Societe Generale - Evening Coffee

New York coffee futures traded irregularly lower on origin and speculative selling, sell stops
triggered at 5-day lows. The London market traded steadily lower en route to new life-of-contract lows
in the nearby contracts and the lowest spot level since November 2013. Selling was mostly
speculative. News that North Korea had successfuly tested a hydrogen bomb exacerbated world
economic angst sending U.S. equities to 3-month lows.
The 10-day moving average of settlement prices closed above the 40- in Mar16 NY today signaling
the beginning of the last wave of momentum-based buying. The 9-day smoothed stochastic slipped
into sell mode.
March New York (KCEH6) settled near its low (12%), down 3.05¢. Volume was average at an
estimated 26,772 lots including an estimated 1,535 EFP's, 8 EFS's, 374 TAS and 6,204 spreads.
3,945 calls and 3,418 puts also traded. The KCEH6-LRCH6 arbitrage: 52.00¢. Ratio: 1.7684. €:
$1.0772+0.2%. BRL: 4.0122/$-0.1%. CRB: -2.0%. Crude oil: -5.6%. Open interest: 172,537+898 (50-
day stochastic: 21%; 125-day: 23%).
March London (LRCH6) settled $1 from its new life-of-contract low (7%), down $15. Volume was
32% below average at an estimated 10,716 lots including 3,887 spreads and 384 EFP's. 2,859 calls
and 12 puts also traded. Open interest: 119,940+2,638 (50-day stochastic: 42%; 125-day: 40%).
The 5-day index-fund rebalancing commences this Friday. Using Mar16 at 123.90¢ (Monday's
close), Société Générale Cross Asset Research estimates that 5,326 lots of coffee “C” will need to be
purchased. In November (basis 120.15¢ in the Mar16 contract), SGCAR estimated that 8,561 lots
would be bought.
Honduras exported 321,360 60-kg bags of coffee in December, the Honduran Coffee Institute
reports, up nearly twelve percent from 287,210 bags in December 2014.
Brazil exported 2,976,700 60-kg bags of coffee in December, the Brazilian Trade Ministry reports,
down 2.2% from 3,044,700 bags last December. The more-closely monitored Cecafé figures should
be available in the next few days.
December coffee exports from Indonesia's main coffee-growing area on Sumatra island totaled
12,046.30 tonnes, data from the Lampung trade office shows, down 44% from 21,673.40 tonnes in
December 2014. Calendar-2015 shipments, however, were up 22% from 2014 to 269,113.18 tonnes
from 221,242.55 tonnes.