the information that I provide. Many of you have provided excellent input. I look forward to additional dialogue. Please feel free to contact me. Have a good night.

 

 

Sugar May17 18.00 puts - Jul17 23.00 calls Δ21 May17 19.28 Jul17 19.16 traded .09/.10 3000x 6:53 AM

Sugar Jul17 20.00/18.50 fence (to the call) vs 19.28Δ75 traded .12 650x 7:39 AM

Sugar May17 21.00 calls vs 19.35Δ24 traded .30 350x 30.18 IV 8:07

Sugar Jul17 17.00 puts vs 19.16Δ16 traded .21 150x 22.98 IV 11:28 AM

Sugar May17 19.00 puts vs 19.36Δ41 traded .62 500x 27.97 IV 12:11 AM

Sugar Jun17 18.00 puts vs 19.19Δ28 traded 35 400x 23.56 IV 12:23 PM

 

Coffee Sep17 180.00/130.00 fence (to the call) traded -.35/-.15 600x 8:15 AM

Coffee Jul17 135.00 puts vs 144.00Δ28 traded 3.70 200x 24.67 IV 8:21 AM

Coffee May17 155.00/135.00 fence (to the put) vs 140.70Δ48 traded 1.00 200x 9:53 AM

Coffee Jul17 135.00 puts vs 143.00Δ30 traded 4.05 600x 24.89 IV 10:09 AM

Coffee 1-Month CSO Dec17 -3.00 call traded .20 550x vs. -3.10/-.305 10:28 AM

Coffee Jul17 135.00 puts vs 144.00Δ29 traded 3.85 550x 25.23 IV 11:04 AM

Coffee 150.00 calls vs 144.85Δ40 traded 5.05 50x 27.20 IV 11:40 AM

 

Cocoa May17 2500 puts vs 1970Δ99 traded 530 300x 9:10 AM

Cocoa Jul17 1700/1800/1900 put fly traded .17 1240x 11:19 AM

Cocoa Sep17 2100/2300 call spread vs 1950Δ16 traded 42 1700x 11:48 AM

Cocoa May17 1900 put traded 65 100x vs. 1906 26.36 IV 12:21 PM

Cocoa Jul17 2100/2300 calls spread vs 1925Δ16 traded 30 2000x 12:23 PM

 

Cotton May17 77.00/82.00 call spread vs 76.40Δ26 traded 1.22 600x 9:32 AM

Cotton May17 74.00/70.00 put spread traded .80 250x vs. 76.32 9:46 AM

Cotton May17 77.00 calls vs 76.53Δ43 traded 1.89 100x 19.08 IV 11:24 AM

Cotton Buy May17 80.00 calls - Sell Jul17 88.00 calls traded .06 500x vs.  K7 76.30 2:15 PM

 

*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

 

 

2/28/2017

 

 

 

 

 

 

 

20 Day

RSI

RSI

SB

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

J17

1931

1925

86

25.51

31.1

3/15/17

2131

24.64

29.88

24.42

K17

1931

1925

158

27.92

34.1

4/17/17

11386

24.64

 

 

N17

1913

1900

204

24.32

29.4

6/15/17

13766

21.92

 

 

V17

1910

1900

235

20.77

25.1

9/15/17

1949

18.40

 

 

 

 

 

 

 

 

Total =

29232

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

KC

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

J17

142.65

142.50

542

25.16

2.270

3/10/17

1738

23.38

35.16

38.70

K17

142.65

142.50

1054

25.95

2.341

4/12/17

1834

23.38

 

 

N17

144.98

145.00

1650

26.69

2.447

6/9/17

3225

22.84

 

 

U17

147.28

147.50

2156

27.08

2.523

8/11/17

2528

22.47

 

 

 

 

 

 

 

 

Total =

9325

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

CC

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

J17

1908

1900

46

24.12

26.4

3/3/17

487

29.47

32.12

34.59

K17

1908

1900

134

25.95

31.3

4/7/17

2616

29.47

 

 

N17

1918

1900

206

26.12

31.7

6/2/17

10685

28.42

 

 

