Morgan Stanley Coffee Report - Oct 10'17

Arabica extended its end of week rally across the weekend as the non-commercial short positioning and drier Brazilian weather forecast combined to buoy prices 95 points higher to 130.95.  The BRL fell nearly 1%, yet remains marooned in a trading range with little apparent impact on either systematic models or the behavior of the Brazilian farmer.  Options were heavy in screen trading as vol was bid throughout the day.   Paper bought 4200 H 170 / 180 CS, helping boost the total H8 call volume to 11,578.  Total call volume on the day was a staggering 17,575 – particularly when considering the pedestrian 210 point range in futures.  Puts featured fairly good volume as well at 6901, though the 2100 H 115 / 105 PS that likewise traded on the screen contributed 61% of the volume and improved the surface optics.  Robusta sunk $12 on the day yet structure remained firm into 1Q18.