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.
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