Markets remained quiet on Friday, with Cotton putting in the most noteworthy performance. Volume in Cotton options exceeded 9000 lots and the N7/Z7 spread moved out to 4.50 points. July/Dec Calendar Spread options have traded recently and those who have looked for other methodologies to trade that CSO have taken advantage of vanilla options to establish or negate their exposure. If you have any questions about that, please give me a call. Coffee CSOs also traded today with traders having opportunity to reduce their calendar spread risk substantially at a low cost. Coffee, Sugar and Cocoa had very light days in anticipation of the weekend and implied volatility was either unchanged to a little bit lower in those markets. The details are in the trades and numbers listed below. Have a good weekend.

 

Sugar May17 16.75 calls vs 16.75Δ51 traded .39 28.79 IV 8:10 AM

Sugar Oct17 17.25 straddle traded 2.21 250x vs. 17.23 23.60 IV 8:50 AM

Sugar Jul17 16.50 puts vs 16.95Δ38 traded .57/.58 450x 25.22 IV 8:53 AM

Sugar No. 11 Futures - NYCC - May17 16.75 calls vs 16.94Δ59 traded .48 375x 9:50 AM

 

Coffee May17 135.00 puts vs 138.50Δ28 traded 1.30 150x 26.11 IV 7:52 AM

Coffee 1-Month CSO Sep17 -3.25 call traded .19 vs. -3.35/-3.30 300x 8:41 AM

 

Cotton No. 2 Futures - NYCC - Jul17 75.00 puts vs 77.50Δ35 traded 1.72 850x 10:50

Cotton No. 2 Futures - NYCC - Jul17 73.00 puts vs 77.90Δ22 traded .78 500x 12:41 PM

Cotton No. 2 Futures - NYCC - Jul17 85.00 calls vs 77.60Δ17 traded .78 500x 12:52 PM

Cotton No. 2 Futures - NYCC - May17 80.00 calls vs 77.00Δ16 traded .30 450x 1:11 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

 

 

 

3/31/2017

 

 

 

 

 

 

 

20 Day

RSI

RSI

20 Day Avg.

Today's

SB

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

Trade Range

Range

K17

1682

1675

76

27.01

28.7

4/17/17

3941

26.28

23.03

26.46

0.49

0.30

M17

1694

1700

119

25.18

27.0

5/15/17

452

22.12

 

 

 

 

N17

1694

1700

157

25.40

27.2

6/15/17

6863

22.12

 

 

 

 

V17

1716

1725

218

23.42

25.4

9/15/17

5116

19.41

 

 

 

 

H18

1766

1775

265

20.11

22.5

2/15/18

405

16.85

 

 

 

 

 

 

 

 

 

 

Total =

16777

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

20 Day Avg.

Today's

KC

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

Trade Range

Range

K17

138.93

140.00

505

24.07

2.115

4/12/17

3682

17.02

38.52

40.04

2.79

2.15

M17

141.25

142.50

1009

25.91

2.314

5/12/17

1757

16.37

 

 

 

 

N17

141.25

142.50

1384

27.84

2.487

6/9/17

819

16.37

 

 

 

 

U17

143.60

142.50

2005

28.83

2.618

8/11/17

1678

16.60

 

 

 

 

 

 

 

 

 

 

Total =

7936

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

20 Day Avg.

Today's

CC

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

Trade Range

Range

K17

2086

2100

67

26.19

34.6

4/7/17

853

29.43

53.31

54.02

52

29

M17

2091

2100

145

27.60

36.5

5/5/17

43

27.69

 

 

 

 

N17

2091

2100

195

27.90

36.9

6/2/17

51

27.69

 

 

 

 

U17

2093

2100

264

26.77

35.4

8/4/17

63

27.01

 

 

 

 

 

 

 

 

 

 

Total =

1010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RSI

RSI

20 Day Avg.

Today's

CT

Fut

Strike

Strd

Imp Vol

B/E

Expiry

Volume

His Vol

9-Day

14-Day

Trade Range

Range

K17

77.34

77.00

232

18.88

0.923

4/13/17

4221

13.77

53.20

52.64

1.05

1.60

N17

78.58

79.00

581

20.01

0.994

6/16/17

3665

12.73

 

 

 

 

Z17

74.10

74.00

835

17.92

0.840

11/10/17

1227

8.02

 

 

 

 

 

 

 

 

 

 

Total =

9113

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures:

 

 

 

 

 

 

 

 

 

 

 

 

3/31/2017 15:30

 

 

 

 

 

 

 

 

 

9 Day  

 

 

Symbol

Product

Last

Net Chng

Volume

High

Low

ATR

His. Vol

Imp Vol

Mov. Avg.

