Daily Options and Futures Data and Analysis Smorgasbord

Sugar, Cotton and Corn remain the market leaders. They all
have a Relative Strength Index of greater than 80. This could definitely be an
over-bought signal. The Crude Oil Spreads, not shown in our Chart, continue to
have significant volatility. The October/

December Spread has moved in from 338 to 181 in three days.
That’s some nutty spread. In the last three days the December futures contract
has rallied 79 tics while October went up 236 tics. That is certainly an
interesting market and there are many well priced options trades that can help
you initiate a position in Crude Oil no matter what your market bias is.

For those traders interested in jumping on the Corn rally,
one might consider an OptionsPairs^TM
strategy. That would involve Buying a Call Spread and Selling a Put Spread to
get Long Corn. This trade would take advantage of the implied volatility Skew.
December Corn Settled at 4.782 and one could Buy the 5.10/5.40 Call Spread,
based on Settlements for .69 while Selling the 4.50/4.20 Put Spread for .93. A
settlement of December Corn above 4.50 yields a profit. Please call me to
determine if this is an appropriate trade for you.

On a nightly basis, Libanman Futures analyzes the
information contained in the chart below and is able to use that information to
help clients establish the best positions possible to meet their trading goals.
All options traders should understand the importance of implied volatility as
it relates to historical volatility. They must understand the subtleties of
each futures contract and the leverage it provides. Trading options contracts
without the appropriate information and knowledge puts the trader at a distinct
disadvantage. The Chart below is designed to provide information that options
traders need. I used this information as an options market-maker and as Head of
Risk at NYBOT/ICE Futures. If you have any questions pertaining to how to use
this Chart or would like to discuss certain market opinions, please feel free to
call me at 347-949-4546 or 212-383-9453 or contact me by email at [e-mail].

