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Posted by Tango
on January 11, 2019, 9:38 am
The large drop in the OI would normally indicate liquidation on both sides. In this case it appears that the liquidation is in in the MarMay spread. The last COT report showed a managed money spread position of 36,000 lots. Itís not certain whether this liquidation represents managed money nor to what extent this position consists of the front spread. But the spread has dropped in value with this liquidation. The spread is currently-3.45/-3.40. The bid is equivalent to -5.175 in a 3 monther. The previous spread, DecMar, traded at a low of -4.85 which is of course a 3 month spread but without any delivery rule modifications. In the outright market there is little to say other than weakness prevails with good buying beginning at 103.00. The theoretical rule is that in a down market where there is a dominant put exercise the market on the following day usually drops. Hopefully JuanV can substantiate this. The $ has strengthened and the Latin/American currencies have weakened excep for the Real which is slightly higher and quiet. Coffee trading at 103.00.