Evening Coffee by Societe Generale
Supported by strength in the Brazilian currency, coffee futures in London and New York continued strongly higher on Tuesday, New York to its highest level in eighteen months, London to new life-of-contract highs (and a 2-year spot high). Buying was mostly speculative. Origin selling was spotty.
The London market is in overbought territory with a 9-day RSI of nearly 86%.
December New York (KCEZ6) settled 75 points from its high, up 1.65¢. Volume was average at an estimated 31,365 lots including an estimated 873 EFP's, 18 EFS's, 335 TAS and 9,163 spreads. 4,507 calls and 5,011 puts also traded. The KCEZ6-LRCF7 arbitrage: 61.32¢. Ratio: 1.6279. €: $1.0978-0.2%. BRL: 3.1823/$+06%. CRB: +0.2%. Crude oil: +0.3%. S&P500:+0.7%. Open interest: 192,332+861 (50-day stochastic: 100%; 125-day: 84%).
January London (LRCF7) settled near its high, up forty-four dollars. Volume was climactically heavy at an estimated 42,071 lots including 16,144 spreads and 516 EFP's. 7,447 calls and 6,871 puts also traded. Open interest: 127,620-4,507 (50-day stochastic: 85%; 125-day: 68%).
The European Coffee Federation estimates that coffee stocks in Antwerp, Bremen, Hamburg, Genoa, Le Havre and Trieste fell 12,304 tonnes in August to 716,769 tonnes. This is down 3,570 tonnes from one year earlier. Bremen stocks have not been updated since August 2015.
The Green Coffee Association reports that U.S. warehoused coffee stocks rose 913 bags in September to 6,199,023 bags. This is 81,915 bags higher than the 6,117,108 bags in store at the end of September 2015. Over the 1989 to 2015 period, stocks fell by an average of 101,744 bags in September. (see charts)
ICE Europe reports that managed money was a net buyer of 1,901 10-tonne lots of robusta coffee in the week ending October 11th leaving them net long 33,728 lots. Swap dealers sold 906 lots (short 4,099). Non-reportable traders sold 626 lots (long 3,180). commercial traders sold 209 lots (short 40,873). Other reportables sold 159 lots (long 8,063).
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