Arabica lost 10 points on the day, settling 97.30 basis September. The U 97.50 P entered the day with 2160 lots of OI, while the 97.50 C had 2429. Volume in each was light on the day and there would not be much surprise if there was abandonment or contra execution of either. From here we will refer to December as the OI rolled over last night. U/Z tightened a tick to -3.40 as the trend of Day 3 strength continues. Spreads accounted for 88.5% of total volume, slightly above the index roll timing average, while estimated outright trading fell below 10k lots for a 3rd consecutive session. ATM vol was pinned around 29 for the week ahead of option expiration, in itself an interesting data point with regards to the fairly quiet directional trading going on (1800+ Oct 107.50 C notwithstanding). Also interesting was the late session selloff in Robusta as prices fell $16 to 1296. As traditional lunch time struck NY, roughly 1350 lots of selling hit the market across U and X, sending futures $9 lower. Another dip showed up on the settlement period as intraday lows were posted and a lower high lower low was realized.
Arabica gained 50 points, 97.40, while posting a higher high, higher low after consecutive inside days. Day 2 of the index roll saw another tick higher in U/Z, reaching -3.35, yet ultimately settled a tick wider at -3.45 in a slightly abnormal second day weakening. Total spreads were light for a roll period, though the prompt U/Z was fairly good size at 21,708. It appears that a fair number of spreads were prepositioned, as yesterday’s OI drop of 8863 lots was larger than the implied outright volume indicating chunky structure plays were in place. 1560 U EFS were posted, along with 60 in H and 1500 in K, possibly signaling a roll of financed positions out 2 to 3 positions on the board. London gained $10 to settle 1312, even as Robusta traded a sub cent range again (1300 / 1318). U/X closed unchanged at -26 on 6015 lots.
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