U17

1936

1950

266

25.98

31.8

8/4/17

4489

27.56

 

 

 

 

 

 

 

 

Total =

18277

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

CT

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

K17

76.29

76.00

408

18.51

0.893

4/13/17

3031

14.00

51.22

53.78

N17

77.43

77.00

665

19.46

0.965

6/16/17

679

13.13

 

 

Z17

74.32

74.00

904

18.07

0.816

11/10/17

413

9.16

 

 

 

 

 

 

 

 

Total =

4123

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures:

 

 

 

 

 

 

 

 

 

 

2/28/2017 15:07

 

 

 

 

 

 

 

 

 

9 Day  

Symbol

Product

Last

Net Chng

Volume

High

Low

ATR

His. Vol

Imp Vol

Mov. Avg.

/6BH7

Brit Pound

1.2409

-0.0037

   106,586

1.2473

1.2404

0.0109

0.079

0.098

1.2467

/6CH7

Can Dollar

0.7523

-0.0082

     96,861

0.7597

0.7522

0.00535

0.064

NA

0.7614

/6EH7

Euro

1.0599

0.0006

   184,866

1.0636

1.0571

0.0079

0.068

0.092

1.0597

/6JH7

Yen

0.008912

4.45E-05

   158,630

0.008957

0.008866

8.84E-05

0.091

0.132

0.00885

/CC[H7]

Cocoa

1908

-74

     28,590

1981

1904

52

NA

NA

1994

/CL[H7}

Crude Oil

53.95

-0.10

   554,342

54.23

53.18

1.06

0.18

0.240

53.85

/CT[H7]

Cotton

76.28

0.16

     13,140

76.89

76.10

1.15

0.18

NA

75.6

/DX[H7]

Dollar Index

101.13

0.00

     26,743

101.23

100.78

0.60

0.05

0.137

101.039

/ES[H7]

E-mini S&P

2362.00

-6.25

   1,004,320

2368.75

2357.50

14.83

0.05

0.130

2358.03

/GC[J7]

Gold

1251.20

-7.60

   209,546

1259.30

1248.20

14.40

0.10

0.100

1244.3

/HG[H7]

Copper

2.7180

0.0200

     52,062

2.723

2.678

0.0623

0.28

0.454

2.7075

/HO[H7]

Heating Oil

1.6387

-0.0096

     99,558

1.654

1.5985

0.0393

0.18

0.401

1.6393

/KC[H7]

Coffee

142.60

1.50

     18,079

143.10

140.40

3.38

0.24

0.280

147.48

/NG[H7]

Natural Gas

2.764

0.071

   169,959

2.788

2.653

0.121

0.54

0.430

2.741

/NQ[H7]

E-mini NDQ

5331.00

-16.50

   132,418

5350.00

5317.00

36.01

0.05

0.140

5332.39

/OJ[H7]

Orange Juice

161.25

3.90

       1,370

162.25

156.05

5.48

0.44

0.370

171.33

/PA[H7]

Palladium

770.60

-14.40

       3,865

786.75

768.05

17.38

0.21

NA

778.76

/PL[J7]

Platinum

1027.60

-11.30

     17,749

1038.90

1024.10

16.60

0.10

0.200

1016.8

/RB[G6]

Unlead Gas

1.7271

-0.0146

     96,586

1.7428

1.6799

0.0584

0.59

0.421

1.5673

/SB[H7]

Sugar

19.31

0.16

     64,989

19.54

19.10

0.52

0.28

NA

20.14

/SI[H7]

Silver

18.375

-0.042

     59,333

18.51

18.28

0.28

0.14

0.435

18.14

/YM[H6]

Dow

20801

-12

     91,447

20831

20769

127

0.00

0.000

20716

/ZC[H7]

Corn

373.00

4.75

   354,124

386.25

368.50

6.09

0.16

0.230

370.33

/ZS[H7]

Soybeans

1037.25

15.25

   219,525

1056.25

1023.25

15.89

0.16

0.210

1030.92

/ZW[H7]

Wheat

444.25

5.50

     98,605

454.50

439.00

10.45

0.23

0.250

441.58

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
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