Evening Coffee by Societe Generale
After dropping just over one cent to within one-half cent of yesterday's low on the opening, New York coffee traded in a 1¾¢ range off that low over the next five hours, adding 1¼¢ to the high ninety minutes into the active trading period. We ran light stops above yesterday's high but fell twenty points short of filling the downside gap. We trended lower the rest of the session, falling to within ten points of the day's low in the final minute of trading. Crude oil rallied eighty cents (74% 50-day correlation), the S&P was up 9.00 points (66% correlation).
London coffee broke yesterday's life-of-contract low by twenty-two dollars but managed to close four dollars above yesterday's low.
May New York (KCEK6) settled near its low (8%), down eighty-five points. Volume was fourteen percent below average at an estimated 27,250 lots including an estimated 927 EFP's, 157 EFS's, 476 TAS and 7,858 spreads. 4,096 calls and 2,977 puts also traded. The KCEK6-LRCK6 arbitrage: 54.55¢. Ratio: 1.8791. €: $1.1039+¼%. BRL: 3.9455/$+0.3%. CRB: +¾%. Crude oil: +2½%. S&P500:+½%. Open interest: 183,295+2,174 (50-day stochastic: 44%; 125-day: 45%). 2 tenderable notices were posted.
May London (LRCK6) settled in its upper third (70%), down three dollars. Volume was seventy-four percent above average at an estimated 27,437 lots including 11,313 spreads and 507 EFP's. 295 calls and 460 puts also traded. Open interest: 138,861 (50-day stochastic: 85%; 125-day: 90%).
Stocks of coffee beans in the ports of Antwerp, Bremen, Hamburg, Genova, Le Havre and Trieste totaled 711,613 tonnes at the end of December, up 3,187 tonnes from one month earlier, the European Coffee Federation reports. Stocks rose slightly in Hamburg, Le Havre, and Trieste. Genova stocks rose 11,493 tonnes. Antwerp stocks fell 13,065 tonnes to 337,042. Bremen stocks were not updated.
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