Evening Coffee by Societe Generale

     After rallying over five cents to a 10-month high in the first half hour of trading, NY coffee traded sideways in a fairly narrow range through the beginning of active trading. Spreading was again heavy. We fell sharply in the fourth hour of active trading, nearly nine cents from the high, took out that low by over two cents in the last ten minutes of trading. We closed near the day's low, eleven cents off the high. Yesterday's new buyers (OI up 2,600 lots) were likely the sellers today.
     Somar seems to be softening its calls for Brazilian cold weather this weekend.
    July New York (KCEN6) settled near its low (3%), down 5.70¢. Volume was 162% above average at an estimated 115,820 lots including an estimated 1,027 EFP's, 198 EFS's, 3,233 TAS and 42,937 spreads. 20,475 calls and 13,951 puts also traded. The KCEN6-LRCN6 arbitrage: 60.67¢. Ratio: 1.7938. €: $1.1332-0.6%. BRL: 3.3941/$-1.0%. CRB: -0.4%. Crude oil: -1.9%. S&P500:-0.2%. Open interest: 191,425+2,600 (50-day stochastic: 60%; 125-day: 65%).
     Jul16 KC options expire tomorrow. Coming into today (and using today's settlement) there were 13,736 in-the-money calls and 757 in-the -money puts. At the 135¢ there were 2,378 calls open, at 130¢, 2,531 puts.
     July London (LRCN6) settled near its low (8%), down twelve dollars. Volume was ten percent below average at an estimated 13,849 lots including 5,419 spreads and 427 EFP's. 1,580 calls and 2,515 puts also traded. Open interest: 103,753-513 (50-day stochastic: 0%; 125-day: 0%).
     Colombia exported 920,000 60-kg bags of coffee in May, the National Coffee Growers' Federation estimates, down 8.5% from 1.005 mln bags in May 2015. May production was down slightly from last year to 1.163 mln bags from 1.165 mln. Oct-May exports rose 9.2% year-on-year to 8.634 mln bags from 7.907 mln, production rose nearly 15% to 9.526 mln bags from 8.308 mln. 
John Bernardi