Thursday July 30, 2020

World Sugar Futures traded in a 30-point range in nearby October and finished another muted session slightly stronger. October closed 10 points higher at 12.11, while March finished the day eight points higher at 12.73. The back months closed two to five points to the upside. The final estimated volume totaled 81,997 contracts. The market saw early strength, perhaps as Coffee surged 5.0% higher, but was unable to hold with other commodities under pressure. WTI oil sank to 38.72 at one point today, before recovering to 40.11 at the time of this report (4:15pm EST). Sugar eventually caught a bid late, perhaps a bit surprising and found further strength to new highs (12.19 basis October) post-settle. This sets the market up for an interesting open for month-end tomorrow. On spread, the October/March traded from 65 to 61 under and last at 62 points discount. The March/May traded from 20 to 26 over and last at 24 points premium.

Option watch: Option volume was 11,034 contracts consisting of 7,591 Calls and 3,443 Puts. Volatility slips on sluggish option activity. Paper seen once again buying live calls.

Trades of note:  2,000 October 12.75 Calls trade 22-25 (paper buys)  1,000 October 13.00 Calls trade 14-19 (paper buys)  600 October 13.00/11.25 strangle vs 12.12 trades 34  500 Oct0ber 12.50/13.50 Call spreads trade 20—23  320 October 13.00 Calls vs 12.09 trades 17  1,149 march 11.50 Puts trade 36-39 (paper sells)

ATM Vol’s:  September 12.00 Straddle 57-59 vol 26.00 -1.0%  October 12.00 Straddle 93-95 vol 26.85 -.10%  January 12.75 Straddle 147-152 vol 23.66 unchanged  March 12.75 Straddle 178-182 vol 23.95 -.10%  May 12.50 straddle 181-188 vol 22.05 -.15%

Option open interest:  Calls 300,646 +3,409  Puts 232,805 +225  Total: 533,451 +3,634

Cash-wise: According to Williams SA the Brazilian vessel line-up of raw sugar waiting to load is now 2.992 million tonnes of sugar, which is lower on the week but the highest it has been at this time in more than a decade. This compares with 3.216 million tonnes last week and 561,566 tonnes last year. Approximately 275,000 tonnes of sugar shipped on the week. The Williams report is lacking details of destinations to a very high degree, which is unusual. It has become more difficult to track destinations as market participants estimate a large volume of sugar destined for China. We will continue to look for more data. After registering record volumes of hedging for the current season and the following, Brazil’s mills have already locked in prices for 2022-2023 through the combination of New York futures and currency hedges, Plinio Nastari, president of consulting firm Datagro, said in telephone interview – and reported by Bloomberg. By selling sugar forward for the next two years, millers can make 2.3 cents to 2.4 cents per pound above the price expected for ethanol, Nastari said, adding the low liquidity in Brazil’s ethanol futures market doesn’t allow much visibility for the biofuel ahead.

In the USMCA region: US futures turned in a snoozer today, producing a scant one-lot volume, while November EFPs totaled 365. September did not trade and closed unchanged at 27.35, while November finished unchanged as well at 27.25. The backs were also unchanged, settling from 26.85 in January to 27.00 out to September 2021. The open interest in nearby September stands at 1,299 contracts and the contract expires on August 10th. Here is the latest on Tropical Storm Isaias: https://weather.com/storms/hurricane/news/2020-07-30-tropical-storm-isaias-forecastflorida-united-states

Best Regards,
Jeff Dobrydney
JSG Commodities
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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