Coffee closed down 120 points, settling at 104.30 in spread dominated trading. Assets across the board were under pressure for the bulk of the day, although a midday respite was notable for most commodities. Day 1 of the index roll saw 27k+ H/K in a fairly tight -305/-290 range. Given the presumed size of the spec short and anticipated utilization of the liquidity period to roll into K, the relative tightening came as a surprise to few. Options were also active, with surprising intrigue accompanying size trades. Two separate in the money H/M diagonal put spreads totaled 1500 lots (M 115 / H 11250 1000x and M 11750 / H 115 500x) and 900 K 120 C were blocked to great mystery; the print time was 10:18EST, yet the trade didn’t seem to appear on the ticker until after the close. London closed $9 lower at $1547 in extremely choppy trading. The swing of the roll is under the way in Robusta as well, with 5400 H/K trading between -20 and -14.
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