Societe Generale - Evening Coffee
As is common after a large downward move such as yesterday's, New York coffee
traded in a narrow range in the lower half of yesterday's range, exactly eight-five
points either side of unchanged. Yesterday's low was tested and held, but we failed to
break back above the old life-of-contract low - 115.30¢ in Mar16 (today's high). On the
third day of the index rebalancing, action was dominated by switching, which
represented 70% of the day's volume.
The London market was not able to hold yesterday's low, taking it out by ten
dollars, but was able to bounce back to close a few dollars higher. A hammer in
candlestick jargon, needing confirmation by a close above today's high - $1450 in
March New York (KCEH6) settled in its lower half (44%), down ten points. Volume
was forty-three percent above average at an estimated 41,522 lots including an
estimated 799 EFP's, 16 EFS's, 1,464 TAS and 14,526 spreads. 7,047 calls and
7,775 puts also traded. The KCEH6-LRCH6 arbitrage: 48.39¢. Ratio: 1.7368. €:
$1.0849-0.1%. BRL: 4.0289/$+0.6%. CRB: -1.3%. Crude oil: -1.6%. Open interest:
188,253+7,480 (50-day stochastic: 64%; 125-day: 65%).
March London (LRCH6) settled near its high (89%), up $4. Volume was six percent
above average at an estimated 16,708 lots including 5,891 spreads and 1,283 EFP's.
2,030 calls and 900 puts also traded. Open interest: 125,958-308 (50-day stochastic:
85%; 125-day: 58%).
Brazil will produce 49.7 mln 60-kg bags of coffee in 2016, the government's
statistics institute IBGE estimates, up 12½% from 2015. Arábica production is seen
rising 15.6% to 38.3 mln bags, conillon to rise 3.3% to 11.4 mln bags, due to a strong
recovery in Espirito Santo state.
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