​Arabica recorded a step backwards in both price and liquidity as futures fell 105 points to close 137.25.  Whether this proves to be a “pause that refreshes” or the beginning of the end is very much a topic of disagreement between bulls and bears.  For the moment there is unease between the momentum signals which are bullish and oscillators which suggest the need for a pullback.  Today’s highs fell just short of trendline resistance going to November’s highs, yet the late day weakening did little to put recent shorts under significant water; since Monday’s breakout the VWAP has been 134.75 with the largest entry buckets at 135 and 137.  Total volume was around 32k lots below the past 2 days’ 72k lot performances, a large step back that was reflected both in smaller outright and spread activity.  Spreads were mixed with KN a tick wider at -1.80 and KK unmoved at -6.50.  London held its gains better against motivated origin selling thanks to a persistent bid, gaining $3 to 1463.  Counterintuitively the spread weakened however, K/N $4 wider at -19.  H/K was flat at -16 as notice period continues with 6425 lots of OI remaining & 513 conilon tendered on the day.  

​Arabica gained 120 points in a fairly subdued day of trading, closing 127.40.  KCH positions should have been largely cleaned up going into tomorrow’s FND as OI entered the day at 8432 lots, with 10,994 H based spreads trading and a combined 1909 KCH EFP/EFS’s posted, though there is always room for a surprise.  Futures were effectively flat after opening higher through the “pre-pit” session, trading a 115 point range from the open through 8am.  A relatively shallow yet glaring V shaped selloff around 9am was short lived and prices never really retreated thereafter, ignoring a stronger dollar and a choppy, late-opening BRL that weakened <1%, disappointing bears who expected catch up selling as the currency reopened.  H/K continued its week+ long ascent, trading as high as -1.65 as the close approached. Chunky by the day’s standards selling showed up at the settle time however, and the spread widened as far as -2.25 by 12:40.  The settle was marked at -1.70, the day’s VWAP was -1.77, and the day’s strongest print was notched with a minute left to trade at -1.60, yet the roughly 35 minutes of weakness was a good reminder of how wonky that spot spread can get on the last ~1000 lots before FND.  Wonky could also extend to the big news of the day, where the GCA posted a revision to yesterday’s inventory release.  Gone was the January decline of 135,130 bags, replaced by a build of 50,870 as the oddity of the December Jacksonville print was resolved by a warehouse correction, while December’s reported 169,195 bag US increase was flipped to a 16,805 bag decline.  That Dec Jax number was assumed to be inaccurate by the bulk of the market by yesterday afternoon, and in the end a large-ish December build that had been a bearish weight on KC for a month was erased, while yesterday’s surprising MoM decline was also negated.  Since November there has been a net increase of 34,065 bags of inventory, a fairly mundane factor after a bit of a rollercoaster to that final conclusion.  London meanwhile gained $9 to 1372 on March option expiration.  With a reference price of 1341 steering clear of major strikes, there were no surprises. Steady strength was driven by short covering & KC sympathy buying, though total travel was a less than impressive $18 on the day, less than 1c equivalent.

​Arabica reversed last Wednesday to Friday’s weakness, gaining 315 points to close 126.20.  Futures gapped higher off Friday’s close, a pattern noted in the BCOM as well, aided by a weaker DXY during the opening hours.  Volume was sizeable as prices rose through the 50dma and it appeared to drive covering by recent shorts.  While the DXY regained ground from roughly 8am onwards and was around unchanged by the close, the upwards trajectory in KC was unchanged ending the day near the top of the BCOM leaderboard, eclipsed only by commodities impacted by the frigid weather across the US (NatGas, Wheat, KC Wheat).  Interestingly, with one final day of active trading before Thursday’s March FND, the answer for the strength and volume was not clean up – KCK implied outright volume was 17,638, the heaviest day of KCK outright trading by far and nearly 7k above Friday’s.  It was also the most for any individual contract since Jan 15th, yet spreads took a breather at 25,728 (16,565 of them H based), around 2k less than the 10 day average (out of total exchange volume of 65,054, 6k more than the 10 day average).  With OI having fallen in the front to 15,997 lots entering the day, EFP’s notching 1111, EFS’s 47, and total turnover in futures at 17,216, it appears an orderly FND is on tap.  H/K gained a tick to -1.85, trading to both -1.95 and -1.80 intraday.  Brazil will return midday tomorrow as Carnaval wraps up (albeit in its less than festive form thanks to Covid), perhaps most impactfully driving BRL related trading back into the market.  London gained $7 as well, settling 1363 in the active K.  Tomorrow is RCH option expiration.  

