Waiting For Weather

Implied vs actuals are unchanged across the board – vol spreads are unchanged intra and inter crop
Interestingly enough, the skews of all markets are slowly becoming identical, even bean oil. This does
present a new opportunity in cheap oilseed puts, like the grains have been. I do not remember this
happening before.
This is all due to a large supply, low volatility market. No interest in puts and an interest in calls. We sit
here and wait for a weather event at a lowish vol. Vol does seemed to have bottomed and the call for
that market is sideways.
Interesting comparison of OI is K vs N below. Lot of K liquidation to come.
The only trade that works is similar to a carry market in futures when the deferred price comes down to
meet spot over time. The higher deferred vols come down to the more near term vols over time. If you
are not trading the gamma, there is not much else to do. Sounds easy until a hot and dry weekend
forecast comes up.



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