Coffee Traders Forum
[ Post a Response | Coffee Traders Forum ]
Robusta COT Report
Posted by Tango
on May 25, 2019, 7:51 am
Like KC, RC had a volatile period. From a high of 1399, it dropped to 1292 to close at 1364. The activity at this time consisted of quite a few fences on spreads that were established. JulSep -20 puts were sold while even and -5 calls were bought. Commercials are suspected to have initiated the trade. Itís a very bullish strategy for a spread that isnít moving. Worth noting is that spread activity was light for other groups. Therefore, the hedging seems to appear on the changes of the commercial buy side and sell side, indicating that the fences were mostly a commercial to commercial trade. What is more evident however is the net change of this group who purchased, together with all the spec groups, from the Large Trader category. It appears that one trader of the Large Trader group liquidated their position. Maybe they had enough of a very frustrating market for bulls.
In spite of this activity, the arbitrage behaved as normal. It expanded in value on strength and and contracted on weakness as it usually does. When it doesnít react in this manner it indicates that some special situation is going on in RC. What is also an alarm is the rising implied volatility of RC which is now above 23% in the front two months, in a market that is usually in the high teens.