Evening Coffee by Societe Generale
New York coffee inched higher today from an unchanged opening, trading mostly in the upper half of yesterday's range (we took out yesterday's high by ten points). We closed near the day's high after opening near its low (a white body) for the third straight session and the fifth time in six days. Weekly action has been just as good, closing well above the low and near the week's high the past three weeks. May16 finished 8.60¢ higher over the past three days, up 19.10¢ over the past three weeks. The London market has gone along for the ride, although to a lesser extent: May16 rose $59 in three days, $116 over the past three weeks. The Brazilian real was up another one percent against the dollar. Shanghai stocks closed at a two-month high.
May New York (KCEK6) settled nearly three-quarters to its high (73%), up 1¾¢. Volume was eighteen percent above average at an estimated 42,523 lots including an estimated 539 EFP's, 2,284 EFS's (1,400 in Sep16), 342 TAS and 14,300 spreads. 5,067 calls and 8,100 puts also traded. The KCEK6-LRCK6 arbitrage: 67.08¢. Ratio: 1.9978. €: $1.1267+½%. BRL: 3.5879/$+1.1%. CRB: -¾%. Crude oil: -1.0%. S&P500:+0.3%. Open interest: 191,210+771 (50-day stochastic: 53%; 125-day: 65%). Three tenderable notices were issued.
May London (LRCK6) settled nearly three-quarters to its high as well (74%), up twenty-three dollars today. Volume was eight-and-one-half percent above average at an estimated 16,721 lots including 4,399 spreads and 834 EFP's. 920 calls and 5,400 puts also traded (2,000 Jul16 $1450-$1350 put spreads traded at $28 basis $1520). Open interest: 130,787-2,405 (50-day stochastic: 29%; 125-day: 67%). No retenders were posted.
CFTC reports that large speculators were net buyers of 19,401 lots of Coffee "C" in the week ending March 15 leaving them net long 5,690 lots - the first that that they have been net long since last August. Large hedgers sold 19,126 lots increasing their net short position to 40,251. Small traders sold 805 lots (long 1,492). Index traders bought 529 lots (long 33,067).
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