Today’s commodities markets were marked by high volatility. Coffee, which moved more than 8%, was the biggest mover. Crude Oil continued its downside move and brought its Relative Strength Index below 20. The Chart below highlights today’s essential information. The S&P continues to provide interesting trading opportunities. Each day I review the information provided below and analyze the options settlements to help determine the appropriate method for establishing positions. A risk/reward analysis should always be considered before initiating positions. I can be reached at 212-383-9453 or at fred.oltarsh@libanman.com to discuss position ideas.
Settlement Information:
8/24/2010
Symbol
Price
Net Chg
% Chg
High
Low
Range
RSI
10HV
30 HV
IV
IV PCT Chg
ATR
$-ATR
KC
16845
-1480
-8.08
18315
16770
1545
38.98
49.32
37.58
35.64
0.16%
581
$2,180
SB
2016
9
0.45
2020
1909
111
68.30
31.50
37.35
43.70
-0.27%
65
$728
CT
8522
113
1.34
8536
8275
261
77.57
19.19
15.86
28.23
-0.51%
128
$639
DX
83206
-22
-0.03
83635
82895
740
64.48
10.50
9.10
9.86
-0.03%
73
$725
SP
104480
-1580
-1.48
105820
104430
1390
25.68
11.76
18.51
24.50
0.70%
1793
$4,484
ND
177375
-3575
-1.98
179300
176700
2600
26.65
18.88
18.76
28.41
0.11%
3447
$3,447
EU
12672
-8
-0.06
12719
12587
132
31.10
13.10
11.56
11.71
-0.34%
120
$1,505
C
4204
-122
-2.83
4246
4154
92
50.56
26.21
28.43
34.12
0.29%
109
$544
W
7076
-176
-2.45
7166
7040
126
50.98
41.42
53.06
49.34
-0.02%
229
$1,146
S
9990
-64
-0.65
10020
9940
80
40.64
18.09
16.89
23.50
-1.42%
158
$791
SM
2897
-52
-1.76
2928
2890
38
44.19
22.23
21.69
21.07
3.71%
53
$533
LC
9945
-30
-0.30
9960
9870
90
78.58
12.41
11.45
17.18
-0.04%
107
$427
LH
7727.5
-95
-1.21
7745
7660
85
55.70
21.42
23.32
23.60
-0.38%
133
$532
CL
7163
-147
-2.01
7238
7145
93
19.44
12.68
23.74
33.29
0.52%
178
$1,779
GC
12334
49
0.17
12375
12117
258
69.91
8.41
11.50
15.47
0.43%
14.2
$1,421
The chart represents some useful information pertaining to tonight’s settlement prices. Most of the columns are self explanatory but hereis the key to the lesser known columns: RSI is the Relative Strength Index and measures a market’s overbought or oversold status. Anumber greater than 70-80 would be considered potentially overbought while a number below 30-20 might be considered oversold. The 10 and 30 HV are the 10 and 30 day Historical Volatility for the Commodity. IV refers to the Implied Volatility of the At-The-Money Option. The ATR and $-ATR refers to the 20-day Average Trading Range of the Futures Contract and the Dollar Range for the Contract . Much of this information is a simple way of analyzing Implied and Historical Volatility and is a concise review of the markets.
Fred Oltarsh is a Proprietary Trader for a New York City Futures and Options Group specializing in Options Trading. He was an options market-maker on the floor of NYBOT/NYMEX for more than fifteen years and Head of Risk Management at NYBOT/ICE Futures for seven years.
In addition to his Proprietary Trading, Fred has developed the Options Strategy Network a website geared towards Options and Futures Education and Training. The site provides access to Individual and Group Tutoring from Options and Futures experts with significant trading and risk management experience.