 

 

/6BM7

Brit Pound

1.2548

0.0046

   122,600

1.2571

1.2455

0.0102

0.082

0.093

1.2515

 

 

/6CM7

Can Dollar

0.7529

0.0010

     61,284

0.7536

0.7489

0.00426

0.060

NA

0.7500

 

 

/6EM7

Euro

1.0711

-0.0018

   172,302

1.0741

1.0709

0.0074

0.082

0.101

1.0819

 

 

/6JM7

Yen

0.009006

0.000018

   140,986

0.009015

0.008938

7.11E-05

0.078

0.102

0.00902

 

 

/CC[K7]

Cocoa

2094

-2

     17,662

2107

2078

52

NA

NA

2131

 

 

/CL[J7}

Crude Oil

50.66

0.31

   494,601

50.80

49.90

1.25

0.26

0.270

48.78

 

 

/CT[K7]

Cotton

77.35

1.12

     23,070

77.40

75.80

1.02

0.14

NA

76.95

 

 

/DX[M7]

Dollar Index

100.31

0.03

     23,490

100.51

100.12

0.57

0.07

0.110

99.694

 

 

/ES[M7]

E-mini S&P

2363.50

-1.00

       934,149

2366.75

2356.75

16.86

0.06

0.120

2349.44

 

 

/GC[J7]

Gold

1250.90

2.90

   152,763

1252.80

1241.50

12.20

0.10

0.100

1248.8

 

 

/HG[K7]

Copper

2.6580

-0.0135

     75,691

2.6805

2.6315

0.0483

0.16

NaN

2.6503

 

 

/HO[J7]

Heating Oil

1.5779

0.0174

     42,399

1.5807

1.5476

0.0338

0.20

0.301

1.522

 

 

/KC[K7]

Coffee

138.70

-0.60

     14,056

140.05

137.90

2.66

0.17

0.460

139.89

 

 

/NG[J7]

Natural Gas

3.190

-0.001

   107,716

3.242

3.163

0.1

0.31

0.365

3.109

 

 

/NQ[M7]

E-mini NDQ

5446.00

8.50

   134,926

5452.75

5421.00

42.56

0.07

0.130

5393.69

 

 

/OJ[K7]

Orange Juice

154.85

-5.70

       2,925

163.05

152.30

5.62

0.38

0.430

174.8

 

 

/PA[M7]

Palladium

796.85

-0.65

       2,776

801.95

791.60

15.49

0.19

NA

795.24

 

 

/PL[J7]

Platinum

952.50

-3.20

     11,747

954.00

942.80

15.90

0.20

0.200

961.2

 

 

/RB[J6]

Unlead Gas

1.703

0.0193

     53,805

1.71

1.6664

0.0383

0.22

0.271

1.6351

 

 

/SB[K7]

Sugar

16.85

0.04

     51,194

16.99

16.69

0.51

0.26

NA

17.34

 

 

/SI[K7]

Silver

18.235

0.029

     49,697

18.285

18.06

0.26

0.18

NaN

17.938

 

 

/YM[M6]

Dow

20630

-30

     82,352

20671

20596

132

0.00

0.000

20601

 

 

/ZC[K7]

Corn

364.75

7.25

   285,282

366.75

355.00

4.84

0.13

0.240

358.42

 

 

/ZS[K7]

Soybeans

944.75

-18.25

   168,084

966.50

944.25

12.20

0.09

0.240

975.86

 

 

/ZW[K7]

Wheat

427.00

6.00

     93,283

432.25

416.50

8.14

0.19

0.280

423.33

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
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