	Today's	MGN on		MGN As	MGN On
Sym	$-Move	His+Imp	CON VAL	%CV	Imp Vol	OI	VOL	SKEW	Contract
KC	-338	3487	71,175	4.90%	3982	146973	14645	Call	Coffee
SU	370	1294	24,315	5.32%	1392	685071	178308	Call	Sugar
CC	-470	854	26,470	3.23%	1090	127712	13712	Bell	Cocoa
CT	415	1234	45,645	2.70%	1882	225882	10467	Call	Cotton
OJ	-67	972	21,773	4.47%	1210	24024	4024	Call	Orange Juice
DX	16	944	83,016	1.14%	1054	24325	30123	Call	Dollar Index
CL	1030	3184	78,260	4.07%	3427	1350192	778344	Put	Crude Oil
HO	1163	3189	88,385	3.61%	3783	319598	97230	Put	Heating Oil
RB	1214	3068	82,631	3.71%	3755	240947	85767	Put	Gasoline
NG	940	2343	44,270	5.29%	2528	835774	294588	Call	Natural Gas
GC	-440	1923	124,650	1.54%	1744	573659	134739	Bell	Gold
SI	-50	2954	99,225	2.98%	3989	140514	35056	None	Silver
S	-750	1325	51,550	2.57%	1431	535621	79106	Call	Soybeans
SM	-830	851	29,370	2.90%	794	214235	39649	Call	Soybean Meal
C	370	934	23,910	3.90%	1122	1375870	368009	Call	Corn
W	-60	2348	36,830	6.38%	1982	485445	73968	Call	Wheat
LC	130	751	39,990	1.88%	884	337278	69677	Put	Live Cattle
LH	-170	863	74,700	1.16%	884	218472	50789	Put	Lean Hogs
SP	1875	7916	276,250	2.87%	8484	358156	162704	Put	S&P
ND	650	5263	188,975	2.78%	6070	25414	3061	Put	Nasdaq
DF	550	2641	103,930	2.54%	2876	10255	1243	Put	Dow Futures
EU	68	2338	158,913	1.47%	2531	259808	375419	Put	Euro
Sym	OPT DTE	Call Delta	Theta	Vega	IV Chg.	S. Call	S. Put	10-D His	30-D His	60-D His	Avg IV	30-D Dif	60-D Dif
KC	63	53	-0.10	0.31	-0.49	1276	1295	29.20	37.99	35.25	40.93	2.94	5.68
SU	158	55	-0.01	0.06	0.88	236	240	35.57	39.74	38.50	41.89	2.15	3.40
CC	56	52	-1.11	4.13	-0.26	123	126	17.99	20.60	25.70	30.13	9.54	4.43
CT	63	53	-0.04	0.15	-1.17	469	440	16.26	15.94	16.75	30.15	14.21	13.40
OJ	35	53	-0.10	0.18	0.79	735	720	35.94	28.01	26.09	40.65	12.63	14.56
DX	84	51	-0.01	0.16	-0.18	1480	1465	7.27	8.48	8.24	9.28	0.80	1.05
CL	67	52	-0.03	0.13	0.81	415	439	32.85	27.37	26.77	32.04	4.67	5.27
HO	76	53	0.00	0.00	1.20	1223	1213	22.82	25.33	26.11	31.31	5.98	5.21
RB	76	52	0.00	0.00	0.55	1175	1201	23.84	25.78	25.79	33.24	7.46	7.45
NG	74	53	0.00	0.01	-0.02	321	344	42.46	34.36	36.26	41.78	7.42	5.52
GC	74	52	-0.26	2.23	0.08	3910	3760	7.16	7.60	13.20	17.17	9.57	3.97
SI	74	53	-0.70	3.55	-0.49	1044	1049	13.62	19.84	24.23	29.41	9.56	5.17
S	42	52	-0.34	1.39	-2.98	286	276	20.06	17.37	17.47	20.31	2.93	2.83
SM	77	50	-0.07	0.54	-4.48			22.58	20.17	22.24	19.78	(0.39)	(2.46)
C	77	52	-0.19	0.87	-3.54	292	310	21.33	25.90	32.70	34.33	8.43	1.63
W	77	54	-0.34	1.34	#VALUE!			41.96	57.76	47.46	39.37	(18.40)	(8.10)
LC	84	51	-0.02	0.19	-0.24	308	310	13.94	13.08	11.76	16.16	3.08	4.40
LH	95	51	-0.02	0.15	-0.41	313	343	19.40	22.83	20.68	21.64	(1.18)	0.96
SP	97	52	-0.26	2.27	-0.12	5090	5100	21.38	19.60	20.40	22.47	2.86	2.07
ND	97	52	-0.47	3.87	0.03	9100	9125	18.82	18.95	20.22	23.50	4.55	3.27
DF	98	52	-2.20	21.44	-0.27	4300	4370	19.45	16.82	17.85	20.24	3.43	2.39
EU	84	52	0.00	0.00	-0.27	2900	2770	10.11	10.71	10.57	11.65	0.94	1.08

Here’s an explanation of some
of the lesser known columns: There is the 20-Day Average Trading Range and its
$ Value followed by the Relative Strength Index, a measure of overbought or
oversold situations. Mgn on His and Imp represents our calculation of
reasonable margins based on the average of the 10, 30, 60 day historical
volatility and the implied volatility. Con Val is the current value of the
contract and %CV is the margin as a percentage of the contract value. MGN on
Imp Vol is a margin calculation based on just implied volatility. (These
margins are our own estimate of reasonable margins and should be used for
analytical purposes only, they are not Exchange Margins. Margin
estimates are always too high or too low, but are interesting for risk analysis
purposes.) Skew represents the direction of the options skew in the market. OPT
DTE is Options Days to Expiration. S. Call and S. Put are the settlement price
of the at-the-money strike. 30 and 60 Day Dif is the difference between the
Implied Volatility and the 30 and 60 Day Historical Volatilities.

FUTURES AND OPTIONS TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE
FOR EVERY INVESTOR. INFORMATION IS OBTAINED FROM SOURCES BELIEVED TO BE
RELIABLE, BUT IS IN NO WAY
GUARANTEED. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.

Comments

[Ignorance is bliss]

I am ignorant, and even I know silver is paved with Gold.

[Jake Lamotta]

Ah fuck your silver

[RockyRacoon]

Your eloquence is astounding.

[Sudden Debt]

COOL! YOU CAN FUCK SILVER?!

I knew it was a great investment!

[RockyRacoon]

Silver:  Lookin' good!