Evening Coffee by Societe Generale

On the penultimate trading day of January both the New York and London coffee
markets traded within the previous day's range, New York mostly in its upper half,
London more evenly distributed around its middle. Despite support from a weaker
U.S.   dollar, New York had trouble sustaining a rally above where it was trading at
London's previous close, but we were above to close higher than where we opened
for the sixth straight session.  The London market was in negative territory all day
playing catchup to New York's late selloff on Wednesday.
New York enters the month's last day down 7.55¢, London $128 lower. Over the
past twelve months, New York has been between 3.05¢ higher and 1.55¢ lower on
the last day of the month. The average change has been a gain of 61.6 points.
The 5-day average of settlement prices in Mar16 NY will cross above the 20- on
tomorrow's close provided we close above 117.15¢. The cross over the 10- over the
40- is still seven days away at current levels.
March New York (KCEH6) settled 60% to its high, up ninety-five points. Volume
was fourteen percent above average at an estimated 33,937 lots including an
estimated 913 EFP's, 6 EFS's, 465 TAS and 11,782 spreads. 2,002 calls and 1,910
puts also traded. The KCEH6-LRCH6 arbitrage: 54.88¢. Ratio: 1.8630. €:
$1.0946+½%. BRL: 40706/$+0.9%. CRB: +0.6%. Crude oil: +4.9%. Open interest:
201,554-2,034 (50-day stochastic: 90%; 125-day: 90%).
March London (LRCH6) settled in its bottom half (37%), down fourteen dollars.
Volume was twenty percent below average at an estimated 11,516 lots including
3,881 spreads and 375 EFP's. 989 calls traded, no puts. Open interest: 137,871-674
(50-day stochastic: 94%; 125-day: 93%). No tenders were posted.
John Bernardi