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Wednesday July 29, 2020

World Sugar Futures turned in an uninspiring, range-bound, low-volume, mid-summer session today, with the market lacking fresh news and conviction. On a macro-level this afternoon, the Federal Reserve left benchmark interest rates unchanged near zero, as expected, as the Dollar continues to weaken to new two-year lows. October sugar settled unchanged at 12.01, trading in a 11.84-12.10 range. March closed two higher at 12.65. The deferred positions finished three to seven ticks higher. Today’s final estimated volume totaled just 61,979 contracts. On spread, the October/March traded from 62 to 65 under and last at 64 points discount. The March/May traded from 23 to 19 over and last at 21 points premium.

Option watch: Option volume was 14,949 contracts consisting of 8,142 Calls and 6,806 Puts. Call option open interest increased by 10,492 contracts overnight which is high considering call volume was just over 23,000. It looks to be paper buying cheap calls above the market. Volatility was lower across the board for the session.

Trades of note:  1,000 October 12.50/13.00 Call spreads trade 12 (paper buys)  1,000 October 12.25/11.25 Fence trades 11-15 (paper buys call)  795 October 11.50 Puts vs 11.96 trades 27 (paper sold)  500 October 11.75/11.00 Put spreads vs 12.00 trades 22  500 October 11.00/11.50 2x1 Put spreads trade 1  420 October 1.50 Calls vs 11.99 trades 27  350 October 12.25/13.00 Call spreads vs 11.50 Puts trades -11/-4

ATM Vol’s:  September 12.00 Straddle 59-62 vol 26.15 -2.5%  October 12.00 Straddle 94-97 vol 27.00 -1.0%  January 12.50 Straddle 147-152 vol 23.75 -.50%  March 12.50 Straddle 178-183 vol 24.20 -.30%

Option open interest:  Calls 297,237 +10,492  Puts 232,580 +2,598  Total: 529,817 +13,090

Cash-wise: Indonesia imported 884,000 of sugar in June, compared with 565,000mt in May. This brings Jan-Jun imports to 3.48 million metric tonnes, according to local media. Also, officially Indonesia has allowed the imports of 522,000 metric tonnes of raw sugar in the fourth quarter, issuing permits to nine refiners. Total imports for the quarter should total 600,000 metric tonnes., following the import of 933,000 tonnes in Q3.

In the USMCA region: US Futures had an active session with trades spread out across the board. September closed 10 points higher at 27.35 and November closed unchanged at 27.25. The deferred positions closed unchanged to 12 points higher. Today’s final volume totaled 792 contracts. The nearby September/November spread saw a mixture of buying and at a premium with a small cargo’s worth trading 10 points premium. Meanwhile, the market continues to see good support through 2021 from 26.85 to 27.00 out through next summer.

Best Regards,

Jeff Dobrydney
JSG Commodities
This email address is being protected from spambots. You need JavaScript enabled to view it.
203.853.3000

This report has been compiled for general informational purposes only. While efforts have been made to ensure accuracy, Jenkins Sugar Group, Inc. assumes no responsibility for errors and omissions.

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