Centre county Pennsylvania, USA | Attached chart shows current P&L diagram for a Dec16 corn ATM straddle position established on Aug 30 2016. Numbers for the straddle are shown in last 4 lines of table below. ATM straddle premiums that are well below historical volatility ranges are (probably) reasonably safe corn options spec investments. In other words, probability that the straddle will reach either a bear or bull profit zone is relatively high for options that have several months to expiration.
Edit: fixed error in P&L diagram
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CORN FUTURES and OPTIONS INVESTMENT POSTION STATUS
DATA SOURCE: BARCHART CORN FUTURES OPTIONS END-OF-DAY QUOTES
position start: CZ16_AUG30
position strike (ATM): 315.0
postion current: CZ16_OCT04
futures price start: 316.5 cents/bushel
futures price current: 348.25 cents/bushel
futures price change: 31.75 cents/bushel
futures price gain: 10.0 percent
call premium start: 15.0 cents/bushel
call premium current: 34.875 cents/bushel
call premium change: 19.875 cents/bushel
call premium gain: 132.5 percent
put premium start: 11.75 cents/bushel
put premium current: 1.625 cents/bushel
put premium change: -10.125 cents/bushel
put premium gain: -86.2 percent
long straddle premium start: 26.75 cents/bushel
long straddle premium current: 36.5 cents/bushel
long straddle premium change: 9.75 cents/bushel
long straddle premium gain: 36.4 percent
 (CZ16 _AUG30_long ATM straddle.png)
Attachments
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 CZ16 _AUG30_long ATM straddle.png (43KB - 125 downloads)
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CZ16 _AUG30_long ATM straddle
