Coffee rebounded nicely today and continued its substantial volatility. As mentioned yesterday, its implied volatility is trading quite a bit below its historical volatility. Crude Oil continued its rebound from the oversold position indicated by the Relative Strength a few days ago. The S&P, as evidenced by the Relative Strength Index, is looking a bit oversold as well. One more market to look closely at is Cotton. It’s looking overbought as well, but tomorrow’s Commitment of Trader Report, which we will highlight tomorrow afternoon, may show some interesting information about the Commercial Shorts. If you are interested in our Chart version of the COTS report, please email me directly. The Chart below highlights today’s essential information. 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 for a no obligation discussion about position ideas.
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.For help interpreting the numbers or understanding how this type of analysis will help your trading call us at 212-383-9453.