​KC bent but didn’t break, closing unchanged at 123.05 in KCK after testing the 122 line around 9am.  Roasters and discretionary buyers both stepped up bids ahead of the of long weekend and futures traded as high as 124.30 over the following 2 hours.  With 45 left until settlement however, and with traders seemingly starting to check out with Lunar New year, Carnival, and Presidents Day all offering immediate or nearby holidays, prices began to slip and never really recovered.  KC continued to track lower over the final hour of trading and with the neatly defined range going back to Christmas week holding steady, it would seem there was little rush to add additional material positions beyond the early efforts. On a weekly chart KC recorded a lower low, lower high, lower close, and a settlement unseen since the beginning of December.  The 120.85 / 121.25 weekly lows from mid-January (KC2) should be the best point of support, though industry and specs alike appear hopeful for a chance to buy the early / mid-December levels 5 or so cents lower.  Volume was again good, aided by Thursday’s KCH FND.  With the market closed Monday there are a mere 2 days left to clean up unwanted positions.  H/K held mostly steady, settling a tick weaker at -1.90 in a -1.80/-1.95 intraday range and -1.89 daily VWAP.  Robusta was again the better supported of the two markets as it has been for 3 of the last 4 session.  May settled 1367, +5 with spreads little changed (HK -25s, -1, KN -13s, +2).

​A huge day in Arabica on March option expiration as KCK futures fell 185 points to 123.15 after early positive prints above the active 125 strike.  Given the roughly 2 months spent building OI at effectively the same price as the in-play expiring strike (124.40 VWAP since Dec 10, KCH), and the 4th day of the Index roll, the recipe for huge volume was there.  On that front coffee did not disappoint – the aggregate futures volume of 86,119 was the heaviest since September 15th, 43,125 spreads were the most in even longer – going back to August 5th (a 100k total volume session), and even the outright trading in H was resurgent as OI pares down, the most in 3 days as total outright activity in the front 2 months came in 6100 lots, 43%, higher than the 2 week average.  The charts saw some damage as KC2 flirted with the lower end of the short term trend channel while convincingly closing below the 50DMA (125.03).  However, the longer term range held as well as the trendline support back to the mid November breakout, and prices remain well above the 118.50 100DMA.  It should also be noted that heavy selling was featured across the Ag space.  The BCOM AG subindex fell 2.54% (KC declined 1.5%), as all components save Sugar (which arguably saw energy-driven support) traded lower.  While H/K settled -2.05, unchanged on the day, the VWAP was -1.999 and the spread traded as high as -1.85 late in the session (around 350x).  Far more traded on the ask over the day, 13,455 vs 5719 on the bid, suggesting buyers were the more aggressive participant.  Robusta saw better support as short term systems covered, driving prices $9 higher to 1374, running into the UBB.  However, H/K weakened $2 to -25

​A day after yesterday’s wild ride KC futures settled down as KCH gained 45 points to close 124.50 while remaining in a 205 point range.  Outright volumes were below recent norms with a noted shift in favor of K activity, although H remains dominant and at least for today maintains the edge in OI.  However, day 1 of the core index roll exhibited the expected volume increase in spreads as most of the day was spent in firmer territory, peaking with an active -2.05/-2.00 bid ask from roughly 9:30am to 11:15.  H/K would ultimately close -2.15 as the indexes exerted pressure going into the settlement period, yet the bulk of the rolling was done at stronger levels, the prompt spread recording a -2.07 VWAP on 13.5k lots.  This extends a recent trend towards weaker structure on day 1 of index rolls, likely a function of increasing long side spec participation.  K/N also saw good size on the day, trading nearly 3k times and gaining a tick to -1.90, which was actually stronger than the day’s -1.93VWAP.  Roll pressure aside, futures remain rangebound after yesterday’s false breakout; the 124.50 settle / 124.70VWAP on the day slots in well with the 2 most recent COT reporting weeks which saw 124.44 and 124.82 VWAPs as traders continue to debate demand unknowns vs forward supply and macro inputs.  On the weekly chart KC recorded a positive performance, posting an outside week and positive close.  London was even quieter in outright trading, closing 1359, unchanged basis the active May contract and a mere $14 range.  H/K continues to waver to and fro, closing $3 weaker at -19.

​A day after yesterday’s wild ride KC futures settled down as KCH gained 45 points to close 124.50 while remaining in a 205 point range.  Outright volumes were below recent norms with a noted shift in favor of K activity, although H remains dominant and at least for today maintains the edge in OI.  However, day 1 of the core index roll exhibited the expected volume increase in spreads as most of the day was spent in firmer territory, peaking with an active -2.05/-2.00 bid ask from roughly 9:30am to 11:15.  H/K would ultimately close -2.15 as the indexes exerted pressure going into the settlement period, yet the bulk of the rolling was done at stronger levels, the prompt spread recording a -2.07 VWAP on 13.5k lots.  This extends a recent trend towards weaker structure on day 1 of index rolls, likely a function of increasing long side spec participation.  K/N also saw good size on the day, trading nearly 3k times and gaining a tick to -1.90, which was actually stronger than the day’s -1.93VWAP.  Roll pressure aside, futures remain rangebound after yesterday’s false breakout; the 124.50 settle / 124.70VWAP on the day slots in well with the 2 most recent COT reporting weeks which saw 124.44 and 124.82 VWAPs as traders continue to debate demand unknowns vs forward supply and macro inputs.  On the weekly chart KC recorded a positive performance, posting an outside week and positive close.  London was even quieter in outright trading, closing 1359, unchanged basis the active May contract and a mere $14 range.  H/K continues to waver to and fro, closing $3 weaker at -19.